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 1996 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ASML ASML Holding N.V. 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$2,330,782 24.37% 47.67%272.95%-50.97%-85.97% 0.651.140.63
Vanguard 500 Index Investor$10,000$95,550 9.45% 15.30%33.19%-37.02%-50.97% 0.530.770.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 132.59%66.27%42.63%42.16%32.63%24.37%27.95%24.57%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%13.72%9.45%18.80%15.26%
Trailing annualized return and volatility are for full months ending in December 2020 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 InvestorASML Holding N.V. (ASML)
ReturnBalanceReturnBalance
19963.32%49.81%$14,98122.88%$12,28849.81%
19971.70%171.02%$40,60233.19%$16,366171.02%
19981.61%-9.63%$36,69228.62%$21,050-9.63%
19992.68%272.95%$136,84221.07%$25,484272.95%
20003.39%-40.49%$81,429-9.06%$23,176-40.49%
20011.55%-24.43%$61,534-12.02%$20,390-24.43%
20022.38%-50.97%$30,171-22.15%$15,875-50.97%
20031.88%139.83%$72,36128.50%$20,399139.83%
20043.26%-20.60%$57,45610.74%$22,590-20.60%
20053.42%26.13%$72,4694.77%$23,66926.13%
20062.54%22.66%$88,89015.64%$27,37122.66%
20074.08%22.31%$108,7195.39%$28,84522.31%
20080.09%-41.43%$63,672-37.02%$18,166-41.43%
20092.72%91.64%$122,02026.49%$22,97891.64%
20101.50%13.37%$138,33214.91%$26,40513.37%
20112.96%10.41%$152,7321.97%$26,92410.41%
20121.74%85.49%$283,30915.82%$31,18485.49%
20131.50%46.91%$416,21732.18%$41,21846.91%
20140.76%16.26%$483,88013.51%$46,78616.26%
20150.73%-17.05%$401,3641.25%$47,370-17.05%
20162.07%27.93%$513,45211.82%$52,96827.93%
20172.11%56.46%$803,32421.67%$64,44556.46%
20181.91%-9.67%$725,655-4.52%$61,529-9.67%
20192.29%93.18%$1,401,83531.33%$80,80593.18%
20201.36%66.27%$2,330,78218.25%$95,55066.27%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorASML Holding N.V. (ASML)
ReturnBalanceReturnBalance
1996134.59%$13,4593.39%$10,33934.59%
199628.38%$14,5860.92%$10,4348.38%
19963-16.75%$12,1430.98%$10,536-16.75%
199649.60%$13,3081.46%$10,6899.60%
199656.78%$14,2112.54%$10,9616.78%
19966-13.23%$12,3310.38%$11,003-13.23%
19967-7.93%$11,353-4.42%$10,517-7.93%
199681.99%$11,5792.10%$10,7371.99%
19969-1.14%$11,4475.61%$11,339-1.14%
199610-5.42%$10,8272.76%$11,652-5.42%
19961122.57%$13,2717.56%$12,53322.57%
19961212.89%$14,981-1.96%$12,28812.89%
1997146.80%$21,9926.22%$13,05246.80%
19972-9.06%$20,0000.79%$13,155-9.06%
1997312.78%$22,556-4.14%$12,61112.78%
199746.00%$23,9105.96%$13,3626.00%
1997531.45%$31,4296.09%$14,17531.45%
1997611.96%$35,1884.45%$14,80611.96%
1997738.46%$48,7227.97%$15,98638.46%
199784.94%$51,128-5.61%$15,0894.94%
1997916.18%$59,3985.47%$15,91416.18%
199710-25.82%$44,060-3.35%$15,381-25.82%
199711-14.68%$37,5944.60%$16,089-14.68%
1997128.00%$40,6021.72%$16,3668.00%
199812.96%$41,8051.11%$16,5482.96%
1998234.35%$56,1657.19%$17,73834.35%
19983-1.00%$55,6025.10%$18,643-1.00%
19984-0.88%$55,1131.01%$18,831-0.88%
19985-16.37%$46,090-1.74%$18,503-16.37%
19986-24.14%$34,9624.07%$19,256-24.14%
19987-1.29%$34,511-1.05%$19,053-1.29%
19988-38.56%$21,203-14.47%$16,295-38.56%
19989-10.99%$18,8726.41%$17,340-10.99%
19981062.55%$30,6778.16%$18,75662.55%
19981111.03%$34,0606.07%$19,89511.03%
1998127.73%$36,6925.81%$21,0507.73%
1999152.46%$55,9404.20%$21,93452.46%
19992-14.78%$47,669-3.12%$21,249-14.78%
1999313.56%$54,1354.00%$22,09813.56%
19994-13.33%$46,9173.85%$22,949-13.33%
1999513.14%$53,083-2.39%$22,40113.14%
1999634.56%$71,4295.56%$23,64634.56%
199972.32%$73,083-3.13%$22,9062.32%
199983.91%$75,940-0.50%$22,7923.91%
199996.24%$80,677-2.74%$22,1686.24%
1999108.29%$87,3686.33%$23,5708.29%
19991128.92%$112,6322.02%$24,04728.92%
19991221.50%$136,8425.98%$25,48421.50%
200018.08%$147,895-5.03%$24,2028.08%
200024.22%$154,135-1.91%$23,7414.22%
20003-12.78%$134,4369.75%$26,056-12.78%
200047.38%$144,361-3.00%$25,2747.38%
20005-11.09%$128,346-2.04%$24,759-11.09%
2000624.08%$159,2482.49%$25,37724.08%
20007-9.92%$143,459-1.50%$24,997-9.92%
20008-4.09%$137,5946.19%$26,544-4.09%
20009-15.25%$116,617-5.29%$25,140-15.25%
200010-13.93%$100,376-0.43%$25,032-13.93%
200011-26.52%$73,759-7.89%$23,058-26.52%
20001210.40%$81,4290.51%$23,17610.40%
2001126.32%$102,8573.55%$23,99826.32%
20012-25.66%$76,466-9.14%$21,805-25.66%
200132.36%$78,271-6.36%$20,4192.36%
2001424.82%$97,6967.77%$22,00624.82%
20015-14.07%$83,9460.65%$22,149-14.07%
20016-4.34%$80,301-2.45%$21,607-4.34%
20017-8.00%$73,877-1.00%$21,391-8.00%
20018-11.19%$65,612-6.27%$20,049-11.19%
20019-38.34%$40,457-8.09%$18,427-38.34%
20011028.28%$51,8981.90%$18,77628.28%
20011121.07%$62,8337.65%$20,21321.07%
200112-2.07%$61,5340.87%$20,390-2.07%
2002111.14%$68,391-1.47%$20,08911.14%
200227.39%$73,444-1.94%$19,7017.39%
2002324.67%$91,5613.74%$20,43824.67%
20024-11.98%$80,589-6.07%$19,196-11.98%
20025-16.97%$66,911-0.75%$19,052-16.97%
20026-18.45%$54,568-7.13%$17,692-18.45%
20027-21.63%$42,767-7.72%$16,327-21.63%
20028-13.59%$36,9560.65%$16,433-13.59%
20029-39.55%$22,340-10.87%$14,646-39.55%
20021038.93%$31,0388.78%$15,93238.93%
20021129.65%$40,2415.88%$16,86929.65%
200212-25.02%$30,171-5.89%$15,875-25.02%
20031-4.19%$28,908-2.62%$15,458-4.19%
20032-9.74%$26,093-1.52%$15,223-9.74%
20033-9.13%$23,7110.96%$15,369-9.13%
2003434.09%$31,7958.25%$16,63734.09%
2003514.07%$36,2715.26%$17,51314.07%
20036-4.78%$34,5381.26%$17,734-4.78%
2003735.21%$46,7011.74%$18,04335.21%
2003821.87%$56,9141.93%$18,39221.87%
20039-16.80%$47,350-1.07%$18,195-16.80%
20031033.77%$63,3385.64%$19,22133.77%
2003117.24%$67,9220.86%$19,3877.24%
2003126.54%$72,3615.22%$20,3996.54%
20041-3.94%$69,5101.82%$20,771-3.94%
20042-5.19%$65,9011.38%$21,057-5.19%
200430.38%$66,153-1.51%$20,7380.38%
20044-15.06%$56,192-1.58%$20,411-15.06%
2004513.10%$63,5551.36%$20,68813.10%
20046-2.84%$61,7501.93%$21,087-2.84%
20047-17.07%$51,212-3.31%$20,389-17.07%
20048-8.81%$46,7010.38%$20,467-8.81%
20049-0.54%$46,4481.07%$20,686-0.54%
20041010.72%$51,4291.51%$20,99910.72%
2004117.09%$55,0744.05%$21,8497.09%
2004124.33%$57,4563.39%$22,5904.33%
200513.20%$59,296-2.45%$22,0363.20%
2005211.50%$66,1172.09%$22,49711.50%
20053-8.46%$60,523-1.76%$22,101-8.46%
20054-13.60%$52,295-1.91%$21,678-13.60%
2005511.25%$58,1773.17%$22,36511.25%
20056-2.85%$56,5170.13%$22,393-2.85%
2005712.39%$63,5193.71%$23,22312.39%
20058-3.98%$60,992-0.91%$23,011-3.98%
20059-2.31%$59,5850.79%$23,194-2.31%
2005102.85%$61,281-1.68%$22,8052.85%
20051112.78%$69,1133.76%$23,66312.78%
2005124.86%$72,4690.02%$23,6694.86%
2006112.55%$81,5642.65%$24,29512.55%
20062-8.50%$74,6350.26%$24,358-8.50%
20063-1.50%$73,5161.23%$24,658-1.50%
200643.78%$76,2951.33%$24,9873.78%
20065-3.78%$73,408-2.90%$24,263-3.78%
20066-0.59%$72,9740.13%$24,294-0.59%
20067-1.58%$71,8200.61%$24,442-1.58%
2006810.85%$79,6152.36%$25,01910.85%
200695.53%$84,0182.56%$25,6605.53%
200610-1.89%$82,4303.25%$26,495-1.89%
2006119.02%$89,8651.89%$26,9959.02%
200612-1.08%$88,8901.39%$27,371-1.08%
200713.45%$91,9581.49%$27,7793.45%
20072-3.53%$88,710-1.97%$27,232-3.53%
200730.69%$89,3231.11%$27,5350.69%
2007410.10%$98,3464.42%$28,75210.10%
20075-5.43%$93,0053.48%$29,751-5.43%
200766.52%$99,068-1.68%$29,2536.52%
200777.69%$106,683-3.08%$28,3507.69%
200780.37%$107,0801.50%$28,7750.37%
2007910.75%$118,5923.72%$29,84610.75%
2007102.31%$121,3321.58%$30,3182.31%
200711-0.49%$120,741-4.19%$29,048-0.49%
200712-9.96%$108,719-0.70%$28,845-9.96%
20081-15.02%$92,389-6.02%$27,110-15.02%
20082-9.44%$83,668-3.25%$26,228-9.44%
200833.03%$86,204-0.44%$26,1133.03%
2008415.92%$99,9304.85%$27,38015.92%
200855.64%$105,5681.29%$27,7345.64%
20086-18.56%$85,976-8.44%$25,394-18.56%
20087-6.60%$80,303-0.83%$25,183-6.60%
200883.77%$83,3341.45%$25,5473.77%
20089-25.54%$62,051-8.91%$23,272-25.54%
200810-0.34%$61,840-16.79%$19,364-0.34%
200811-12.65%$54,017-7.17%$17,975-12.65%
20081217.87%$63,6721.07%$18,16617.87%
20091-8.47%$58,281-8.41%$16,638-8.47%
20092-8.52%$53,312-10.66%$14,865-8.52%
2009317.56%$62,6758.76%$16,16717.56%
2009420.79%$75,7039.56%$17,71320.79%
20095-2.13%$74,0935.62%$18,708-2.13%
200964.59%$77,4930.22%$18,7494.59%
2009720.14%$93,0997.58%$20,17020.14%
200985.61%$98,3253.60%$20,8955.61%
200997.64%$105,8423.72%$21,6727.64%
200910-8.89%$96,428-1.87%$21,267-8.89%
20091115.03%$110,9245.98%$22,53915.03%
20091210.00%$122,0201.95%$22,97810.00%
20101-8.33%$111,855-3.60%$22,150-8.33%
20102-1.34%$110,3523.09%$22,835-1.34%
2010315.74%$127,7256.01%$24,20815.74%
20104-7.74%$117,8391.58%$24,590-7.74%
20105-13.47%$101,963-8.01%$22,621-13.47%
20106-2.80%$99,113-5.24%$21,436-2.80%
2010717.18%$116,1437.00%$22,93617.18%
20108-23.17%$89,227-4.53%$21,897-23.17%
2010920.22%$107,2678.92%$23,85020.22%
20101011.54%$119,6433.79%$24,75311.54%
201011-1.60%$117,7310.00%$24,753-1.60%
20101217.50%$138,3326.67%$26,40517.50%
201119.57%$151,5742.36%$27,0279.57%
201123.78%$157,3113.42%$27,9503.78%
201132.06%$160,5580.03%$27,9582.06%
20114-4.94%$152,6222.95%$28,782-4.94%
20115-6.59%$142,572-1.15%$28,452-6.59%
20116-5.26%$135,080-1.67%$27,976-5.26%
20117-3.54%$130,292-2.05%$27,404-3.54%
20118-1.07%$128,903-5.45%$25,911-1.07%
20119-2.07%$126,235-7.04%$24,086-2.07%
20111021.40%$153,24410.91%$26,71521.40%
201111-5.72%$144,472-0.23%$26,653-5.72%
2011125.72%$152,7321.02%$26,9245.72%
201212.87%$157,1184.46%$28,1262.87%
201225.95%$166,4744.31%$29,3375.95%
2012310.08%$183,2493.28%$30,30010.08%
201242.88%$188,523-0.64%$30,1062.88%
20125-10.16%$169,371-6.02%$28,294-10.16%
2012612.25%$190,1134.11%$29,45712.25%
2012711.82%$212,5921.37%$29,86111.82%
20128-1.27%$209,8932.24%$30,529-1.27%
20129-5.44%$198,4692.58%$31,316-5.44%
2012102.42%$203,275-1.86%$30,7342.42%
20121135.43%$275,3010.56%$30,90635.43%
2012122.91%$283,3090.90%$31,1842.91%
2013116.62%$330,3875.18%$32,79916.62%
20132-5.47%$312,3041.34%$33,238-5.47%
20133-4.21%$299,1483.74%$34,480-4.21%
2013410.43%$330,3531.91%$35,13910.43%
201359.28%$361,0032.33%$35,9569.28%
20136-2.66%$351,408-1.35%$35,471-2.66%
2013713.70%$399,5605.07%$37,27013.70%
20138-3.21%$386,722-2.91%$36,185-3.21%
2013913.44%$438,6943.12%$37,31413.44%
201310-4.11%$420,6594.59%$39,026-4.11%
201311-1.39%$414,7963.03%$40,208-1.39%
2013120.34%$416,2172.51%$41,2180.34%
20141-9.68%$375,928-3.47%$39,788-9.68%
201421.78%$382,6364.56%$41,6031.78%
201438.38%$414,7070.82%$41,9468.38%
20144-11.93%$365,2320.72%$42,249-11.93%
201455.52%$385,3812.33%$43,2365.52%
201468.61%$418,5432.05%$44,1238.61%
201470.95%$422,537-1.39%$43,5110.95%
201482.08%$431,3323.98%$45,2432.08%
201492.81%$443,448-1.41%$44,6042.81%
2014100.87%$447,3072.42%$45,6850.87%
2014116.02%$474,2322.68%$46,9106.02%
2014122.03%$483,880-0.26%$46,7862.03%
20151-3.61%$466,424-3.02%$45,374-3.61%
201523.60%$483,2075.74%$47,9793.60%
20153-6.18%$453,365-1.59%$47,214-6.18%
201546.75%$483,9700.95%$47,6626.75%
201554.91%$507,7521.27%$48,2694.91%
20156-7.28%$470,813-1.93%$47,336-7.28%
20157-4.76%$448,3872.08%$48,320-4.76%
20158-8.22%$411,537-6.05%$45,399-8.22%
20159-3.34%$397,792-2.48%$44,271-3.34%
2015105.47%$419,5408.42%$47,9995.47%
201511-0.08%$419,2240.29%$48,137-0.08%
201512-4.26%$401,364-1.59%$47,370-4.26%
201613.46%$415,245-4.98%$45,0133.46%
20162-0.89%$411,537-0.15%$44,947-0.89%
2016310.29%$453,9036.78%$47,99310.29%
20164-3.78%$436,7670.37%$48,172-3.78%
201654.75%$457,5311.78%$49,0314.75%
20166-0.77%$454,0070.25%$49,154-0.77%
2016710.49%$501,6463.68%$50,96110.49%
20168-2.80%$487,5970.13%$51,027-2.80%
201692.84%$501,4620.01%$51,0312.84%
201610-3.61%$483,341-1.83%$50,095-3.61%
201611-2.36%$471,9463.70%$51,948-2.36%
2016128.79%$513,4521.96%$52,9688.79%
201718.20%$555,5531.88%$53,9658.20%
201720.24%$556,8813.96%$56,1040.24%
201739.13%$607,7220.10%$56,1609.13%
201740.27%$609,3561.02%$56,7320.27%
201750.11%$610,0031.39%$57,5230.11%
20176-1.27%$602,2390.61%$57,874-1.27%
2017715.36%$694,7632.04%$59,05615.36%
201783.98%$722,4000.29%$59,2303.98%
201799.53%$791,2152.06%$60,4499.53%
2017105.58%$835,3522.32%$61,8505.58%
201711-2.89%$811,1813.06%$63,742-2.89%
201712-0.97%$803,3241.10%$64,445-0.97%
2018116.76%$937,9975.71%$68,12616.76%
20182-3.73%$903,012-3.69%$65,609-3.73%
201831.62%$917,662-2.56%$63,9331.62%
20184-4.24%$878,7410.37%$64,171-4.24%
201854.35%$916,9782.39%$65,7084.35%
201860.67%$923,1330.61%$66,1060.67%
201878.10%$997,8813.71%$68,5588.10%
20188-4.18%$956,1473.25%$70,783-4.18%
20189-8.31%$876,7360.55%$71,176-8.31%
201810-8.33%$803,713-6.85%$66,301-8.33%
201811-0.59%$799,0042.03%$67,645-0.59%
201812-9.18%$725,655-9.04%$61,529-9.18%
2019112.47%$816,1648.00%$66,45312.47%
201924.48%$852,7223.20%$68,5804.48%
201932.83%$876,8761.94%$69,9082.83%
2019412.32%$984,9394.04%$72,73312.32%
20195-9.95%$886,973-6.36%$68,104-9.95%
2019610.57%$980,7417.03%$72,89410.57%
201977.16%$1,050,9261.43%$73,9337.16%
20198-0.09%$1,049,982-1.59%$72,757-0.09%
2019911.59%$1,171,7201.86%$74,10911.59%
2019105.45%$1,235,6312.15%$75,7065.45%
2019113.74%$1,281,8973.62%$78,4473.74%
2019129.36%$1,401,8353.01%$80,8059.36%
20201-5.16%$1,329,456-0.05%$80,764-5.16%
20202-1.41%$1,310,745-8.24%$74,108-1.41%
20203-5.45%$1,239,360-12.37%$64,939-5.45%
2020410.79%$1,373,08712.81%$73,26110.79%
2020514.24%$1,568,6514.76%$76,74514.24%
2020611.69%$1,752,0271.98%$78,26211.69%
20207-3.89%$1,683,9045.63%$82,666-3.89%
202085.78%$1,781,3057.18%$88,5995.78%
20209-1.31%$1,757,930-3.81%$85,223-1.31%
202010-2.18%$1,719,560-2.67%$82,946-2.18%
20201121.65%$2,091,88310.94%$92,01721.65%
20201211.42%$2,330,7823.84%$95,55011.42%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
ASMLASML Holding N.V.Technology / Semiconductor Equipment & Materials100.00%1.20%$2,320,782100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.74%0.85%
Arithmetic Mean (annualized)38.39%10.74%
Geometric Mean (monthly)1.83%0.76%
Geometric Mean (annualized)24.37%9.45%
Volatility (monthly)13.76%4.42%
Volatility (annualized)47.67%15.30%
Downside Deviation (monthly)7.67%2.95%
Max. Drawdown-85.97%-50.97%
US Market Correlation0.630.99
Beta(*)1.921.00
Alpha (annualized)13.25%0.00%
R238.07%100.00%
Sharpe Ratio0.650.53
Sortino Ratio1.140.77
Treynor Ratio (%)16.038.12
Calmar Ratio1.560.71
Active Return14.92%N/A
Tracking Error40.08%N/A
Information Ratio0.37N/A
Skewness0.53-0.60
Excess Kurtosis2.171.10
Historical Value-at-Risk (5%)-16.81%-7.20%
Analytical Value-at-Risk (5%)-19.89%-6.41%
Conditional Value-at-Risk (5%)-25.67%-9.94%
Upside Capture Ratio (%)236.92100.00
Downside Capture Ratio (%)173.07100.00
Safe Withdrawal Rate27.40%8.33%
Perpetual Withdrawal Rate17.87%6.68%
Positive Periods166 out of 300 (55.33%)197 out of 300 (65.67%)
Gain/Loss Ratio1.400.85
* 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 1998-36.71%-5.61%
Russian Debt DefaultJul 1998Oct 1998-46.02%-15.38%
Dotcom CrashMar 2000Oct 2002-85.97%-44.82%
Subprime CrisisNov 2007Mar 2009-56.06%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2000Sep 20022 years 3 monthsMar 20118 years 6 months10 years 9 months-85.97%
2Oct 1997Sep 19981 yearJun 19999 months1 year 9 months-68.23%
3Aug 2018Dec 20185 monthsJul 20197 months1 year-27.28%
4Mar 1996Oct 19968 monthsDec 19962 months10 months-25.77%
5Jun 2015Sep 20154 monthsDec 20161 year 3 months1 year 7 months-21.66%
6Apr 2011Sep 20116 monthsFeb 20125 months11 months-21.38%
7Oct 2013Apr 20147 monthsSep 20145 months1 year-16.75%
8Mar 2000May 20003 monthsJun 20001 month4 months-16.73%
9Jan 2020Mar 20203 monthsMay 20202 months5 months-11.59%
10May 2012May 20121 monthJun 20121 month2 months-10.16%
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%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ASMLASML Holding N.V.24.37%47.67%272.95%-50.97%-85.97%0.651.140.63

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year37.16%418.88%-74.10%10.11%53.61%-43.32%
3 years21.90%109.04%-44.68%8.26%29.62%-16.14%
5 years17.50%52.11%-18.71%6.99%22.85%-6.73%
7 years16.85%34.82%-7.59%6.86%17.12%-3.94%
10 years17.25%34.90%-4.63%6.64%16.52%-3.51%
15 years16.95%27.60%7.49%6.56%10.39%3.64%