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 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$88,176 8.13% 9.08%28.64%-22.21%-32.57% 0.650.950.99
Vanguard 500 Index Investor$10,000$126,758 9.55% 14.62%37.45%-37.02%-50.97% 0.540.780.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 10.16%5.14%9.26%8.39%8.68%9.15%8.13%
Vanguard 500 Index Investor0.34%2.65%9.56%10.28%11.56%12.85%9.55%
Trailing returns are for full months ending in October 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.
  • The annual results for 2020 are based on monthly returns from January to October
  • 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 Balanced Index Inv (VBINX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19932.75%10.00%9.89%$11,000$10,98910.00%
19942.67%-1.56%1.18%$10,829$11,118-1.56%
19952.54%28.64%37.45%$13,931$15,28228.64%
19963.32%13.95%22.88%$15,874$18,77813.95%
19971.70%22.24%33.19%$19,404$25,01022.24%
19981.61%17.85%28.62%$22,868$32,16817.85%
19992.68%13.61%21.07%$25,981$38,94513.61%
20003.39%-2.04%-9.06%$25,452$35,418-2.04%
20011.55%-3.02%-12.02%$24,684$31,160-3.02%
20022.38%-9.52%-22.15%$22,334$24,259-9.52%
20031.88%19.87%28.50%$26,772$31,17419.87%
20043.26%9.32%10.74%$29,268$34,5229.32%
20053.42%4.65%4.77%$30,629$36,1704.65%
20062.54%11.02%15.64%$34,005$41,82711.02%
20074.08%6.16%5.39%$36,101$44,0816.16%
20080.09%-22.21%-37.02%$28,083$27,762-22.21%
20092.72%20.05%26.49%$33,714$35,11420.05%
20101.50%13.13%14.91%$38,140$40,35113.13%
20112.96%4.14%1.97%$39,718$41,1454.14%
20121.74%11.33%15.82%$44,218$47,65611.33%
20131.50%17.91%32.18%$52,139$62,98917.91%
20140.76%9.84%13.51%$57,271$71,4989.84%
20150.73%0.37%1.25%$57,482$72,3910.37%
20162.07%8.63%11.82%$62,445$80,9458.63%
20172.11%13.75%21.67%$71,033$98,48413.75%
20181.91%-2.97%-4.52%$68,926$94,028-2.97%
20192.29%21.67%31.33%$83,863$123,48521.67%
20201.29%5.14%2.65%$88,176$126,7585.14%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Balanced Index Inv (VBINX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
199311.26%0.81%$10,126$10,0811.26%
199321.05%1.36%$10,233$10,2171.05%
199331.52%2.11%$10,388$10,4331.52%
19934-1.41%-2.42%$10,242$10,180-1.41%
199351.91%2.65%$10,437$10,4501.91%
199360.95%0.27%$10,536$10,4780.95%
199370.09%-0.42%$10,546$10,4330.09%
199382.99%3.79%$10,861$10,8282.99%
199390.28%-0.79%$10,891$10,7420.28%
1993101.00%2.08%$11,000$10,9651.00%
199311-1.35%-1.00%$10,852$10,856-1.35%
1993121.37%1.22%$11,000$10,9891.37%
199412.29%3.38%$11,252$11,3602.29%
19942-2.15%-2.71%$11,010$11,052-2.15%
19943-3.60%-4.39%$10,614$10,567-3.60%
199440.10%1.29%$10,624$10,7030.10%
199450.67%1.60%$10,695$10,8750.67%
19946-1.72%-2.45%$10,511$10,609-1.72%
199472.53%3.28%$10,777$10,9562.53%
199482.66%4.08%$11,064$11,4032.66%
19949-1.76%-2.45%$10,869$11,124-1.76%
1994100.85%2.25%$10,962$11,3740.85%
199411-2.26%-3.65%$10,715$10,958-2.26%
1994121.06%1.46%$10,829$11,1181.06%
199512.13%2.58%$11,059$11,4062.13%
199523.22%3.88%$11,415$11,8483.22%
199531.75%2.95%$11,615$12,1981.75%
199542.00%2.94%$11,847$12,5572.00%
199553.65%3.95%$12,279$13,0533.65%
199562.15%2.31%$12,543$13,3552.15%
199572.29%3.30%$12,830$13,7962.29%
199581.08%0.26%$12,968$13,8331.08%
199592.62%4.21%$13,308$14,4152.62%
1995100.00%-0.36%$13,308$14,3630.00%
1995113.13%4.38%$13,725$14,9923.13%
1995121.50%1.93%$13,931$15,2821.50%
199611.88%3.39%$14,192$15,7991.88%
199620.31%0.92%$14,236$15,9450.31%
199630.30%0.98%$14,279$16,1010.30%
199641.15%1.46%$14,444$16,3351.15%
199651.52%2.54%$14,664$16,7511.52%
199660.08%0.38%$14,675$16,8150.08%
19967-3.09%-4.42%$14,222$16,072-3.09%
199681.87%2.10%$14,487$16,4091.87%
199693.90%5.61%$15,052$17,3293.90%
1996101.77%2.76%$15,319$17,8061.77%
1996114.72%7.56%$16,042$19,1534.72%
199612-1.05%-1.96%$15,874$18,778-1.05%
199713.38%6.22%$16,410$19,9453.38%
199720.00%0.79%$16,410$20,1030.00%
19973-3.12%-4.14%$15,897$19,271-3.12%
199743.34%5.96%$16,428$20,4193.34%
199754.57%6.09%$17,179$21,6624.57%
199763.16%4.45%$17,721$22,6273.16%
199775.70%7.97%$18,732$24,4295.70%
19978-2.61%-5.61%$18,244$23,059-2.61%
199794.01%5.47%$18,976$24,3204.01%
199710-1.42%-3.35%$18,707$23,505-1.42%
1997112.19%4.60%$19,117$24,5862.19%
1997121.51%1.72%$19,404$25,0101.51%
199810.80%1.11%$19,559$25,2880.80%
199824.32%7.19%$20,405$27,1074.32%
199833.16%5.10%$21,049$28,4903.16%
199840.91%1.01%$21,241$28,7770.91%
19985-1.24%-1.74%$20,977$28,276-1.24%
199862.46%4.07%$21,494$29,4272.46%
19987-1.24%-1.05%$21,228$29,117-1.24%
19988-8.53%-14.47%$19,417$24,902-8.53%
199894.53%6.41%$20,297$26,4994.53%
1998104.25%8.16%$21,159$28,6624.25%
1998113.96%6.07%$21,997$30,4033.96%
1998123.96%5.81%$22,868$32,1683.96%
199912.49%4.20%$23,438$33,5202.49%
19992-2.90%-3.12%$22,757$32,472-2.90%
199932.59%4.00%$23,346$33,7702.59%
199942.89%3.85%$24,020$35,0712.89%
19995-1.56%-2.39%$23,645$34,233-1.56%
199962.93%5.56%$24,338$36,1352.93%
19997-1.97%-3.13%$23,859$35,004-1.97%
19998-0.63%-0.50%$23,708$34,830-0.63%
19999-0.96%-2.74%$23,482$33,876-0.96%
1999103.89%6.33%$24,396$36,0193.89%
1999112.08%2.02%$24,903$36,7482.08%
1999124.33%5.98%$25,981$38,9454.33%
20001-2.57%-5.03%$25,313$36,985-2.57%
200021.98%-1.91%$25,814$36,2801.98%
200033.97%9.76%$26,839$39,8213.97%
20004-3.33%-3.01%$25,946$38,624-3.33%
20005-2.10%-2.04%$25,402$37,837-2.10%
200063.47%2.49%$26,284$38,7783.47%
20007-0.79%-1.49%$26,076$38,200-0.79%
200084.90%6.19%$27,354$40,5644.90%
20009-2.53%-5.29%$26,662$38,419-2.53%
200010-0.94%-0.43%$26,412$38,253-0.94%
200011-5.38%-7.88%$24,993$35,240-5.38%
2000121.84%0.50%$25,452$35,4181.84%
200113.04%3.55%$26,226$36,6733.04%
20012-5.34%-9.14%$24,825$33,322-5.34%
20013-3.62%-6.36%$23,925$31,204-3.62%
200144.61%7.77%$25,029$33,6294.61%
200150.86%0.65%$25,245$33,8480.86%
20016-0.80%-2.45%$25,043$33,020-0.80%
20017-0.11%-1.00%$25,016$32,690-0.11%
20018-3.09%-6.27%$24,243$30,639-3.09%
20019-4.77%-8.09%$23,086$28,160-4.77%
2001102.19%1.90%$23,592$28,6932.19%
2001113.77%7.65%$24,482$30,8903.77%
2001120.83%0.87%$24,684$31,1600.83%
20021-0.45%-1.47%$24,574$30,700-0.45%
20022-0.84%-1.94%$24,366$30,106-0.84%
200231.99%3.74%$24,850$31,2331.99%
20024-2.30%-6.07%$24,280$29,336-2.30%
20025-0.40%-0.75%$24,182$29,114-0.40%
20026-3.97%-7.13%$23,222$27,037-3.97%
20027-4.22%-7.72%$22,241$24,950-4.22%
200280.95%0.65%$22,451$25,1130.95%
20029-5.44%-10.87%$21,230$22,382-5.44%
2002104.26%8.78%$22,136$24,3484.26%
2002113.58%5.88%$22,928$25,7783.58%
200212-2.59%-5.89%$22,334$24,259-2.59%
20031-1.47%-2.62%$22,006$23,622-1.47%
20032-0.39%-1.52%$21,920$23,264-0.39%
200330.58%0.96%$22,048$23,4860.58%
200345.22%8.25%$23,197$25,4255.22%
200354.34%5.26%$24,203$26,7634.34%
200360.88%1.26%$24,417$27,1000.88%
200370.06%1.74%$24,432$27,5730.06%
200381.66%1.93%$24,837$28,1061.66%
200390.41%-1.07%$24,938$27,8050.41%
2003103.21%5.64%$25,738$29,3733.21%
2003110.96%0.86%$25,985$29,6270.96%
2003123.03%5.22%$26,772$31,1743.03%
200411.70%1.82%$27,226$31,7411.70%
200421.29%1.38%$27,578$32,1791.29%
20043-0.37%-1.51%$27,476$31,692-0.37%
20044-2.31%-1.58%$26,842$31,192-2.31%
200450.66%1.36%$27,019$31,6150.66%
200461.47%1.93%$27,417$32,2251.47%
20047-1.89%-3.31%$26,898$31,158-1.89%
200480.99%0.38%$27,165$31,2780.99%
200491.15%1.07%$27,477$31,6111.15%
2004101.30%1.51%$27,835$32,0901.30%
2004112.52%4.05%$28,536$33,3892.52%
2004122.57%3.39%$29,268$34,5222.57%
20051-1.34%-2.45%$28,877$33,674-1.34%
200520.99%2.09%$29,163$34,3790.99%
20053-1.29%-1.76%$28,788$33,774-1.29%
20054-0.84%-1.91%$28,545$33,129-0.84%
200552.76%3.17%$29,332$34,1782.76%
200560.72%0.13%$29,545$34,2210.72%
200572.11%3.71%$30,169$35,4902.11%
20058-0.10%-0.91%$30,138$35,166-0.10%
200590.11%0.79%$30,170$35,4450.11%
200510-1.47%-1.68%$29,726$34,850-1.47%
2005112.58%3.76%$30,492$36,1622.58%
2005120.45%0.02%$30,629$36,1700.45%
200612.12%2.65%$31,279$37,1272.12%
200620.15%0.26%$31,325$37,2240.15%
200630.69%1.23%$31,541$37,6820.69%
200640.54%1.33%$31,712$38,1850.54%
20065-1.96%-2.90%$31,090$37,079-1.96%
200660.16%0.13%$31,140$37,1260.16%
200670.50%0.61%$31,297$37,3510.50%
200682.00%2.36%$31,923$38,2342.00%
200691.68%2.56%$32,458$39,2141.68%
2006102.43%3.25%$33,248$40,4892.43%
2006111.80%1.89%$33,848$41,2541.80%
2006120.47%1.39%$34,005$41,8270.47%
200711.08%1.49%$34,371$42,4521.08%
20072-0.32%-1.97%$34,260$41,616-0.32%
200730.65%1.11%$34,482$42,0790.65%
200742.60%4.42%$35,379$43,9382.60%
200751.90%3.48%$36,052$45,4651.90%
20076-1.15%-1.68%$35,636$44,703-1.15%
20077-1.72%-3.08%$35,023$43,324-1.72%
200781.43%1.50%$35,523$43,9731.43%
200792.45%3.72%$36,395$45,6112.45%
2007101.47%1.58%$36,931$46,3311.47%
200711-1.94%-4.19%$36,216$44,391-1.94%
200712-0.32%-0.70%$36,101$44,081-0.32%
20081-2.91%-6.02%$35,051$41,429-2.91%
20082-1.78%-3.25%$34,428$40,082-1.78%
20083-0.19%-0.44%$34,362$39,905-0.19%
200842.83%4.85%$35,336$41,8422.83%
200850.98%1.29%$35,683$42,3830.98%
20086-4.98%-8.44%$33,905$38,807-4.98%
20087-0.44%-0.83%$33,755$38,484-0.44%
200881.23%1.45%$34,171$39,0411.23%
20089-6.04%-8.91%$32,108$35,564-6.04%
200810-11.59%-16.79%$28,386$29,592-11.59%
200811-3.43%-7.17%$27,414$27,469-3.43%
2008122.44%1.07%$28,083$27,7622.44%
20091-5.18%-8.41%$26,627$25,426-5.18%
20092-6.48%-10.66%$24,901$22,716-6.48%
200936.10%8.76%$26,420$24,7066.10%
200946.40%9.56%$28,110$27,0686.40%
200953.58%5.62%$29,117$28,5893.58%
200960.50%0.22%$29,262$28,6520.50%
200975.28%7.58%$30,809$30,8235.28%
200982.62%3.60%$31,616$31,9322.62%
200992.98%3.72%$32,557$33,1192.98%
200910-1.33%-1.87%$32,125$32,500-1.33%
2009113.88%5.98%$33,370$34,4443.88%
2009121.03%1.95%$33,714$35,1141.03%
20101-1.50%-3.60%$33,209$33,849-1.50%
201022.10%3.09%$33,906$34,8962.10%
201033.74%6.01%$35,174$36,9943.74%
201041.74%1.58%$35,787$37,5781.74%
20105-4.45%-8.01%$34,193$34,570-4.45%
20106-2.75%-5.24%$33,253$32,758-2.75%
201074.50%7.00%$34,751$35,0504.50%
20108-2.33%-4.53%$33,940$33,463-2.33%
201095.59%8.92%$35,838$36,4475.59%
2010102.52%3.79%$36,742$37,8282.52%
2010110.14%0.00%$36,796$37,8280.14%
2010123.66%6.67%$38,140$40,3513.66%
201111.36%2.36%$38,658$41,3021.36%
201122.26%3.42%$39,532$42,7132.26%
201130.23%0.03%$39,623$42,7240.23%
201142.35%2.95%$40,555$43,9842.35%
20115-0.18%-1.15%$40,483$43,480-0.18%
20116-1.21%-1.67%$39,993$42,753-1.21%
20117-0.72%-2.05%$39,705$41,878-0.72%
20118-2.81%-5.45%$38,587$39,597-2.81%
20119-4.39%-7.04%$36,892$36,808-4.39%
2011106.98%10.91%$39,466$40,8266.98%
201111-0.28%-0.23%$39,358$40,730-0.28%
2011120.92%1.02%$39,718$41,1450.92%
201213.40%4.46%$41,067$42,9823.40%
201222.49%4.31%$42,089$44,8332.49%
201231.62%3.28%$42,769$46,3041.62%
201240.04%-0.64%$42,787$46,0080.04%
20125-3.34%-6.02%$41,358$43,239-3.34%
201262.28%4.11%$42,301$45,0162.28%
201271.17%1.37%$42,798$45,6321.17%
201281.55%2.24%$43,461$46,6541.55%
201291.58%2.58%$44,149$47,8561.58%
201210-1.01%-1.86%$43,705$46,967-1.01%
2012110.51%0.56%$43,927$47,2300.51%
2012120.66%0.90%$44,218$47,6560.66%
201313.03%5.18%$45,558$50,1223.03%
201320.98%1.34%$46,005$50,7940.98%
201332.36%3.74%$47,090$52,6932.36%
201341.39%1.91%$47,744$53,6981.39%
201350.74%2.33%$48,099$54,9480.74%
20136-1.41%-1.35%$47,419$54,206-1.41%
201373.33%5.07%$48,996$56,9553.33%
20138-1.95%-2.91%$48,038$55,297-1.95%
201392.56%3.12%$49,270$57,0232.56%
2013102.83%4.59%$50,666$59,6382.83%
2013111.60%3.03%$51,476$61,4451.60%
2013121.29%2.51%$52,139$62,9891.29%
20141-1.24%-3.47%$51,495$60,804-1.24%
201423.02%4.56%$53,048$63,5773.02%
201430.21%0.82%$53,160$64,1010.21%
201440.36%0.72%$53,350$64,5650.36%
201451.71%2.33%$54,263$66,0721.71%
201461.57%2.05%$55,115$67,4281.57%
20147-1.28%-1.39%$54,408$66,492-1.28%
201482.95%3.98%$56,013$69,1402.95%
20149-1.57%-1.41%$55,133$68,163-1.57%
2014102.09%2.42%$56,285$69,8152.09%
2014111.74%2.68%$57,264$71,6881.74%
2014120.01%-0.26%$57,271$71,4980.01%
20151-0.77%-3.02%$56,827$69,341-0.77%
201522.95%5.74%$58,506$73,3202.95%
20153-0.44%-1.59%$58,249$72,152-0.44%
201540.10%0.95%$58,307$72,8370.10%
201550.63%1.27%$58,676$73,7640.63%
20156-1.42%-1.93%$57,843$72,338-1.42%
201571.31%2.08%$58,602$73,8431.31%
20158-3.72%-6.04%$56,422$69,381-3.72%
20159-1.45%-2.49%$55,604$67,654-1.45%
2015104.61%8.42%$58,167$73,3524.61%
2015110.24%0.29%$58,303$73,5620.24%
201512-1.41%-1.59%$57,482$72,391-1.41%
20161-2.81%-4.98%$55,869$68,788-2.81%
201620.28%-0.15%$56,026$68,6880.28%
201634.59%6.78%$58,598$73,3424.59%
201640.54%0.37%$58,914$73,6160.54%
201651.04%1.78%$59,527$74,9291.04%
201660.93%0.25%$60,080$75,1160.93%
201672.64%3.68%$61,669$77,8772.64%
201680.06%0.13%$61,709$77,9780.06%
201690.08%0.01%$61,756$77,9850.08%
201610-1.68%-1.83%$60,718$76,555-1.68%
2016111.61%3.70%$61,696$79,3871.61%
2016121.21%1.96%$62,445$80,9451.21%
201711.25%1.88%$63,227$82,4691.25%
201722.48%3.96%$64,793$85,7372.48%
201730.02%0.10%$64,806$85,8230.02%
201740.93%1.02%$65,411$86,6970.93%
201750.89%1.39%$65,996$87,9050.89%
201760.55%0.61%$66,361$88,4430.55%
201771.28%2.04%$67,212$90,2491.28%
201780.42%0.29%$67,495$90,5140.42%
201791.26%2.06%$68,346$92,3781.26%
2017101.31%2.32%$69,242$94,5191.31%
2017111.79%3.06%$70,483$97,4101.79%
2017120.78%1.10%$71,033$98,4840.78%
201812.71%5.71%$72,956$104,1102.71%
20182-2.61%-3.69%$71,053$100,263-2.61%
20183-0.93%-2.56%$70,390$97,701-0.93%
20184-0.09%0.37%$70,328$98,066-0.09%
201851.93%2.39%$71,685$100,4141.93%
201860.40%0.61%$71,971$101,0220.40%
201872.01%3.71%$73,417$104,7692.01%
201882.31%3.25%$75,111$108,1702.31%
20189-0.13%0.55%$75,013$108,770-0.13%
201810-4.76%-6.85%$71,441$101,320-4.76%
2018111.48%2.03%$72,500$103,3731.48%
201812-4.93%-9.04%$68,926$94,028-4.93%
201915.55%8.00%$72,750$101,5535.55%
201922.10%3.20%$74,275$104,8032.10%
201931.65%1.94%$75,499$106,8321.65%
201942.39%4.04%$77,307$111,1502.39%
20195-3.21%-6.36%$74,827$104,075-3.21%
201964.63%7.03%$78,294$111,3954.63%
201970.97%1.43%$79,054$112,9830.97%
20198-0.11%-1.59%$78,969$111,186-0.11%
201990.80%1.86%$79,598$113,2520.80%
2019101.39%2.15%$80,702$115,6931.39%
2019112.24%3.62%$82,506$119,8822.24%
2019121.64%3.01%$83,863$123,4851.64%
202010.82%-0.05%$84,547$123,4220.82%
20202-4.22%-8.24%$80,977$113,251-4.22%
20203-8.48%-12.37%$74,111$99,239-8.48%
202048.55%12.81%$80,445$111,9568.55%
202053.45%4.76%$83,224$117,2803.45%
202061.73%1.98%$84,663$119,6001.73%
202073.99%5.63%$88,039$126,3293.99%
202083.86%7.18%$91,435$135,3963.86%
20209-2.12%-3.81%$89,501$130,237-2.12%
202010-1.48%-2.67%$88,176$126,758-1.48%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value20.61%46.13%
Large-cap Growth29.62%53.87%
Mid-cap Value5.26%0.00%
Mid-cap Growth3.60%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth2.02%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.92%0.00%
Corporate Bonds6.08%0.00%
Long-Term Treasuries0.91%0.00%
Intermediate-Term Treasuries11.58%0.00%
Short-Term Treasuries19.41%0.00%
R Squared99.67%99.91%
Style analysis is based on monthly returns from Apr 2005 to Oct 2020 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/EDurationReturn ContributionRisk Contribution
VBINXVanguard Balanced Index Inv50% to 70% Equity100.00%0.18%25.016.56$78,176100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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)0.69%0.85%
Arithmetic Mean (annualized)8.58%10.73%
Geometric Mean (monthly)0.65%0.76%
Geometric Mean (annualized)8.13%9.55%
Volatility (monthly)2.62%4.22%
Volatility (annualized)9.08%14.62%
Downside Deviation (monthly)1.70%2.83%
Max. Drawdown-32.57%-50.97%
US Market Correlation0.990.99
Beta(*)0.611.00
Alpha (annualized)2.03%0.00%
R295.89%100.00%
Sharpe Ratio0.650.54
Sortino Ratio0.950.78
Treynor Ratio (%)9.697.87
Calmar Ratio0.680.52
Active Return-1.42%N/A
Tracking Error6.01%N/A
Information Ratio-0.24N/A
Skewness-0.74-0.67
Excess Kurtosis1.821.34
Historical Value-at-Risk (5%)-4.22%-7.14%
Analytical Value-at-Risk (5%)-3.63%-6.09%
Conditional Value-at-Risk (5%)-5.94%-9.76%
Upside Capture Ratio (%)64.40100.00
Downside Capture Ratio (%)58.20100.00
Safe Withdrawal Rate7.84%9.12%
Perpetual Withdrawal Rate5.65%6.91%
Positive Periods227 out of 334 (67.96%)221 out of 334 (66.17%)
Gain/Loss Ratio0.900.85
* 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 1998-2.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-9.66%-15.38%
Dotcom CrashMar 2000Oct 2002-22.39%-44.82%
Subprime CrisisNov 2007Mar 2009-32.57%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-9.66%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.58%
8Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
9Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
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%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Sep 2020Oct 20202 months-6.38%
10May 2019May 20191 monthJun 20191 month2 months-6.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBINXVanguard Balanced Index Inv8.13%9.08%28.64%-22.21%-32.57%0.650.950.99

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year8.77%28.64%-22.21%11.31%37.45%-37.02%
3 years8.28%21.46%-4.92%10.14%31.03%-14.60%
5 years7.90%19.13%0.96%9.31%28.49%-2.38%
7 years7.48%14.61%1.86%8.37%21.44%-1.64%
10 years6.89%10.45%2.08%7.09%13.40%-1.46%
15 years6.69%8.94%5.41%6.74%10.40%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods