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 2002 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DODFX Dodge&Cox International Stock 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock 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$32,356 6.46% 19.54%49.42%-46.69%-59.93% 0.360.500.88
Portfolio 2$10,000$28,970 5.84% 17.32%40.34%-44.10%-58.50% 0.340.480.88
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 10.39%-18.12%-9.43%-5.85%2.21%3.13%6.46%
Portfolio 26.46%-4.88%3.67%1.17%6.23%4.14%5.84%
Trailing returns are for full months ending in September 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 September
  • 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
YearInflationReturnBalanceDodge&Cox International Stock (DODFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20022.38%-13.11%-15.08%$8,689$8,492-13.11%-15.08%
20031.88%49.42%40.34%$12,983$11,91749.42%40.34%
20043.26%32.46%20.84%$17,198$14,40032.46%20.84%
20053.42%16.75%15.57%$20,078$16,64316.75%15.57%
20062.54%28.01%26.64%$25,701$21,07628.01%26.64%
20074.08%11.71%15.52%$28,711$24,34711.71%15.52%
20080.09%-46.69%-44.10%$15,307$13,610-46.69%-44.10%
20092.72%47.46%36.73%$22,572$18,60847.46%36.73%
20101.50%13.69%11.12%$25,661$20,67813.69%11.12%
20112.96%-15.97%-14.56%$21,563$17,666-15.97%-14.56%
20121.74%21.03%18.14%$26,098$20,87121.03%18.14%
20131.50%26.31%15.04%$32,965$24,01126.31%15.04%
20140.76%0.08%-4.24%$32,991$22,9940.08%-4.24%
20150.73%-11.35%-4.37%$29,245$21,988-11.35%-4.37%
20162.07%8.26%4.65%$31,661$23,0118.26%4.65%
20172.11%23.94%27.40%$39,242$29,31523.94%27.40%
20181.91%-17.98%-14.44%$32,185$25,081-17.98%-14.44%
20192.29%22.78%21.43%$39,516$30,45722.78%21.43%
20201.29%-18.12%-4.88%$32,356$28,970-18.12%-4.88%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceDodge&Cox International Stock (DODFX)Vanguard Total Intl Stock Index Inv (VGTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20021-2.66%-4.63%$9,734$9,537-2.66%-4.63%
200221.51%0.90%$9,881$9,6231.51%0.90%
200239.01%5.71%$10,771$10,1729.01%5.71%
200240.40%0.42%$10,814$10,2160.40%0.42%
200253.31%1.16%$11,173$10,3343.31%1.16%
20026-8.45%-4.28%$10,228$9,892-8.45%-4.28%
20027-9.77%-9.80%$9,229$8,922-9.77%-9.80%
200280.12%-0.12%$9,240$8,9120.12%-0.12%
20029-14.51%-10.88%$7,899$7,942-14.51%-10.88%
2002104.95%5.70%$8,290$8,3944.95%5.70%
2002118.19%4.75%$8,969$8,7938.19%4.75%
200212-3.12%-3.43%$8,689$8,492-3.12%-3.43%
20031-3.10%-3.76%$8,420$8,173-3.10%-3.76%
20032-6.14%-2.42%$7,903$7,975-6.14%-2.42%
20033-2.92%-1.93%$7,672$7,821-2.92%-1.93%
2003412.54%9.70%$8,634$8,58012.54%9.70%
200356.43%6.15%$9,189$9,1086.43%6.15%
200362.39%2.66%$9,409$9,3502.39%2.66%
200378.53%3.18%$10,211$9,6478.53%3.18%
200386.67%2.51%$10,893$9,8896.67%2.51%
200392.32%2.78%$11,145$10,1642.32%2.78%
2003106.02%6.49%$11,816$10,8246.02%6.49%
2003112.33%2.13%$12,091$11,0552.33%2.13%
2003127.38%7.80%$12,983$11,9177.38%7.80%
200413.07%1.60%$13,381$12,1083.07%1.60%
200423.84%2.50%$13,895$12,4103.84%2.50%
200430.64%0.45%$13,984$12,4660.64%0.45%
20044-3.08%-3.14%$13,552$12,074-3.08%-3.14%
200450.90%0.46%$13,674$12,1300.90%0.46%
200464.49%2.40%$14,288$12,4214.49%2.40%
20047-2.01%-3.34%$14,000$12,007-2.01%-3.34%
200481.38%0.75%$14,194$12,0961.38%0.75%
200494.32%2.96%$14,808$12,4554.32%2.96%
2004103.10%3.24%$15,267$12,8583.10%3.24%
2004117.53%7.23%$16,417$13,7887.53%7.23%
2004124.76%4.44%$17,198$14,4004.76%4.44%
20051-0.39%-1.67%$17,130$14,160-0.39%-1.67%
200525.57%4.68%$18,085$14,8235.57%4.68%
20053-3.20%-2.93%$17,506$14,389-3.20%-2.93%
20054-2.92%-2.07%$16,996$14,092-2.92%-2.07%
200551.16%0.08%$17,192$14,1031.16%0.08%
200561.76%1.30%$17,495$14,2861.76%1.30%
200572.92%3.68%$18,006$14,8122.92%3.68%
200583.24%2.85%$18,590$15,2353.24%2.85%
200593.26%4.73%$19,196$15,9553.26%4.73%
200510-2.63%-3.37%$18,691$15,418-2.63%-3.37%
2005113.12%2.67%$19,275$15,8293.12%2.67%
2005124.17%5.14%$20,078$16,6434.17%5.14%
200616.54%6.87%$21,390$17,7866.54%6.87%
20062-1.37%-0.72%$21,098$17,657-1.37%-0.72%
200634.59%3.17%$22,067$18,2174.59%3.17%
200646.60%5.12%$23,522$19,1506.60%5.12%
20065-4.68%-4.45%$22,422$18,299-4.68%-4.45%
20066-0.41%-0.38%$22,330$18,229-0.41%-0.38%
200671.72%1.15%$22,714$18,4391.72%1.15%
200681.77%2.53%$23,115$18,9051.77%2.53%
20069-0.20%0.25%$23,070$18,952-0.20%0.25%
2006103.68%4.00%$23,918$19,7103.68%4.00%
2006113.33%3.73%$24,715$20,4453.33%3.73%
2006123.99%3.09%$25,701$21,0763.99%3.09%
200711.74%0.96%$26,148$21,2791.74%0.96%
200720.38%0.06%$26,248$21,2910.38%0.06%
200732.83%2.80%$26,990$21,8872.83%2.80%
200743.25%3.92%$27,867$22,7463.25%3.92%
200753.19%3.09%$28,756$23,4493.19%3.09%
200760.06%0.61%$28,774$23,5930.06%0.61%
20077-1.84%-1.06%$28,244$23,342-1.84%-1.06%
20078-1.40%-0.72%$27,850$23,175-1.40%-0.72%
200793.76%6.38%$28,897$24,6543.76%6.38%
2007103.77%5.90%$29,986$26,1093.77%5.90%
200711-3.65%-4.57%$28,892$24,916-3.65%-4.57%
200712-0.63%-2.28%$28,711$24,347-0.63%-2.28%
20081-8.06%-8.55%$26,396$22,266-8.06%-8.55%
20082-1.35%0.33%$26,040$22,340-1.35%0.33%
20083-1.63%-0.71%$25,616$22,181-1.63%-0.71%
200847.55%5.85%$27,550$23,4787.55%5.85%
200851.15%1.51%$27,868$23,8331.15%1.51%
20086-8.87%-8.99%$25,398$21,691-8.87%-8.99%
20087-1.69%-3.67%$24,967$20,895-1.69%-3.67%
20088-3.27%-5.10%$24,150$19,830-3.27%-5.10%
20089-14.29%-13.09%$20,700$17,235-14.29%-13.09%
200810-24.50%-22.09%$15,628$13,428-24.50%-22.09%
200811-7.90%-6.29%$14,393$12,584-7.90%-6.29%
2008126.35%8.16%$15,307$13,6106.35%8.16%
20091-12.33%-11.96%$13,420$11,983-12.33%-11.96%
20092-10.47%-9.58%$12,015$10,835-10.47%-9.58%
2009310.88%9.31%$13,322$11,84410.88%9.31%
2009417.84%12.78%$15,698$13,35817.84%12.78%
2009514.43%14.35%$17,963$15,27514.43%14.35%
20096-1.09%-1.32%$17,767$15,073-1.09%-1.32%
2009711.76%9.96%$19,857$16,57411.76%9.96%
200985.14%3.50%$20,877$17,1545.14%3.50%
200995.86%5.15%$22,100$18,0375.86%5.15%
200910-3.19%-2.17%$21,395$17,646-3.19%-2.17%
2009113.14%3.86%$22,066$18,3273.14%3.86%
2009122.29%1.53%$22,572$18,6082.29%1.53%
20101-4.02%-5.07%$21,665$17,666-4.02%-5.07%
20102-0.49%0.22%$21,558$17,704-0.49%0.22%
201038.58%6.71%$23,408$18,8928.58%6.71%
20104-1.15%-1.71%$23,139$18,570-1.15%-1.71%
20105-11.39%-10.78%$20,502$16,568-11.39%-10.78%
20106-1.87%-1.17%$20,120$16,374-1.87%-1.17%
2010710.81%10.33%$22,295$18,06610.81%10.33%
20108-3.85%-3.22%$21,438$17,485-3.85%-3.22%
2010910.88%10.41%$23,769$19,30610.88%10.41%
2010104.59%3.55%$24,861$19,9904.59%3.55%
201011-4.39%-4.52%$23,769$19,086-4.39%-4.52%
2010127.96%8.34%$25,661$20,6787.96%8.34%
201110.50%0.70%$25,791$20,8220.50%0.70%
201122.98%2.71%$26,560$21,3862.98%2.71%
20113-0.95%-0.43%$26,308$21,294-0.95%-0.43%
201145.82%5.24%$27,839$22,4105.82%5.24%
20115-2.99%-2.87%$27,005$21,767-2.99%-2.87%
20116-2.13%-1.51%$26,430$21,439-2.13%-1.51%
20117-2.77%-1.53%$25,697$21,111-2.77%-1.53%
20118-9.31%-8.45%$23,304$19,326-9.31%-8.45%
20119-11.22%-12.29%$20,689$16,952-11.22%-12.29%
20111010.46%10.22%$22,852$18,68410.46%10.22%
201111-3.11%-2.88%$22,140$18,146-3.11%-2.88%
201112-2.61%-2.64%$21,563$17,666-2.61%-2.64%
201216.36%7.27%$22,935$18,9516.36%7.27%
201225.82%5.14%$24,270$19,9255.82%5.14%
201230.15%-0.75%$24,307$19,7760.15%-0.75%
20124-2.37%-1.78%$23,731$19,425-2.37%-1.78%
20125-11.72%-11.14%$20,951$17,260-11.72%-11.14%
201266.34%6.03%$22,279$18,3026.34%6.03%
201270.70%0.44%$22,433$18,3830.70%0.44%
201283.12%2.72%$23,134$18,8843.12%2.72%
201293.44%3.62%$23,930$19,5673.44%3.62%
2012101.54%0.56%$24,299$19,6771.54%0.56%
2012111.67%1.82%$24,705$20,0351.67%1.82%
2012125.64%4.17%$26,098$20,8715.64%4.17%
201314.99%3.34%$27,401$21,5684.99%3.34%
20132-1.81%-1.23%$26,904$21,303-1.81%-1.23%
201330.53%0.77%$27,047$21,4660.53%0.77%
201344.12%3.58%$28,162$22,2344.12%3.58%
201350.96%-2.95%$28,434$21,5780.96%-2.95%
20136-3.26%-3.75%$27,507$20,770-3.26%-3.75%
201375.89%4.56%$29,127$21,7185.89%4.56%
20138-2.87%-1.63%$28,290$21,364-2.87%-1.63%
201398.07%7.21%$30,573$22,9058.07%7.21%
2013104.53%3.41%$31,959$23,6874.53%3.41%
2013111.41%0.12%$32,411$23,7151.41%0.12%
2013121.71%1.25%$32,965$24,0111.71%1.25%
20141-4.34%-4.78%$31,533$22,864-4.34%-4.78%
201426.07%5.39%$33,448$24,0976.07%5.39%
201431.28%0.41%$33,877$24,1951.28%0.41%
201441.22%1.31%$34,290$24,5131.22%1.31%
201452.70%1.88%$35,217$24,9752.70%1.88%
201461.00%1.74%$35,569$25,4101.00%1.74%
20147-0.95%-1.61%$35,232$25,001-0.95%-1.61%
201482.15%1.05%$35,991$25,2642.15%1.05%
20149-3.85%-5.01%$34,604$23,998-3.85%-5.01%
201410-1.75%-0.31%$33,999$23,924-1.75%-0.31%
2014111.85%-0.25%$34,627$23,8661.85%-0.25%
201412-4.73%-3.65%$32,991$22,994-4.73%-3.65%
20151-0.81%0.13%$32,724$23,023-0.81%0.13%
201525.67%5.52%$34,581$24,2955.67%5.52%
20153-0.59%-1.54%$34,377$23,921-0.59%-1.54%
201543.28%5.08%$35,505$25,1373.28%5.08%
20155-0.62%-0.94%$35,286$24,900-0.62%-0.94%
20156-2.86%-2.69%$34,275$24,230-2.86%-2.69%
20157-1.65%-0.80%$33,711$24,035-1.65%-0.80%
20158-8.25%-7.29%$30,930$22,282-8.25%-7.29%
20159-6.23%-3.90%$29,003$21,413-6.23%-3.90%
2015107.75%6.26%$31,251$22,7547.75%6.26%
201511-1.63%-1.32%$30,742$22,452-1.63%-1.32%
201512-4.87%-2.07%$29,245$21,988-4.87%-2.07%
20161-9.40%-5.59%$26,495$20,759-9.40%-5.59%
20162-2.87%-2.27%$25,734$20,288-2.87%-2.27%
201639.38%8.19%$28,147$21,9499.38%8.19%
201643.56%2.22%$29,149$22,4363.56%2.22%
20165-0.94%-1.02%$28,876$22,208-0.94%-1.02%
20166-3.69%-0.94%$27,810$21,998-3.69%-0.94%
201676.54%4.41%$29,630$22,9696.54%4.41%
201683.35%0.74%$30,624$23,1383.35%0.74%
201690.03%1.37%$30,632$23,4550.03%1.37%
2016101.60%-1.72%$31,121$23,0521.60%-1.72%
201611-0.70%-2.15%$30,904$22,556-0.70%-2.15%
2016122.45%2.02%$31,661$23,0112.45%2.02%
201714.30%3.87%$33,024$23,9024.30%3.87%
201721.21%1.50%$33,423$24,2611.21%1.50%
201733.56%2.82%$34,611$24,9453.56%2.82%
201742.52%2.20%$35,484$25,4942.52%2.20%
201752.46%3.01%$36,357$26,2612.46%3.01%
20176-0.27%0.52%$36,257$26,399-0.27%0.52%
201774.38%3.42%$37,844$27,3024.38%3.42%
20178-0.92%0.64%$37,495$27,476-0.92%0.64%
201793.41%1.81%$38,775$27,9733.41%1.81%
201710-0.28%1.94%$38,667$28,514-0.28%1.94%
201711-0.54%0.78%$38,459$28,737-0.54%0.78%
2017122.04%2.01%$39,242$29,3152.04%2.01%
201816.37%5.59%$41,742$30,9546.37%5.59%
20182-5.36%-5.14%$39,505$29,363-5.36%-5.14%
20183-2.79%-0.64%$38,404$29,177-2.79%-0.64%
201841.46%0.83%$38,963$29,4181.46%0.83%
20185-4.81%-1.92%$37,090$28,855-4.81%-1.92%
20186-1.76%-2.08%$36,438$28,254-1.76%-2.08%
201874.81%2.48%$38,192$28,9544.81%2.48%
20188-4.13%-2.19%$36,616$28,319-4.13%-2.19%
201890.32%0.30%$36,735$28,4040.32%0.30%
201810-6.11%-8.35%$34,490$26,032-6.11%-8.35%
2018110.05%1.26%$34,507$26,3590.05%1.26%
201812-6.73%-4.85%$32,185$25,081-6.73%-4.85%
201918.51%7.58%$34,923$26,9838.51%7.58%
201922.00%1.72%$35,621$27,4452.00%1.72%
20193-0.81%0.72%$35,333$27,644-0.81%0.72%
201944.17%2.76%$36,806$28,4074.17%2.76%
20195-7.60%-5.55%$34,007$26,832-7.60%-5.55%
201966.82%5.83%$36,327$28,3956.82%5.83%
20197-2.78%-1.89%$35,315$27,858-2.78%-1.89%
20198-3.11%-2.35%$34,217$27,204-3.11%-2.35%
201994.41%2.72%$35,725$27,9454.41%2.72%
2019103.51%3.38%$36,981$28,8903.51%3.38%
2019111.77%1.11%$37,635$29,2101.77%1.11%
2019125.00%4.27%$39,516$30,4575.00%4.27%
20201-4.93%-3.30%$37,567$29,450-4.93%-3.30%
20202-8.20%-6.72%$34,486$27,472-8.20%-6.72%
20203-20.37%-16.11%$27,462$23,045-20.37%-16.11%
202047.56%8.09%$29,537$24,9097.56%8.09%
202053.87%4.80%$30,679$26,1053.87%4.80%
202065.05%4.24%$32,229$27,2135.05%4.24%
202071.49%4.10%$32,709$28,3291.49%4.10%
202084.60%4.31%$34,214$29,5494.60%4.31%
20209-5.43%-1.96%$32,356$28,970-5.43%-1.96%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.50%
Mid-cap Value5.12%3.14%
Mid-cap Growth0.00%0.00%
Small-cap Value7.46%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets70.13%72.78%
Emerging Markets17.29%22.20%
Corporate Bonds0.00%1.39%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared94.54%99.44%
Style analysis is based on monthly returns from Apr 2005 to Sep 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/EReturn ContributionRisk Contribution
DODFXDodge&Cox International StockForeign Large Value100.00%0.63%14.74$22,356100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend100.00%0.17%18.00$18,970100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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 2
Arithmetic Mean (monthly)0.69%0.60%
Arithmetic Mean (annualized)8.55%7.46%
Geometric Mean (monthly)0.52%0.47%
Geometric Mean (annualized)6.46%5.84%
Volatility (monthly)5.64%5.00%
Volatility (annualized)19.54%17.32%
Downside Deviation (monthly)3.96%3.52%
Max. Drawdown-59.93%-58.50%
US Market Correlation0.880.88
Beta(*)1.141.01
Alpha (annualized)-2.24%-2.08%
R277.36%77.56%
Sharpe Ratio0.360.34
Sortino Ratio0.500.48
Treynor Ratio (%)6.105.87
Calmar Ratio-0.170.05
Active Return-1.88%-2.50%
Tracking Error9.54%8.21%
Information Ratio-0.20-0.30
Skewness-0.72-0.75
Excess Kurtosis2.292.18
Historical Value-at-Risk (5%)-9.38%-8.86%
Analytical Value-at-Risk (5%)-8.59%-7.62%
Conditional Value-at-Risk (5%)-13.63%-12.43%
Upside Capture Ratio (%)106.5794.04
Downside Capture Ratio (%)117.19105.67
Safe Withdrawal Rate10.23%8.44%
Perpetual Withdrawal Rate4.28%3.69%
Positive Periods132 out of 225 (58.67%)136 out of 225 (60.44%)
Gain/Loss Ratio0.970.90
* 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 2
Subprime CrisisNov 2007Mar 2009-59.93%-58.50%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-59.93%
2Feb 2018Mar 20202 years 2 months-34.21%
3Jun 2002Mar 200310 monthsOct 20037 months1 year 5 months-31.33%
4Sep 2014Feb 20161 year 6 monthsMay 20171 year 3 months2 years 9 months-28.50%
5Mar 2005Apr 20052 monthsAug 20054 months6 months-6.02%
6May 2006Jun 20062 monthsOct 20064 months6 months-5.07%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-4.34%
8Jul 2007Aug 20072 monthsSep 20071 month3 months-3.21%
9Apr 2004Apr 20041 monthJun 20042 months3 months-3.08%
10Jan 2002Jan 20021 monthMar 20022 months3 months-2.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.50%
2Feb 2018Mar 20202 years 2 months-25.55%
3Jun 2002Mar 200310 monthsOct 20037 months1 year 5 months-24.32%
4Mar 2005Apr 20052 monthsAug 20054 months6 months-4.93%
5May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
6Jan 2002Jan 20021 monthMar 20022 months3 months-4.63%
7Apr 2004Jul 20044 monthsOct 20043 months7 months-3.68%
8Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
9Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-1.67%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DODFXDodge&Cox International Stock6.46%19.54%49.42%-46.69%-59.93%0.360.500.88
VGTSXVanguard Total Intl Stock Index Inv5.84%17.32%40.34%-44.10%-58.50%0.340.480.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameDODFXVGTSXPortfolio 1Portfolio 2
DODFXDodge&Cox International Stock1.000.971.000.97
VGTSXVanguard Total Intl Stock Index Inv0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
DODFXDodge&Cox International Stock$22,356
VGTSXVanguard Total Intl Stock Index Inv$18,970

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
DODFXDodge&Cox International Stock100.00%
VGTSXVanguard Total Intl Stock Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.93%49.42%-46.69%8.70%40.34%-44.10%
3 years8.75%32.21%-8.65%7.04%25.14%-6.49%
5 years7.37%27.00%-3.45%5.87%23.45%-3.47%
7 years6.39%14.61%2.00%4.82%11.86%-0.81%
10 years6.52%11.63%2.11%4.92%9.41%0.88%
15 years7.63%10.57%5.70%6.13%8.61%5.09%
Result statistics are based on annualized rolling returns over full calendar year periods