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 1993 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
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$130,237 9.69% 14.63%37.45%-37.02%-50.97% 0.550.790.99
Portfolio 2$10,000$129,651 9.67% 15.02%35.79%-37.04%-50.89% 0.530.771.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 18.89%5.47%15.00%12.13%14.00%13.58%9.69%
Portfolio 29.18%5.42%14.88%11.53%13.56%13.36%9.67%
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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19932.75%9.89%10.62%$10,989$11,0629.89%10.62%
19942.67%1.18%-0.17%$11,118$11,0441.18%-0.17%
19952.54%37.45%35.79%$15,282$14,99637.45%35.79%
19963.32%22.88%20.96%$18,778$18,13922.88%20.96%
19971.70%33.19%30.99%$25,010$23,76133.19%30.99%
19981.61%28.62%23.26%$32,168$29,28928.62%23.26%
19992.68%21.07%23.81%$38,945$36,26421.07%23.81%
20003.39%-9.06%-10.57%$35,418$32,429-9.06%-10.57%
20011.55%-12.02%-10.97%$31,160$28,873-12.02%-10.97%
20022.38%-22.15%-20.96%$24,259$22,821-22.15%-20.96%
20031.88%28.50%31.35%$31,174$29,97628.50%31.35%
20043.26%10.74%12.51%$34,522$33,72810.74%12.51%
20053.42%4.77%5.98%$36,170$35,7454.77%5.98%
20062.54%15.64%15.51%$41,827$41,28915.64%15.51%
20074.08%5.39%5.49%$44,081$43,5565.39%5.49%
20080.09%-37.02%-37.04%$27,762$27,424-37.02%-37.04%
20092.72%26.49%28.70%$35,114$35,29426.49%28.70%
20101.50%14.91%17.09%$40,351$41,32714.91%17.09%
20112.96%1.97%0.96%$41,145$41,7241.97%0.96%
20121.74%15.82%16.25%$47,656$48,50615.82%16.25%
20131.50%32.18%33.35%$62,989$64,68232.18%33.35%
20140.76%13.51%12.43%$71,498$72,72113.51%12.43%
20150.73%1.25%0.29%$72,391$72,9351.25%0.29%
20162.07%11.82%12.53%$80,945$82,07611.82%12.53%
20172.11%21.67%21.05%$98,484$99,35521.67%21.05%
20181.91%-4.52%-5.26%$94,028$94,132-4.52%-5.26%
20192.29%31.33%30.65%$123,485$122,98331.33%30.65%
20201.29%5.47%5.42%$130,237$129,6515.47%5.42%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199310.81%1.01%$10,081$10,1010.81%1.01%
199321.36%0.46%$10,217$10,1481.36%0.46%
199332.11%2.46%$10,433$10,3982.11%2.46%
19934-2.42%-2.77%$10,180$10,110-2.42%-2.77%
199352.65%3.03%$10,450$10,4162.65%3.03%
199360.27%0.55%$10,478$10,4730.27%0.55%
19937-0.42%-0.27%$10,433$10,445-0.42%-0.27%
199383.79%3.93%$10,828$10,8563.79%3.93%
19939-0.79%0.01%$10,742$10,856-0.79%0.01%
1993102.08%1.64%$10,965$11,0352.08%1.64%
199311-1.00%-1.62%$10,856$10,856-1.00%-1.62%
1993121.22%1.90%$10,989$11,0621.22%1.90%
199413.38%3.08%$11,360$11,4033.38%3.08%
19942-2.71%-2.24%$11,052$11,148-2.71%-2.24%
19943-4.39%-4.44%$10,567$10,652-4.39%-4.44%
199441.29%0.89%$10,703$10,7481.29%0.89%
199451.60%0.97%$10,875$10,8521.60%0.97%
19946-2.45%-2.73%$10,609$10,556-2.45%-2.73%
199473.28%3.08%$10,956$10,8813.28%3.08%
199484.08%4.39%$11,403$11,3604.08%4.39%
19949-2.45%-1.85%$11,124$11,149-2.45%-1.85%
1994102.25%1.55%$11,374$11,3222.25%1.55%
199411-3.65%-3.65%$10,958$10,909-3.65%-3.65%
1994121.46%1.23%$11,118$11,0441.46%1.23%
199512.58%2.20%$11,406$11,2872.58%2.20%
199523.88%4.04%$11,848$11,7433.88%4.04%
199532.95%2.65%$12,198$12,0552.95%2.65%
199542.94%2.51%$12,557$12,3572.94%2.51%
199553.95%3.48%$13,053$12,7873.95%3.48%
199562.31%2.98%$13,355$13,1682.31%2.98%
199573.30%4.02%$13,796$13,6973.30%4.02%
199580.26%1.07%$13,833$13,8440.26%1.07%
199594.21%3.61%$14,415$14,3444.21%3.61%
199510-0.36%-1.17%$14,363$14,177-0.36%-1.17%
1995114.38%4.17%$14,992$14,7684.38%4.17%
1995121.93%1.54%$15,282$14,9961.93%1.54%
199613.39%2.66%$15,799$15,3953.39%2.66%
199620.92%1.62%$15,945$15,6440.92%1.62%
199630.98%1.14%$16,101$15,8230.98%1.14%
199641.46%2.41%$16,335$16,2041.46%2.41%
199652.54%2.66%$16,751$16,6352.54%2.66%
199660.38%-0.84%$16,815$16,4950.38%-0.84%
19967-4.42%-5.37%$16,072$15,609-4.42%-5.37%
199682.10%3.09%$16,409$16,0922.10%3.09%
199695.61%5.38%$17,329$16,9585.61%5.38%
1996102.76%1.43%$17,806$17,2012.76%1.43%
1996117.56%6.81%$19,153$18,3727.56%6.81%
199612-1.96%-1.27%$18,778$18,139-1.96%-1.27%
199716.22%5.46%$19,945$19,1296.22%5.46%
199720.79%-0.11%$20,103$19,1090.79%-0.11%
19973-4.14%-4.45%$19,271$18,258-4.14%-4.45%
199745.96%4.50%$20,419$19,0795.96%4.50%
199756.09%7.10%$21,662$20,4346.09%7.10%
199764.45%4.37%$22,627$21,3264.45%4.37%
199777.97%7.77%$24,429$22,9837.97%7.77%
19978-5.61%-3.72%$23,059$22,129-5.61%-3.72%
199795.47%5.77%$24,320$23,4065.47%5.77%
199710-3.35%-3.40%$23,505$22,611-3.35%-3.40%
1997114.60%3.33%$24,586$23,3644.60%3.33%
1997121.72%1.70%$25,010$23,7611.72%1.70%
199811.11%0.44%$25,288$23,8661.11%0.44%
199827.19%7.34%$27,107$25,6197.19%7.34%
199835.10%5.06%$28,490$26,9165.10%5.06%
199841.01%1.10%$28,777$27,2111.01%1.10%
19985-1.74%-2.71%$28,276$26,473-1.74%-2.71%
199864.07%3.54%$29,427$27,4114.07%3.54%
19987-1.05%-2.27%$29,117$26,788-1.05%-2.27%
19988-14.47%-15.65%$24,902$22,595-14.47%-15.65%
199896.41%6.68%$26,499$24,1046.41%6.68%
1998108.16%7.51%$28,662$25,9158.16%7.51%
1998116.07%6.17%$30,403$27,5146.07%6.17%
1998125.81%6.45%$32,168$29,2895.81%6.45%
199914.20%3.65%$33,520$30,3574.20%3.65%
19992-3.12%-3.73%$32,472$29,225-3.12%-3.73%
199934.00%3.93%$33,770$30,3754.00%3.93%
199943.85%4.68%$35,071$31,7953.85%4.68%
19995-2.39%-2.00%$34,233$31,160-2.39%-2.00%
199965.56%5.16%$36,135$32,7685.56%5.16%
19997-3.13%-3.20%$35,004$31,721-3.13%-3.20%
19998-0.50%-0.92%$34,830$31,430-0.50%-0.92%
19999-2.74%-2.44%$33,876$30,663-2.74%-2.44%
1999106.33%6.29%$36,019$32,5916.33%6.29%
1999112.02%3.42%$36,748$33,7062.02%3.42%
1999125.98%7.59%$38,945$36,2645.98%7.59%
20001-5.03%-4.18%$36,985$34,747-5.03%-4.18%
20002-1.91%2.54%$36,280$35,631-1.91%2.54%
200039.76%5.69%$39,821$37,6579.76%5.69%
20004-3.01%-5.21%$38,624$35,696-3.01%-5.21%
20005-2.04%-3.41%$37,837$34,480-2.04%-3.41%
200062.49%4.42%$38,778$36,0042.49%4.42%
20007-1.49%-1.95%$38,200$35,301-1.49%-1.95%
200086.19%7.28%$40,564$37,8716.19%7.28%
20009-5.29%-4.67%$38,419$36,102-5.29%-4.67%
200010-0.43%-2.04%$38,253$35,364-0.43%-2.04%
200011-7.88%-9.90%$35,240$31,862-7.88%-9.90%
2000120.50%1.78%$35,418$32,4290.50%1.78%
200113.55%3.83%$36,673$33,6713.55%3.83%
20012-9.14%-9.41%$33,322$30,501-9.14%-9.41%
20013-6.36%-6.72%$31,204$28,451-6.36%-6.72%
200147.77%8.16%$33,629$30,7747.77%8.16%
200150.65%1.01%$33,848$31,0850.65%1.01%
20016-2.45%-1.64%$33,020$30,577-2.45%-1.64%
20017-1.00%-1.71%$32,690$30,053-1.00%-1.71%
20018-6.27%-6.00%$30,639$28,249-6.27%-6.00%
20019-8.09%-9.00%$28,160$25,707-8.09%-9.00%
2001101.90%2.52%$28,693$26,3551.90%2.52%
2001117.65%7.63%$30,890$28,3677.65%7.63%
2001120.87%1.78%$31,160$28,8730.87%1.78%
20021-1.47%-1.24%$30,700$28,514-1.47%-1.24%
20022-1.94%-2.05%$30,106$27,931-1.94%-2.05%
200233.74%4.38%$31,233$29,1533.74%4.38%
20024-6.07%-4.90%$29,336$27,725-6.07%-4.90%
20025-0.75%-1.22%$29,114$27,388-0.75%-1.22%
20026-7.13%-7.06%$27,037$25,453-7.13%-7.06%
20027-7.72%-8.02%$24,950$23,412-7.72%-8.02%
200280.65%0.53%$25,113$23,5360.65%0.53%
20029-10.87%-10.07%$22,382$21,167-10.87%-10.07%
2002108.78%7.65%$24,348$22,7858.78%7.65%
2002115.88%6.06%$25,778$24,1665.88%6.06%
200212-5.89%-5.57%$24,259$22,821-5.89%-5.57%
20031-2.62%-2.54%$23,622$22,241-2.62%-2.54%
20032-1.52%-1.69%$23,264$21,866-1.52%-1.69%
200330.96%1.09%$23,486$22,1030.96%1.09%
200348.25%8.21%$25,425$23,9188.25%8.21%
200355.26%6.11%$26,763$25,3785.26%6.11%
200361.26%1.43%$27,100$25,7421.26%1.43%
200371.74%2.36%$27,573$26,3491.74%2.36%
200381.93%2.39%$28,106$26,9781.93%2.39%
20039-1.07%-1.15%$27,805$26,669-1.07%-1.15%
2003105.64%6.12%$29,373$28,3005.64%6.12%
2003110.86%1.38%$29,627$28,6910.86%1.38%
2003125.22%4.48%$31,174$29,9765.22%4.48%
200411.82%2.23%$31,741$30,6451.82%2.23%
200421.38%1.43%$32,179$31,0831.38%1.43%
20043-1.51%-1.07%$31,692$30,750-1.51%-1.07%
20044-1.58%-2.11%$31,192$30,102-1.58%-2.11%
200451.36%1.35%$31,615$30,5071.36%1.35%
200461.93%2.09%$32,225$31,1441.93%2.09%
20047-3.31%-3.80%$31,158$29,960-3.31%-3.80%
200480.38%0.31%$31,278$30,0530.38%0.31%
200491.07%1.74%$31,611$30,5761.07%1.74%
2004101.51%1.68%$32,090$31,0891.51%1.68%
2004114.05%4.68%$33,389$32,5454.05%4.68%
2004123.39%3.63%$34,522$33,7283.39%3.63%
20051-2.45%-2.68%$33,674$32,825-2.45%-2.68%
200522.09%2.07%$34,379$33,5052.09%2.07%
20053-1.76%-1.75%$33,774$32,920-1.76%-1.75%
20054-1.91%-2.32%$33,129$32,155-1.91%-2.32%
200553.17%3.77%$34,178$33,3673.17%3.77%
200560.13%0.81%$34,221$33,6380.13%0.81%
200573.71%4.11%$35,490$35,0183.71%4.11%
20058-0.91%-0.94%$35,166$34,688-0.91%-0.94%
200590.79%0.86%$35,445$34,9850.79%0.86%
200510-1.68%-1.86%$34,850$34,333-1.68%-1.86%
2005113.76%3.97%$36,162$35,6963.76%3.97%
2005120.02%0.14%$36,170$35,7450.02%0.14%
200612.65%3.50%$37,127$36,9962.65%3.50%
200620.26%0.00%$37,224$36,9960.26%0.00%
200631.23%1.80%$37,682$37,6631.23%1.80%
200641.33%1.11%$38,185$38,0811.33%1.11%
20065-2.90%-3.23%$37,079$36,849-2.90%-3.23%
200660.13%0.17%$37,126$36,9130.13%0.17%
200670.61%-0.13%$37,351$36,8640.61%-0.13%
200682.36%2.31%$38,234$37,7172.36%2.31%
200692.56%2.27%$39,214$38,5722.56%2.27%
2006103.25%3.53%$40,489$39,9343.25%3.53%
2006111.89%2.23%$41,254$40,8261.89%2.23%
2006121.39%1.13%$41,827$41,2891.39%1.13%
200711.49%1.88%$42,452$42,0641.49%1.88%
20072-1.97%-1.61%$41,616$41,386-1.97%-1.61%
200731.11%1.11%$42,079$41,8441.11%1.11%
200744.42%4.01%$43,938$43,5234.42%4.01%
200753.48%3.69%$45,465$45,1283.48%3.69%
20076-1.68%-1.67%$44,703$44,374-1.68%-1.67%
20077-3.08%-3.41%$43,324$42,861-3.08%-3.41%
200781.50%1.45%$43,973$43,4831.50%1.45%
200793.72%3.59%$45,611$45,0453.72%3.59%
2007101.58%1.85%$46,331$45,8791.58%1.85%
200711-4.19%-4.49%$44,391$43,820-4.19%-4.49%
200712-0.70%-0.60%$44,081$43,556-0.70%-0.60%
20081-6.02%-6.08%$41,429$40,907-6.02%-6.08%
20082-3.25%-3.07%$40,082$39,651-3.25%-3.07%
20083-0.44%-0.58%$39,905$39,420-0.44%-0.58%
200844.85%5.02%$41,842$41,3994.85%5.02%
200851.29%2.09%$42,383$42,2661.29%2.09%
20086-8.44%-8.19%$38,807$38,803-8.44%-8.19%
20087-0.83%-0.77%$38,484$38,505-0.83%-0.77%
200881.45%1.58%$39,041$39,1141.45%1.58%
20089-8.91%-9.26%$35,564$35,491-8.91%-9.26%
200810-16.79%-17.63%$29,592$29,234-16.79%-17.63%
200811-7.17%-7.90%$27,469$26,924-7.17%-7.90%
2008121.07%1.86%$27,762$27,4241.07%1.86%
20091-8.41%-8.26%$25,426$25,159-8.41%-8.26%
20092-10.66%-10.45%$22,716$22,530-10.66%-10.45%
200938.76%8.65%$24,706$24,4808.76%8.65%
200949.56%10.61%$27,068$27,0769.56%10.61%
200955.62%5.38%$28,589$28,5325.62%5.38%
200960.22%0.34%$28,652$28,6300.22%0.34%
200977.58%7.82%$30,823$30,8707.58%7.82%
200983.60%3.63%$31,932$31,9903.60%3.63%
200993.72%4.23%$33,119$33,3423.72%4.23%
200910-1.87%-2.57%$32,500$32,485-1.87%-2.57%
2009115.98%5.63%$34,444$34,3135.98%5.63%
2009121.95%2.86%$35,114$35,2941.95%2.86%
20101-3.60%-3.50%$33,849$34,059-3.60%-3.50%
201023.09%3.36%$34,896$35,2043.09%3.36%
201036.01%6.27%$36,994$37,4116.01%6.27%
201041.58%2.17%$37,578$38,2241.58%2.17%
20105-8.01%-8.00%$34,570$35,166-8.01%-8.00%
20106-5.24%-5.66%$32,758$33,175-5.24%-5.66%
201077.00%6.99%$35,050$35,4957.00%6.99%
20108-4.53%-4.75%$33,463$33,810-4.53%-4.75%
201098.92%9.47%$36,447$37,0118.92%9.47%
2010103.79%3.94%$37,828$38,4703.79%3.94%
2010110.00%0.58%$37,828$38,6920.00%0.58%
2010126.67%6.81%$40,351$41,3276.67%6.81%
201112.36%2.19%$41,302$42,2302.36%2.19%
201123.42%3.60%$42,713$43,7493.42%3.60%
201130.03%0.45%$42,724$43,9460.03%0.45%
201142.95%2.99%$43,984$45,2602.95%2.99%
20115-1.15%-1.16%$43,480$44,734-1.15%-1.16%
20116-1.67%-1.79%$42,753$43,935-1.67%-1.79%
20117-2.05%-2.28%$41,878$42,932-2.05%-2.28%
20118-5.45%-5.99%$39,597$40,358-5.45%-5.99%
20119-7.04%-7.75%$36,808$37,229-7.04%-7.75%
20111010.91%11.51%$40,826$41,51310.91%11.51%
201111-0.23%-0.29%$40,730$41,394-0.23%-0.29%
2011121.02%0.80%$41,145$41,7241.02%0.80%
201214.46%5.08%$42,982$43,8444.46%5.08%
201224.31%4.26%$44,833$45,7114.31%4.26%
201233.28%3.07%$46,304$47,1133.28%3.07%
20124-0.64%-0.65%$46,008$46,805-0.64%-0.65%
20125-6.02%-6.24%$43,239$43,886-6.02%-6.24%
201264.11%3.91%$45,016$45,6024.11%3.91%
201271.37%1.03%$45,632$46,0731.37%1.03%
201282.24%2.48%$46,654$47,2162.24%2.48%
201292.58%2.58%$47,856$48,4332.58%2.58%
201210-1.86%-1.76%$46,967$47,582-1.86%-1.76%
2012110.56%0.74%$47,230$47,9330.56%0.74%
2012120.90%1.19%$47,656$48,5060.90%1.19%
201315.18%5.50%$50,122$51,1735.18%5.50%
201321.34%1.28%$50,794$51,8261.34%1.28%
201333.74%3.88%$52,693$53,8393.74%3.88%
201341.91%1.70%$53,698$54,7541.91%1.70%
201352.33%2.32%$54,948$56,0252.33%2.32%
20136-1.35%-1.27%$54,206$55,312-1.35%-1.27%
201375.07%5.49%$56,955$58,3465.07%5.49%
20138-2.91%-2.82%$55,297$56,698-2.91%-2.82%
201393.12%3.66%$57,023$58,7763.12%3.66%
2013104.59%4.22%$59,638$61,2594.59%4.22%
2013113.03%2.88%$61,445$63,0243.03%2.88%
2013122.51%2.63%$62,989$64,6822.51%2.63%
20141-3.47%-3.11%$60,804$62,672-3.47%-3.11%
201424.56%4.73%$63,577$65,6384.56%4.73%
201430.82%0.51%$64,101$65,9760.82%0.51%
201440.72%0.06%$64,565$66,0170.72%0.06%
201452.33%2.17%$66,072$67,4512.33%2.17%
201462.05%2.54%$67,428$69,1622.05%2.54%
20147-1.39%-1.98%$66,492$67,793-1.39%-1.98%
201483.98%4.18%$69,140$70,6293.98%4.18%
20149-1.41%-2.14%$68,163$69,120-1.41%-2.14%
2014102.42%2.74%$69,815$71,0142.42%2.74%
2014112.68%2.41%$71,688$72,7252.68%2.41%
201412-0.26%-0.01%$71,498$72,721-0.26%-0.01%
20151-3.02%-2.77%$69,341$70,705-3.02%-2.77%
201525.74%5.76%$73,320$74,7805.74%5.76%
20153-1.59%-1.04%$72,152$74,004-1.59%-1.04%
201540.95%0.42%$72,837$74,3160.95%0.42%
201551.27%1.39%$73,764$75,3491.27%1.39%
20156-1.93%-1.71%$72,338$74,061-1.93%-1.71%
201572.08%1.63%$73,843$75,2692.08%1.63%
20158-6.04%-6.03%$69,381$70,734-6.04%-6.03%
20159-2.49%-2.93%$67,654$68,659-2.49%-2.93%
2015108.42%7.84%$73,352$74,0458.42%7.84%
2015110.29%0.54%$73,562$74,4450.29%0.54%
201512-1.59%-2.03%$72,391$72,935-1.59%-2.03%
20161-4.98%-5.67%$68,788$68,799-4.98%-5.67%
20162-0.15%-0.04%$68,688$68,770-0.15%-0.04%
201636.78%7.01%$73,342$73,5916.78%7.01%
201640.37%0.63%$73,616$74,0530.37%0.63%
201651.78%1.79%$74,929$75,3801.78%1.79%
201660.25%0.23%$75,116$75,5500.25%0.23%
201673.68%3.95%$77,877$78,5353.68%3.95%
201680.13%0.26%$77,978$78,7380.13%0.26%
201690.01%0.15%$77,985$78,8560.01%0.15%
201610-1.83%-2.21%$76,555$77,109-1.83%-2.21%
2016113.70%4.44%$79,387$80,5303.70%4.44%
2016121.96%1.92%$80,945$82,0761.96%1.92%
201711.88%1.91%$82,469$83,6431.88%1.91%
201723.96%3.71%$85,737$86,7473.96%3.71%
201730.10%0.07%$85,823$86,8040.10%0.07%
201741.02%1.05%$86,697$87,7161.02%1.05%
201751.39%1.01%$87,905$88,5981.39%1.01%
201760.61%0.92%$88,443$89,4140.61%0.92%
201772.04%1.87%$90,249$91,0832.04%1.87%
201780.29%0.15%$90,514$91,2160.29%0.15%
201792.06%2.45%$92,378$93,4542.06%2.45%
2017102.32%2.16%$94,519$95,4702.32%2.16%
2017113.06%3.04%$97,410$98,3763.06%3.04%
2017121.10%0.99%$98,484$99,3551.10%0.99%
201815.71%5.31%$104,110$104,6285.71%5.31%
20182-3.69%-3.72%$100,263$100,740-3.69%-3.72%
20183-2.56%-1.99%$97,701$98,731-2.56%-1.99%
201840.37%0.38%$98,066$99,1050.37%0.38%
201852.39%2.79%$100,414$101,8712.39%2.79%
201860.61%0.68%$101,022$102,5630.61%0.68%
201873.71%3.34%$104,769$105,9853.71%3.34%
201883.25%3.44%$108,170$109,6333.25%3.44%
201890.55%0.16%$108,770$109,8080.55%0.16%
201810-6.85%-7.40%$101,320$101,680-6.85%-7.40%
2018112.03%2.06%$103,373$103,7762.03%2.06%
201812-9.04%-9.29%$94,028$94,132-9.04%-9.29%
201918.00%8.59%$101,553$102,2148.00%8.59%
201923.20%3.50%$104,803$105,7933.20%3.50%
201931.94%1.44%$106,832$107,3121.94%1.44%
201944.04%3.98%$111,150$111,5794.04%3.98%
20195-6.36%-6.45%$104,075$104,385-6.36%-6.45%
201967.03%6.97%$111,395$111,6607.03%6.97%
201971.43%1.44%$112,983$113,2661.43%1.44%
20198-1.59%-2.03%$111,186$110,972-1.59%-2.03%
201991.86%1.70%$113,252$112,8621.86%1.70%
2019102.15%2.10%$115,693$115,2282.15%2.10%
2019113.62%3.77%$119,882$119,5753.62%3.77%
2019123.01%2.85%$123,485$122,9833.01%2.85%
20201-0.05%-0.08%$123,422$122,890-0.05%-0.08%
20202-8.24%-8.18%$113,251$112,840-8.24%-8.18%
20203-12.37%-13.78%$99,239$97,293-12.37%-13.78%
2020412.81%13.25%$111,956$110,18212.81%13.25%
202054.76%5.38%$117,280$116,1074.76%5.38%
202061.98%2.28%$119,600$118,7531.98%2.28%
202075.63%5.64%$126,329$125,4515.63%5.64%
202087.18%7.18%$135,396$134,4547.18%7.18%
20209-3.81%-3.57%$130,237$129,651-3.81%-3.57%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value46.17%35.27%
Large-cap Growth53.83%46.73%
Mid-cap Value0.00%4.24%
Mid-cap Growth0.00%7.15%
Small-cap Value0.00%4.06%
Small-cap Growth0.00%1.89%
Global ex-US Developed Markets0.00%0.13%
Emerging Markets0.00%0.54%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.91%99.85%
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
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%25.91$120,237100.00%

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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%25.59$119,651100.00%

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)0.86%0.87%
Arithmetic Mean (annualized)10.87%10.92%
Geometric Mean (monthly)0.77%0.77%
Geometric Mean (annualized)9.69%9.67%
Volatility (monthly)4.22%4.34%
Volatility (annualized)14.63%15.02%
Downside Deviation (monthly)2.83%2.94%
Max. Drawdown-50.97%-50.89%
US Market Correlation0.991.00
Beta(*)0.961.00
Alpha (annualized)0.33%0.00%
R297.87%100.00%
Sharpe Ratio0.550.53
Sortino Ratio0.790.77
Treynor Ratio (%)8.308.04
Calmar Ratio0.620.55
Active Return0.02%-0.00%
Tracking Error2.20%0.00%
Information Ratio0.01-0.01
Skewness-0.67-0.75
Excess Kurtosis1.351.56
Historical Value-at-Risk (5%)-7.15%-7.80%
Analytical Value-at-Risk (5%)-6.08%-6.26%
Conditional Value-at-Risk (5%)-9.76%-10.19%
Upside Capture Ratio (%)96.39100.00
Downside Capture Ratio (%)95.30100.00
Safe Withdrawal Rate9.12%8.94%
Perpetual Withdrawal Rate7.00%6.99%
Positive Periods221 out of 333 (66.37%)220 out of 333 (66.07%)
Gain/Loss Ratio0.850.85
* 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
Asian CrisisJul 1997Jan 1998-5.61%-3.72%
Russian Debt DefaultJul 1998Oct 1998-15.38%-17.57%
Dotcom CrashMar 2000Oct 2002-44.82%-44.11%
Subprime CrisisNov 2007Mar 2009-50.97%-50.89%

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%
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%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
10May 2019May 20191 monthJun 20191 month2 months-6.45%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.69%14.63%37.45%-37.02%-50.97%0.550.790.99
VTSMXVanguard Total Stock Mkt Idx Inv9.67%15.02%35.79%-37.04%-50.89%0.530.771.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVTSMXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.000.991.000.99
VTSMXVanguard Total Stock Mkt Idx Inv0.991.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$120,237
VTSMXVanguard Total Stock Mkt Idx Inv$119,651

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.31%37.45%-37.02%11.28%35.79%-37.04%
3 years10.14%31.03%-14.60%10.08%29.10%-14.31%
5 years9.31%28.49%-2.38%9.33%26.84%-1.76%
7 years8.37%21.44%-1.64%8.53%20.21%-0.73%
10 years7.09%13.40%-1.46%7.41%13.30%-0.66%
15 years6.74%10.40%4.13%7.10%10.31%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods