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 1985 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGHCX Vanguard Health Care Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$2,203,498 16.17% 14.35%60.54%-18.45%-33.17% 0.901.420.79
Portfolio 2$10,000$489,063 11.41% 15.15%37.45%-37.02%-50.97% 0.580.840.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 14.61%12.62%11.88%8.80%15.03%16.17%16.52%14.94%
Portfolio 212.12%18.25%14.03%15.07%13.72%11.41%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 1Portfolio 2Vanguard Health Care Inv (VGHCX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
19853.80%45.76%$14,57631.23%$13,12345.76%31.23%
19861.10%21.42%$17,69818.06%$15,49321.42%18.06%
19874.43%-0.50%$17,6104.71%$16,222-0.50%4.71%
19884.42%28.40%$22,61216.22%$18,85328.40%16.22%
19894.65%32.95%$30,06331.36%$24,76632.95%31.36%
19906.11%16.79%$35,112-3.32%$23,94316.79%-3.32%
19913.06%46.32%$51,37730.22%$31,17946.32%30.22%
19922.90%-1.57%$50,5717.42%$33,493-1.57%7.42%
19932.75%11.81%$56,5429.89%$36,80711.81%9.89%
19942.67%9.54%$61,9351.18%$37,2409.54%1.18%
19952.54%45.17%$89,91437.45%$51,18445.17%37.45%
19963.32%21.36%$109,11922.88%$62,89421.36%22.88%
19971.70%28.57%$140,29033.19%$83,76828.57%33.19%
19981.61%40.80%$197,53028.62%$107,74040.80%28.62%
19992.68%7.05%$211,45421.07%$130,4397.05%21.07%
20003.39%60.54%$339,469-9.06%$118,62760.54%-9.06%
20011.55%-6.87%$316,133-12.02%$104,364-6.87%-12.02%
20022.38%-11.36%$280,210-22.15%$81,252-11.36%-22.15%
20031.88%26.58%$354,68928.50%$104,41126.58%28.50%
20043.26%9.51%$388,42010.74%$115,6259.51%10.74%
20053.42%15.41%$448,2604.77%$121,14515.41%4.77%
20062.54%10.87%$496,98615.64%$140,09510.87%15.64%
20074.08%4.43%$518,9835.39%$147,6414.43%5.39%
20080.09%-18.45%$423,213-37.02%$92,983-18.45%-37.02%
20092.72%20.96%$511,93926.49%$117,61020.96%26.49%
20101.50%6.16%$543,46614.91%$135,1516.16%14.91%
20112.96%11.45%$605,7161.97%$137,80811.45%1.97%
20121.74%15.11%$697,24715.82%$159,61515.11%15.82%
20131.50%43.19%$998,38732.18%$210,97243.19%32.18%
20140.76%28.52%$1,283,09313.51%$239,47128.52%13.51%
20150.73%12.65%$1,445,4421.25%$242,46112.65%1.25%
20162.07%-8.99%$1,315,50711.82%$271,112-8.99%11.82%
20172.11%19.61%$1,573,51921.67%$329,85619.61%21.67%
20181.91%1.15%$1,591,659-4.52%$314,9331.15%-4.52%
20192.29%22.93%$1,956,57631.33%$413,59222.93%31.33%
20201.36%12.62%$2,203,49818.25%$489,06312.62%18.25%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Health Care Inv (VGHCX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
1985111.16%$11,1167.58%$10,75811.16%7.58%
198522.45%$11,3881.38%$10,9072.45%1.38%
198530.40%$11,4340.01%$10,9070.40%0.01%
198540.58%$11,501-0.28%$10,8760.58%-0.28%
198558.77%$12,5106.03%$11,5338.77%6.03%
198563.35%$12,9291.43%$11,6983.35%1.43%
198573.39%$13,367-0.22%$11,6723.39%-0.22%
19858-1.57%$13,158-0.67%$11,594-1.57%-0.67%
19859-6.08%$12,358-3.14%$11,229-6.08%-3.14%
1985104.55%$12,9204.40%$11,7234.55%4.40%
1985117.37%$13,8726.94%$12,5377.37%6.94%
1985125.08%$14,5764.67%$13,1235.08%4.67%
198611.96%$14,8620.43%$13,1801.96%0.43%
198626.81%$15,8747.58%$14,1796.81%7.58%
198637.97%$17,1395.48%$14,9557.97%5.48%
198642.25%$17,525-1.35%$14,7542.25%-1.35%
198653.14%$18,0765.45%$15,5593.14%5.45%
198662.40%$18,5101.67%$15,8182.40%1.67%
19867-3.70%$17,825-5.74%$14,909-3.70%-5.74%
198684.12%$18,5597.45%$16,0204.12%7.45%
19869-6.76%$17,303-8.31%$14,690-6.76%-8.31%
1986103.40%$17,8925.63%$15,5173.40%5.63%
1986110.70%$18,0182.55%$15,9130.70%2.55%
198612-1.77%$17,698-2.64%$15,493-1.77%-2.64%
1987115.19%$20,38713.27%$17,54815.19%13.27%
198723.54%$21,1103.97%$18,2443.54%3.97%
198733.69%$21,8892.89%$18,7723.69%2.89%
19874-1.28%$21,608-1.03%$18,580-1.28%-1.03%
198750.62%$21,7431.04%$18,7720.62%1.04%
198764.25%$22,6685.02%$19,7154.25%5.02%
198775.77%$23,9774.91%$20,6845.77%4.91%
19878-0.09%$23,9563.84%$21,479-0.09%3.84%
19879-1.21%$23,665-2.29%$20,988-1.21%-2.29%
198710-25.64%$17,598-21.73%$16,428-25.64%-21.73%
198711-6.38%$16,476-8.19%$15,083-6.38%-8.19%
1987126.88%$17,6107.55%$16,2226.88%7.55%
1988111.66%$19,6624.17%$16,89911.66%4.17%
198825.78%$20,7994.59%$17,6755.78%4.59%
19883-0.28%$20,739-3.04%$17,137-0.28%-3.04%
19884-0.51%$20,6331.01%$17,311-0.51%1.01%
198850.86%$20,8110.81%$17,4510.86%0.81%
198864.84%$21,8184.56%$18,2464.84%4.56%
19887-0.98%$21,605-0.37%$18,179-0.98%-0.37%
19888-2.36%$21,095-3.40%$17,561-2.36%-3.40%
198895.00%$22,1504.26%$18,3085.00%4.26%
1988102.57%$22,7192.73%$18,8092.57%2.73%
198811-1.88%$22,292-1.40%$18,545-1.88%-1.40%
1988121.44%$22,6121.66%$18,8531.44%1.66%
198915.59%$23,8767.32%$20,2335.59%7.32%
19892-0.67%$23,716-2.47%$19,734-0.67%-2.47%
198934.73%$24,8372.26%$20,1804.73%2.26%
198944.11%$25,8595.18%$21,2264.11%5.18%
198952.07%$26,3944.04%$22,0832.07%4.04%
19896-2.03%$25,859-0.59%$21,953-2.03%-0.59%
198978.77%$28,1269.01%$23,9318.77%9.01%
198981.20%$28,4621.86%$24,3751.20%1.86%
198991.27%$28,823-0.40%$24,2771.27%-0.40%
198910-3.72%$27,752-2.34%$23,709-3.72%-2.34%
1989115.07%$29,1602.04%$24,1925.07%2.04%
1989123.10%$30,0632.38%$24,7663.10%2.38%
19901-4.52%$28,703-6.72%$23,103-4.52%-6.72%
199020.09%$28,7301.27%$23,3970.09%1.27%
199033.93%$29,8602.61%$24,0073.93%2.61%
19904-1.35%$29,458-2.50%$23,407-1.35%-2.50%
1990511.07%$32,7189.69%$25,67511.07%9.69%
199062.50%$33,536-0.66%$25,5062.50%-0.66%
199070.89%$33,835-0.35%$25,4160.89%-0.35%
19908-7.06%$31,445-9.03%$23,121-7.06%-9.03%
19909-5.12%$29,834-4.89%$21,990-5.12%-4.89%
1990103.57%$30,899-0.41%$21,9003.57%-0.41%
1990119.58%$33,8616.44%$23,3109.58%6.44%
1990123.70%$35,1122.72%$23,9433.70%2.72%
199116.34%$37,3404.32%$24,9786.34%4.32%
199127.50%$40,1427.15%$26,7637.50%7.15%
199133.99%$41,7422.41%$27,4073.99%2.41%
199140.82%$42,0840.20%$27,4610.82%0.20%
199153.87%$43,7124.27%$28,6343.87%4.27%
19916-4.76%$41,633-4.56%$27,329-4.76%-4.56%
199176.08%$44,1634.63%$28,5936.08%4.63%
199182.73%$45,3672.33%$29,2602.73%2.33%
199190.63%$45,654-1.67%$28,7720.63%-1.67%
1991104.64%$47,7741.33%$29,1544.64%1.33%
199111-4.75%$45,503-4.01%$27,985-4.75%-4.01%
19911212.91%$51,37711.41%$31,17912.91%11.41%
19921-2.63%$50,026-1.88%$30,592-2.63%-1.88%
19922-0.70%$49,6741.24%$30,973-0.70%1.24%
19923-3.93%$47,723-1.93%$30,376-3.93%-1.93%
19924-0.77%$47,3562.91%$31,262-0.77%2.91%
199252.81%$48,6840.48%$31,4132.81%0.48%
19926-4.09%$46,692-1.49%$30,945-4.09%-1.49%
199274.84%$48,9534.04%$32,1964.84%4.04%
19928-2.02%$47,964-2.07%$31,530-2.02%-2.07%
19929-0.77%$47,5961.17%$31,899-0.77%1.17%
1992101.90%$48,5010.33%$32,0041.90%0.33%
1992114.43%$50,6493.40%$33,0924.43%3.40%
199212-0.15%$50,5711.21%$33,493-0.15%1.21%
19931-3.97%$48,5640.81%$33,763-3.97%0.81%
19932-7.50%$44,9211.36%$34,221-7.50%1.36%
199333.74%$46,6012.11%$34,9423.74%2.11%
199341.17%$47,148-2.42%$34,0951.17%-2.42%
199355.80%$49,8852.65%$35,0005.80%2.65%
19936-1.01%$49,3830.27%$35,093-1.01%0.27%
19937-3.29%$47,756-0.42%$34,945-3.29%-0.42%
199385.79%$50,5233.79%$36,2675.79%3.79%
199391.59%$51,329-0.79%$35,9791.59%-0.79%
1993105.98%$54,4002.08%$36,7275.98%2.08%
1993110.03%$54,416-1.00%$36,3610.03%-1.00%
1993123.91%$56,5421.22%$36,8073.91%1.22%
199414.11%$58,8633.38%$38,0504.11%3.38%
19942-4.38%$56,284-2.71%$37,017-4.38%-2.71%
19943-4.86%$53,550-4.39%$35,392-4.86%-4.39%
199441.16%$54,1731.29%$35,8491.16%1.29%
199452.84%$55,7131.63%$36,4322.84%1.63%
19946-3.50%$53,763-2.47%$35,533-3.50%-2.47%
199473.20%$55,4843.28%$36,6973.20%3.28%
199489.83%$60,9404.08%$38,1939.83%4.08%
199491.16%$61,645-2.45%$37,2581.16%-2.45%
1994101.14%$62,3492.25%$38,0951.14%2.25%
199411-1.37%$61,497-3.65%$36,703-1.37%-3.65%
1994120.71%$61,9351.46%$37,2400.71%1.46%
199514.34%$64,6242.58%$38,2024.34%2.58%
199522.57%$66,2833.88%$39,6832.57%3.88%
199533.14%$68,3612.95%$40,8563.14%2.95%
199540.74%$68,8692.94%$42,0570.74%2.94%
199552.31%$70,4613.95%$43,7202.31%3.95%
199563.20%$72,7192.31%$44,7313.20%2.31%
199575.08%$76,4123.30%$46,2095.08%3.30%
199580.82%$77,0420.25%$46,3220.82%0.25%
199595.32%$81,1374.23%$48,2825.32%4.23%
1995101.12%$82,047-0.36%$48,1071.12%-0.36%
1995114.24%$85,5304.38%$50,2144.24%4.38%
1995125.13%$89,9141.93%$51,1845.13%1.93%
199614.56%$94,0103.39%$52,9174.56%3.39%
199621.34%$95,2740.92%$53,4061.34%0.92%
199632.91%$98,0430.98%$53,9272.91%0.98%
199641.58%$99,5891.46%$54,7131.58%1.46%
199650.93%$100,5162.54%$56,1050.93%2.54%
19966-0.13%$100,3890.38%$56,320-0.13%0.38%
19967-3.84%$96,534-4.42%$53,830-3.84%-4.42%
199682.71%$99,1522.10%$54,9592.71%2.10%
199694.77%$103,8815.61%$58,0404.77%5.61%
199610-1.96%$101,8442.76%$59,639-1.96%2.76%
1996115.21%$107,1547.56%$64,1505.21%7.56%
1996121.83%$109,119-1.96%$62,8941.83%-1.96%
199713.94%$113,4206.22%$66,8033.94%6.22%
199722.61%$116,3750.79%$67,3312.61%0.79%
19973-3.80%$111,957-4.14%$64,546-3.80%-4.14%
199743.85%$116,2705.96%$68,3903.85%5.96%
199756.93%$124,3286.09%$72,5546.93%6.09%
199767.29%$133,3884.45%$75,7857.29%4.45%
199772.99%$137,3797.97%$81,8222.99%7.97%
19978-3.95%$131,950-5.61%$77,233-3.95%-5.61%
199795.35%$139,0055.47%$81,4565.35%5.47%
199710-1.80%$136,509-3.35%$78,727-1.80%-3.35%
1997112.00%$139,2324.60%$82,3482.00%4.60%
1997120.76%$140,2901.72%$83,7680.76%1.72%
199812.98%$144,4671.11%$84,6982.98%1.11%
199827.43%$155,2017.19%$90,7907.43%7.19%
199833.96%$161,3465.10%$95,4243.96%5.10%
199842.06%$164,6771.01%$96,3852.06%1.01%
199850.17%$164,955-1.74%$94,7050.17%-1.74%
199863.32%$170,4274.07%$98,5613.32%4.07%
19987-0.79%$169,079-1.05%$97,522-0.79%-1.05%
19988-10.46%$151,394-14.47%$83,407-10.46%-14.47%
199899.98%$166,5016.41%$88,7549.98%6.41%
1998107.42%$178,8538.16%$96,0007.42%8.16%
1998113.96%$185,9316.07%$101,8293.96%6.07%
1998126.24%$197,5305.81%$107,7406.24%5.81%
199910.49%$198,4894.20%$112,2690.49%4.20%
19992-2.59%$193,349-3.12%$108,761-2.59%-3.12%
199934.16%$201,4014.00%$113,1084.16%4.00%
19994-0.51%$200,3763.85%$117,465-0.51%3.85%
199951.40%$203,179-2.39%$114,6591.40%-2.39%
199962.55%$208,3665.56%$121,0292.55%5.56%
19997-2.23%$203,722-3.13%$117,241-2.23%-3.13%
199981.18%$206,128-0.50%$116,6591.18%-0.50%
19999-6.20%$193,347-2.74%$113,463-6.20%-2.74%
1999105.77%$204,4966.33%$120,6415.77%6.33%
1999113.27%$211,1902.02%$123,0823.27%2.02%
1999120.13%$211,4545.98%$130,4390.13%5.98%
200013.79%$219,471-5.03%$123,8763.79%-5.03%
200022.12%$224,135-1.91%$121,5142.12%-1.91%
200038.25%$242,6269.75%$133,3648.25%9.75%
200042.31%$248,239-3.00%$129,3652.31%-3.00%
200053.02%$255,740-2.04%$126,7283.02%-2.04%
2000610.28%$282,0412.49%$129,89010.28%2.49%
20007-0.68%$280,130-1.50%$127,944-0.68%-1.50%
200085.09%$294,3776.19%$135,8635.09%6.19%
200094.89%$308,766-5.29%$128,6774.89%-5.29%
2000101.64%$313,838-0.43%$128,1241.64%-0.43%
2000113.38%$324,452-7.89%$118,0213.38%-7.89%
2000124.63%$339,4690.51%$118,6274.63%0.51%
20011-7.31%$314,6623.55%$122,832-7.31%3.55%
200120.48%$316,171-9.14%$111,6080.48%-9.14%
20013-6.16%$296,686-6.36%$104,514-6.16%-6.36%
200143.58%$307,2957.77%$112,6353.58%7.77%
200152.19%$314,0400.65%$113,3672.19%0.65%
20016-0.18%$313,469-2.45%$110,595-0.18%-2.45%
200171.78%$319,047-1.00%$109,4891.78%-1.00%
20018-2.13%$312,250-6.27%$102,620-2.13%-6.27%
20019-1.00%$309,137-8.09%$94,317-1.00%-8.09%
200110-0.03%$309,0341.90%$96,104-0.03%1.90%
2001112.83%$317,7767.65%$103,4602.83%7.65%
200112-0.52%$316,1330.87%$104,364-0.52%0.87%
20021-1.57%$311,182-1.47%$102,826-1.57%-1.47%
200220.98%$314,239-1.94%$100,8360.98%-1.94%
200233.74%$326,0043.74%$104,6103.74%3.74%
20024-1.73%$320,353-6.07%$98,255-1.73%-6.07%
20025-1.18%$316,577-0.75%$97,514-1.18%-0.75%
20026-6.62%$295,631-7.13%$90,557-6.62%-7.13%
20027-3.51%$285,253-7.72%$83,567-3.51%-7.72%
20028-0.70%$283,2700.65%$84,112-0.70%0.65%
20029-6.08%$266,046-10.87%$74,965-6.08%-10.87%
2002105.22%$279,9298.78%$81,5495.22%8.78%
2002112.23%$286,1775.88%$86,3402.23%5.88%
200212-2.09%$280,210-5.89%$81,252-2.09%-5.89%
20031-1.88%$274,935-2.62%$79,120-1.88%-2.62%
20032-2.79%$267,271-1.52%$77,918-2.79%-1.52%
200332.10%$272,8800.96%$78,6642.10%0.96%
200345.54%$287,9958.25%$85,1565.54%8.25%
200356.02%$305,3275.26%$89,6396.02%5.26%
200363.65%$316,4731.26%$90,7683.65%1.26%
200370.31%$317,4661.74%$92,3510.31%1.74%
20038-2.10%$310,8131.93%$94,136-2.10%1.93%
200392.11%$317,378-1.07%$93,1272.11%-1.07%
2003102.34%$324,8195.64%$98,3812.34%5.64%
2003113.69%$336,8110.86%$99,2313.69%0.86%
2003125.31%$354,6895.22%$104,4115.31%5.22%
200413.09%$365,6321.82%$106,3133.09%1.82%
200421.19%$369,9861.38%$107,7771.19%1.38%
20043-2.32%$361,419-1.51%$106,146-2.32%-1.51%
200442.12%$369,088-1.58%$104,4722.12%-1.58%
200450.30%$370,2141.36%$105,8910.30%1.36%
200460.32%$371,3981.93%$107,9340.32%1.93%
20047-3.80%$357,303-3.31%$104,360-3.80%-3.31%
200481.09%$361,2110.38%$104,7601.09%0.38%
200490.01%$361,2411.07%$105,8780.01%1.07%
200410-0.72%$358,6351.51%$107,481-0.72%1.51%
2004112.92%$369,1184.05%$111,8302.92%4.05%
2004125.23%$388,4203.39%$115,6255.23%3.39%
20051-2.33%$379,383-2.45%$112,787-2.33%-2.45%
200522.81%$390,0432.09%$115,1492.81%2.09%
20053-0.53%$387,957-1.76%$113,122-0.53%-1.76%
200543.35%$400,950-1.91%$110,9593.35%-1.91%
200552.10%$409,3533.17%$114,4742.10%3.17%
200560.03%$409,4770.13%$114,6190.03%0.13%
200573.68%$424,5483.71%$118,8683.68%3.71%
200581.61%$431,370-0.91%$117,7821.61%-0.91%
200590.87%$435,1220.79%$118,7170.87%0.79%
200510-2.74%$423,214-1.68%$116,725-2.74%-1.68%
2005112.59%$434,1613.76%$121,1192.59%3.76%
2005123.25%$448,2600.02%$121,1453.25%0.02%
200612.83%$460,9252.65%$124,3502.83%2.65%
20062-0.68%$457,7750.26%$124,677-0.68%0.26%
200630.71%$461,0401.23%$126,2110.71%1.23%
20064-0.71%$457,7741.33%$127,894-0.71%1.33%
20065-0.85%$453,882-2.90%$124,190-0.85%-2.90%
200661.14%$459,0610.13%$124,3481.14%0.13%
200674.38%$479,1820.61%$125,1034.38%0.61%
200681.94%$488,4842.36%$128,0581.94%2.36%
200690.88%$492,8052.56%$131,3410.88%2.56%
200610-0.07%$492,4753.25%$135,610-0.07%3.25%
200611-0.15%$491,7171.89%$138,172-0.15%1.89%
2006121.07%$496,9861.39%$140,0951.07%1.39%
200712.81%$510,9461.49%$142,1862.81%1.49%
20072-1.08%$505,417-1.97%$139,387-1.08%-1.97%
200730.85%$509,7071.11%$140,9360.85%1.11%
200745.63%$538,4034.42%$147,1625.63%4.42%
200750.72%$542,2853.48%$152,2790.72%3.48%
20076-3.16%$525,129-1.68%$149,727-3.16%-1.68%
20077-2.99%$509,429-3.08%$145,108-2.99%-3.08%
200781.49%$517,0191.50%$147,2821.49%1.50%
200792.86%$531,7833.72%$152,7672.86%3.72%
200710-0.03%$531,6101.58%$155,179-0.03%1.58%
2007111.39%$538,992-4.19%$148,6821.39%-4.19%
200712-3.71%$518,983-0.70%$147,641-3.71%-0.70%
20081-3.48%$500,902-6.02%$138,760-3.48%-6.02%
20082-1.69%$492,441-3.25%$134,248-1.69%-3.25%
20083-5.20%$466,852-0.44%$133,657-5.20%-0.44%
200841.83%$475,4074.85%$140,1441.83%4.85%
200853.18%$490,5471.29%$141,9563.18%1.29%
20086-4.00%$470,940-8.44%$129,977-4.00%-8.44%
200874.95%$494,256-0.83%$128,8964.95%-0.83%
200881.14%$499,8961.45%$130,7611.14%1.45%
20089-6.74%$466,209-8.91%$119,115-6.74%-8.91%
200810-13.10%$405,156-16.79%$99,113-13.10%-16.79%
200811-4.00%$388,955-7.17%$92,002-4.00%-7.17%
2008128.81%$423,2131.07%$92,9838.81%1.07%
20091-2.29%$413,534-8.41%$85,161-2.29%-8.41%
20092-12.37%$362,384-10.66%$76,085-12.37%-10.66%
200937.46%$389,4218.76%$82,7507.46%8.76%
200940.58%$391,6769.56%$90,6600.58%9.56%
200958.14%$423,5675.62%$95,7538.14%5.62%
200961.68%$430,6640.22%$95,9641.68%0.22%
200975.27%$453,3727.58%$103,2365.27%7.58%
200983.74%$470,3203.60%$106,9513.74%3.60%
200991.91%$479,2943.72%$110,9271.91%3.72%
200910-1.89%$470,236-1.87%$108,855-1.89%-1.87%
2009116.44%$500,5425.98%$115,3666.44%5.98%
2009122.28%$511,9391.95%$117,6102.28%1.95%
20101-0.13%$511,257-3.60%$113,372-0.13%-3.60%
201020.58%$514,2383.09%$116,8770.58%3.09%
201032.48%$526,9926.01%$123,9062.48%6.01%
20104-3.71%$507,4611.58%$125,861-3.71%1.58%
20105-5.15%$481,305-8.01%$115,786-5.15%-8.01%
20106-0.41%$479,326-5.24%$109,719-0.41%-5.24%
201071.55%$486,7697.00%$117,3951.55%7.00%
20108-0.96%$482,079-4.53%$112,077-0.96%-4.53%
201098.16%$521,4008.92%$122,0748.16%8.92%
2010102.17%$532,7143.79%$126,6982.17%3.79%
201011-2.53%$519,2490.00%$126,698-2.53%0.00%
2010124.66%$543,4666.67%$135,1514.66%6.67%
201111.55%$551,9022.36%$138,3361.55%2.36%
201123.02%$568,5523.42%$143,0623.02%3.42%
201131.93%$579,5460.03%$143,0991.93%0.03%
201145.94%$613,9472.95%$147,3175.94%2.95%
201152.54%$629,515-1.15%$145,6302.54%-1.15%
20116-0.56%$625,981-1.67%$143,194-0.56%-1.67%
20117-2.69%$609,116-2.05%$140,264-2.69%-2.05%
20118-2.67%$592,877-5.45%$132,624-2.67%-5.45%
20119-4.22%$567,870-7.04%$123,284-4.22%-7.04%
2011104.58%$593,86110.91%$136,7394.58%10.91%
201111-0.08%$593,369-0.23%$136,419-0.08%-0.23%
2011122.08%$605,7161.02%$137,8082.08%1.02%
201212.51%$620,9144.46%$143,9602.51%4.46%
201221.59%$630,7954.31%$150,1601.59%4.31%
201233.64%$653,7723.28%$155,0883.64%3.28%
20124-0.48%$650,663-0.64%$154,096-0.48%-0.64%
20125-3.47%$628,100-6.02%$144,823-3.47%-6.02%
201265.52%$662,7694.11%$150,7735.52%4.11%
20127-0.41%$660,0371.37%$152,839-0.41%1.37%
201281.96%$672,9912.24%$156,2611.96%2.24%
201293.67%$697,7212.58%$160,2883.67%2.58%
201210-0.68%$692,964-1.86%$157,307-0.68%-1.86%
2012110.37%$695,5080.56%$158,1880.37%0.56%
2012120.25%$697,2470.90%$159,6150.25%0.90%
201316.50%$742,5565.18%$167,8776.50%5.18%
201321.28%$752,0461.34%$170,1251.28%1.34%
201336.10%$797,8873.74%$176,4856.10%3.74%
201343.26%$823,8771.91%$179,8543.26%1.91%
201351.25%$834,1532.33%$184,0401.25%2.33%
201360.44%$837,794-1.35%$181,5540.44%-1.35%
201375.63%$884,9845.07%$190,7635.63%5.07%
20138-2.09%$866,527-2.91%$185,208-2.09%-2.91%
201393.99%$901,0963.12%$190,9903.99%3.12%
2013103.84%$935,7164.59%$199,7503.84%4.59%
2013114.60%$978,7153.03%$205,7994.60%3.03%
2013122.01%$998,3872.51%$210,9722.01%2.51%
201412.39%$1,022,232-3.47%$203,6532.39%-3.47%
201428.47%$1,108,8094.56%$212,9418.47%4.56%
20143-2.00%$1,086,6440.82%$214,696-2.00%0.82%
20144-1.91%$1,065,9390.72%$216,250-1.91%0.72%
201453.69%$1,105,2902.33%$221,2993.69%2.33%
201463.40%$1,142,8602.05%$225,8403.40%2.05%
20147-0.17%$1,140,968-1.39%$222,706-0.17%-1.39%
201484.13%$1,188,0563.98%$231,5734.13%3.98%
20149-0.05%$1,187,427-1.41%$228,302-0.05%-1.41%
2014105.17%$1,248,7662.42%$233,8345.17%2.42%
2014113.45%$1,291,7982.68%$240,1063.45%2.68%
201412-0.67%$1,283,093-0.26%$239,471-0.67%-0.26%
201512.09%$1,309,941-3.02%$232,2452.09%-3.02%
201524.81%$1,372,9115.74%$245,5754.81%5.74%
201532.47%$1,406,832-1.59%$241,6622.47%-1.59%
20154-0.54%$1,399,1660.95%$243,955-0.54%0.95%
201554.75%$1,465,6741.27%$247,0604.75%1.27%
20156-0.37%$1,460,313-1.93%$242,284-0.37%-1.93%
201572.57%$1,497,8372.08%$247,3242.57%2.08%
20158-5.81%$1,410,822-6.05%$232,369-5.81%-6.05%
20159-5.70%$1,330,351-2.48%$226,596-5.70%-2.48%
2015105.82%$1,407,8308.42%$245,6815.82%8.42%
2015111.37%$1,427,0900.29%$246,3851.37%0.29%
2015121.29%$1,445,442-1.59%$242,4611.29%-1.59%
20161-8.93%$1,316,346-4.98%$230,394-8.93%-4.98%
20162-1.97%$1,290,369-0.15%$230,060-1.97%-0.15%
201632.11%$1,317,6586.78%$245,6482.11%6.78%
201642.64%$1,352,4910.37%$246,5662.64%0.37%
201652.74%$1,389,5431.78%$250,9622.74%1.78%
20166-0.03%$1,389,0720.25%$251,589-0.03%0.25%
201675.18%$1,461,0913.68%$260,8385.18%3.68%
20168-4.90%$1,389,5430.13%$261,176-4.90%0.13%
201690.68%$1,398,9570.01%$261,1970.68%0.01%
201610-7.66%$1,291,836-1.83%$256,409-7.66%-1.83%
2016111.51%$1,311,3373.70%$265,8941.51%3.70%
2016120.32%$1,315,5071.96%$271,1120.32%1.96%
201712.77%$1,351,9621.88%$276,2182.77%1.88%
201727.20%$1,449,3653.96%$287,1647.20%3.96%
201730.37%$1,454,6920.10%$287,4510.37%0.10%
201741.24%$1,472,6961.02%$290,3781.24%1.02%
201751.90%$1,500,6541.39%$294,4251.90%1.39%
201763.28%$1,549,8360.61%$296,2253.28%0.61%
201770.63%$1,559,5702.04%$302,2760.63%2.04%
20178-0.55%$1,551,0070.29%$303,163-0.55%0.29%
201790.90%$1,564,9132.06%$309,4050.90%2.06%
201710-1.69%$1,538,4922.32%$316,576-1.69%2.32%
2017112.07%$1,570,4023.06%$326,2612.07%3.06%
2017120.20%$1,573,5191.10%$329,8560.20%1.10%
201815.07%$1,653,2895.71%$348,7005.07%5.71%
20182-4.58%$1,577,499-3.69%$335,817-4.58%-3.69%
20183-0.04%$1,576,804-2.56%$327,235-0.04%-2.56%
20184-2.35%$1,539,8280.37%$328,457-2.35%0.37%
201852.18%$1,573,3502.39%$336,3222.18%2.39%
201860.74%$1,584,9690.61%$338,3570.74%0.61%
201876.62%$1,689,8543.71%$350,9076.62%3.71%
201884.86%$1,772,0503.25%$362,2994.86%3.25%
201891.13%$1,792,0690.55%$364,3071.13%0.55%
201810-7.76%$1,652,956-6.85%$339,356-7.76%-6.85%
2018115.41%$1,742,3752.03%$346,2335.41%2.03%
201812-8.65%$1,591,659-9.04%$314,933-8.65%-9.04%
201916.73%$1,698,8508.00%$340,1346.73%8.00%
201922.28%$1,737,5333.20%$351,0202.28%3.20%
20193-1.15%$1,717,5151.94%$357,818-1.15%1.94%
20194-3.75%$1,653,1664.04%$372,278-3.75%4.04%
20195-3.94%$1,588,031-6.36%$348,584-3.94%-6.36%
201967.10%$1,700,7517.03%$373,1007.10%7.03%
201970.22%$1,704,5051.43%$378,4200.22%1.43%
20198-1.18%$1,684,424-1.59%$372,399-1.18%-1.59%
20199-0.58%$1,674,6451.86%$379,321-0.58%1.86%
2019106.78%$1,788,2382.15%$387,4966.78%2.15%
2019116.25%$1,900,0843.62%$401,5256.25%3.62%
2019122.97%$1,956,5763.01%$413,5922.97%3.01%
20201-1.75%$1,922,370-0.05%$413,384-1.75%-0.05%
20202-5.39%$1,818,720-8.24%$379,316-5.39%-8.24%
20203-4.23%$1,741,761-12.37%$332,387-4.23%-12.37%
2020411.38%$1,939,91912.81%$374,97811.38%12.81%
202055.83%$2,053,1114.76%$392,8125.83%4.76%
20206-1.45%$2,023,2421.98%$400,580-1.45%1.98%
202073.70%$2,098,0595.63%$423,1213.70%5.63%
202081.92%$2,138,3677.18%$453,4881.92%7.18%
20209-1.49%$2,106,468-3.81%$436,207-1.49%-3.81%
202010-4.84%$2,004,586-2.67%$424,555-4.84%-2.67%
2020117.29%$2,150,64310.94%$470,9837.29%10.94%
2020122.46%$2,203,4983.84%$489,0632.46%3.84%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value46.05%
Large-cap Growth53.95%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.91%
Style analysis is based on monthly returns from April 2005 to December 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VGHCXVanguard Health Care InvHealth100.00%0.78%0.32%24.59$2,193,498100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.32%0.14%27.94$479,063100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 04/14/2021. (c) 2021 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)1.34%1.00%
Arithmetic Mean (annualized)17.37%12.70%
Geometric Mean (monthly)1.26%0.90%
Geometric Mean (annualized)16.17%11.41%
Volatility (monthly)4.14%4.37%
Volatility (annualized)14.35%15.15%
Downside Deviation (monthly)2.51%2.88%
Max. Drawdown-33.17%-50.97%
US Market Correlation0.790.99
Beta(*)0.740.97
Alpha (annualized)7.32%0.39%
R262.57%97.98%
Sharpe Ratio0.900.58
Sortino Ratio1.420.84
Treynor Ratio (%)17.459.00
Calmar Ratio1.040.71
Active Return4.89%0.14%
Tracking Error9.66%2.19%
Information Ratio0.510.06
Skewness-0.78-0.76
Excess Kurtosis4.372.36
Historical Value-at-Risk (5%)-5.28%-6.94%
Analytical Value-at-Risk (5%)-5.47%-6.19%
Conditional Value-at-Risk (5%)-8.38%-9.89%
Upside Capture Ratio (%)88.0597.93
Downside Capture Ratio (%)56.5396.48
Safe Withdrawal Rate18.35%11.05%
Perpetual Withdrawal Rate11.72%7.96%
Positive Periods287 out of 432 (66.44%)285 out of 432 (65.97%)
Gain/Loss Ratio1.180.93
* 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
Black Monday PeriodSep 1987Nov 1987-31.22%-29.78%
Asian CrisisJul 1997Jan 1998-3.95%-5.61%
Russian Debt DefaultJul 1998Oct 1998-11.17%-15.38%
Dotcom CrashMar 2000Oct 2002-21.63%-44.82%
Subprime CrisisNov 2007Mar 2009-32.77%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-33.17%
2Aug 1987Nov 19874 monthsMar 19891 year 4 months1 year 8 months-31.28%
3Jan 2001Sep 20021 year 9 monthsDec 20031 year 3 months3 years-21.63%
4Aug 2015Feb 20167 monthsMay 20171 year 3 months1 year 10 months-13.85%
5Jan 1992Feb 19931 year 2 monthsOct 19938 months1 year 10 months-12.57%
6Aug 1990Sep 19902 monthsNov 19902 months4 months-11.82%
7Oct 2018May 20198 monthsNov 20196 months1 year 2 months-11.39%
8Jul 1998Aug 19982 monthsOct 19982 months4 months-11.17%
9Jan 2020Mar 20203 monthsMay 20202 months5 months-10.98%
10Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.79%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
9Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
10Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGHCXVanguard Health Care Inv16.17%14.35%60.54%-18.45%-33.17%0.901.420.79
VFINXVanguard 500 Index Investor11.41%15.15%37.45%-37.02%-50.97%0.580.840.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGHCXVFINXPortfolio 1Portfolio 2
VGHCXVanguard Health Care Inv1.000.791.000.79
VFINXVanguard 500 Index Investor0.791.000.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VGHCXVanguard Health Care Inv$2,193,498
VFINXVanguard 500 Index Investor$479,063

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VGHCXVanguard Health Care Inv100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year16.80%60.54%-27.84%12.09%53.61%-43.32%
3 years15.64%35.38%-7.49%10.78%32.68%-16.14%
5 years15.68%31.14%-0.41%10.43%28.49%-6.73%
7 years15.72%29.22%2.06%10.19%21.51%-3.94%
10 years15.46%26.33%4.81%9.78%19.37%-3.51%
15 years14.99%23.93%9.83%8.86%18.68%3.64%