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 
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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 2005 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGHCX Vanguard Health Care Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VHCIX Vanguard Health Care Index Admiral 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$56,730 11.46% 13.26%43.19%-18.45%-33.17% 0.791.240.78
Portfolio 2$10,000$56,233 11.40% 13.97%42.68%-23.53%-35.10% 0.751.180.82
Portfolio 3$10,000$44,073 9.71% 15.33%33.35%-37.04%-50.89% 0.600.881.00
   

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%11.46%16.52%14.94%
Portfolio 210.09%18.24%15.04%12.67%16.45%11.40%17.10%15.24%
Portfolio 314.65%20.87%14.37%15.30%13.66%9.71%19.67%16.01%
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 2Portfolio 3Vanguard Health Care Inv (VGHCX)Vanguard Health Care Index Admiral (VHCIX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
20053.42%15.41%$11,5418.21%$10,8215.98%$10,59815.41%8.21%5.98%
20062.54%10.87%$12,7956.58%$11,53415.51%$12,24210.87%6.58%15.51%
20074.08%4.43%$13,3617.75%$12,4285.49%$12,9144.43%7.75%5.49%
20080.09%-18.45%$10,896-23.53%$9,504-37.04%$8,131-18.45%-23.53%-37.04%
20092.72%20.96%$13,18021.99%$11,59428.70%$10,46420.96%21.99%28.70%
20101.50%6.16%$13,9925.75%$12,26117.09%$12,2536.16%5.75%17.09%
20112.96%11.45%$15,59410.57%$13,5570.96%$12,37111.45%10.57%0.96%
20121.74%15.11%$17,95119.10%$16,14616.25%$14,38215.11%19.10%16.25%
20131.50%43.19%$25,70442.68%$23,03633.35%$19,17843.19%42.68%33.35%
20140.76%28.52%$33,03425.42%$28,89212.43%$21,56128.52%25.42%12.43%
20150.73%12.65%$37,2137.21%$30,9750.29%$21,62512.65%7.21%0.29%
20162.07%-8.99%$33,868-3.33%$29,94512.53%$24,335-8.99%-3.33%12.53%
20172.11%19.61%$40,51123.36%$36,94021.05%$29,45819.61%23.36%21.05%
20181.91%1.15%$40,9785.55%$38,992-5.26%$27,9101.15%5.55%-5.26%
20192.29%22.93%$50,37321.97%$47,55930.65%$36,46422.93%21.97%30.65%
20201.36%12.62%$56,73018.24%$56,23320.87%$44,07312.62%18.24%20.87%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Health Care Inv (VGHCX)Vanguard Health Care Index Admiral (VHCIX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
20051-2.33%$9,767-3.14%$9,686-2.68%$9,732-2.33%-3.14%-2.68%
200522.81%$10,0422.71%$9,9482.07%$9,9342.81%2.71%2.07%
20053-0.53%$9,988-0.36%$9,912-1.75%$9,760-0.53%-0.36%-1.75%
200543.35%$10,3233.17%$10,227-2.32%$9,5343.35%3.17%-2.32%
200552.10%$10,5391.67%$10,3983.77%$9,8932.10%1.67%3.77%
200560.03%$10,5420.23%$10,4220.81%$9,9730.03%0.23%0.81%
200573.68%$10,9302.75%$10,7094.11%$10,3833.68%2.75%4.11%
200581.61%$11,1060.07%$10,717-0.94%$10,2851.61%0.07%-0.94%
200590.87%$11,202-0.59%$10,6530.86%$10,3730.87%-0.59%0.86%
200510-2.74%$10,896-2.88%$10,346-1.86%$10,180-2.74%-2.88%-1.86%
2005112.59%$11,1781.77%$10,5293.97%$10,5842.59%1.77%3.97%
2005123.25%$11,5412.77%$10,8210.14%$10,5983.25%2.77%0.14%
200612.83%$11,8671.93%$11,0303.50%$10,9692.83%1.93%3.50%
20062-0.68%$11,7860.98%$11,1380.00%$10,969-0.68%0.98%0.00%
200630.71%$11,870-0.83%$11,0461.80%$11,1670.71%-0.83%1.80%
20064-0.71%$11,786-3.16%$10,6971.11%$11,291-0.71%-3.16%1.11%
20065-0.85%$11,685-2.29%$10,453-3.23%$10,926-0.85%-2.29%-3.23%
200661.14%$11,8190.23%$10,4770.17%$10,9441.14%0.23%0.17%
200674.38%$12,3374.06%$10,902-0.13%$10,9304.38%4.06%-0.13%
200681.94%$12,5762.90%$11,2182.31%$11,1831.94%2.90%2.31%
200690.88%$12,6871.11%$11,3422.27%$11,4360.88%1.11%2.27%
200610-0.07%$12,6790.92%$11,4473.53%$11,840-0.07%0.92%3.53%
200611-0.15%$12,659-0.11%$11,4352.23%$12,105-0.15%-0.11%2.23%
2006121.07%$12,7950.87%$11,5341.13%$12,2421.07%0.87%1.13%
200712.81%$13,1543.27%$11,9111.88%$12,4722.81%3.27%1.88%
20072-1.08%$13,012-2.07%$11,663-1.61%$12,271-1.08%-2.07%-1.61%
200730.85%$13,1230.28%$11,6961.11%$12,4070.85%0.28%1.11%
200745.63%$13,8616.20%$12,4214.01%$12,9045.63%6.20%4.01%
200750.72%$13,9611.76%$12,6403.69%$13,3800.72%1.76%3.69%
20076-3.16%$13,520-3.30%$12,222-1.67%$13,157-3.16%-3.30%-1.67%
20077-2.99%$13,115-3.81%$11,757-3.41%$12,708-2.99%-3.81%-3.41%
200781.49%$13,3112.72%$12,0771.45%$12,8921.49%2.72%1.45%
200792.86%$13,6913.05%$12,4453.59%$13,3562.86%3.05%3.59%
200710-0.03%$13,6861.89%$12,6801.85%$13,603-0.03%1.89%1.85%
2007111.39%$13,8770.54%$12,749-4.49%$12,9921.39%0.54%-4.49%
200712-3.71%$13,361-2.52%$12,428-0.60%$12,914-3.71%-2.52%-0.60%
20081-3.48%$12,896-5.08%$11,796-6.08%$12,129-3.48%-5.08%-6.08%
20082-1.69%$12,678-2.40%$11,513-3.07%$11,756-1.69%-2.40%-3.07%
20083-5.20%$12,019-4.42%$11,005-0.58%$11,688-5.20%-4.42%-0.58%
200841.83%$12,2401.49%$11,1695.02%$12,2751.83%1.49%5.02%
200853.18%$12,6292.17%$11,4112.09%$12,5313.18%2.17%2.09%
20086-4.00%$12,125-4.60%$10,886-8.19%$11,505-4.00%-4.60%-8.19%
200874.95%$12,7255.88%$11,526-0.77%$11,4164.95%5.88%-0.77%
200881.14%$12,8702.06%$11,7631.58%$11,5971.14%2.06%1.58%
20089-6.74%$12,003-6.35%$11,017-9.26%$10,523-6.74%-6.35%-9.26%
200810-13.10%$10,431-13.03%$9,581-17.63%$8,668-13.10%-13.03%-17.63%
200811-4.00%$10,014-7.36%$8,876-7.90%$7,983-4.00%-7.36%-7.90%
2008128.81%$10,8967.07%$9,5041.86%$8,1318.81%7.07%1.86%
20091-2.29%$10,647-1.32%$9,379-8.26%$7,460-2.29%-1.32%-8.26%
20092-12.37%$9,330-11.78%$8,274-10.45%$6,680-12.37%-11.78%-10.45%
200937.46%$10,0266.50%$8,8128.65%$7,2587.46%6.50%8.65%
200940.58%$10,0840.14%$8,82410.61%$8,0280.58%0.14%10.61%
200958.14%$10,9056.38%$9,3875.38%$8,4608.14%6.38%5.38%
200961.68%$11,0883.42%$9,7080.34%$8,4891.68%3.42%0.34%
200975.27%$11,6725.75%$10,2677.82%$9,1535.27%5.75%7.82%
200983.74%$12,1092.27%$10,5003.63%$9,4853.74%2.27%3.63%
200991.91%$12,3401.87%$10,6964.23%$9,8861.91%1.87%4.23%
200910-1.89%$12,106-2.88%$10,387-2.57%$9,632-1.89%-2.88%-2.57%
2009116.44%$12,8878.59%$11,2795.63%$10,1736.44%8.59%5.63%
2009122.28%$13,1802.79%$11,5942.86%$10,4642.28%2.79%2.86%
20101-0.13%$13,1620.30%$11,628-3.50%$10,098-0.13%0.30%-3.50%
201020.58%$13,2390.63%$11,7013.36%$10,4380.58%0.63%3.36%
201032.48%$13,5683.66%$12,1296.27%$11,0922.48%3.66%6.27%
20104-3.71%$13,065-2.72%$11,8002.17%$11,333-3.71%-2.72%2.17%
20105-5.15%$12,391-6.97%$10,977-8.00%$10,426-5.15%-6.97%-8.00%
20106-0.41%$12,340-2.11%$10,746-5.66%$9,836-0.41%-2.11%-5.66%
201071.55%$12,5321.08%$10,8626.99%$10,5241.55%1.08%6.99%
20108-0.96%$12,411-1.97%$10,648-4.75%$10,024-0.96%-1.97%-4.75%
201098.16%$13,4249.65%$11,6759.47%$10,9748.16%9.65%9.47%
2010102.17%$13,7151.91%$11,8983.94%$11,4062.17%1.91%3.94%
201011-2.53%$13,368-2.23%$11,6330.58%$11,472-2.53%-2.23%0.58%
2010124.66%$13,9925.40%$12,2616.81%$12,2534.66%5.40%6.81%
201111.55%$14,2090.71%$12,3482.19%$12,5211.55%0.71%2.19%
201123.02%$14,6383.49%$12,7793.60%$12,9713.02%3.49%3.60%
201131.93%$14,9212.32%$13,0750.45%$13,0301.93%2.32%0.45%
201145.94%$15,8066.49%$13,9252.99%$13,4195.94%6.49%2.99%
201152.54%$16,2071.88%$14,186-1.16%$13,2632.54%1.88%-1.16%
20116-0.56%$16,116-1.50%$13,972-1.79%$13,026-0.56%-1.50%-1.79%
20117-2.69%$15,682-3.90%$13,428-2.28%$12,729-2.69%-3.90%-2.28%
20118-2.67%$15,264-3.34%$12,980-5.99%$11,966-2.67%-3.34%-5.99%
20119-4.22%$14,620-4.83%$12,353-7.75%$11,038-4.22%-4.83%-7.75%
2011104.58%$15,2896.03%$13,09711.51%$12,3084.58%6.03%11.51%
201111-0.08%$15,2760.93%$13,219-0.29%$12,273-0.08%0.93%-0.29%
2011122.08%$15,5942.56%$13,5570.80%$12,3712.08%2.56%0.80%
201212.51%$15,9864.15%$14,1205.08%$13,0002.51%4.15%5.08%
201221.59%$16,2401.76%$14,3684.26%$13,5531.59%1.76%4.26%
201233.64%$16,8324.16%$14,9663.07%$13,9693.64%4.16%3.07%
20124-0.48%$16,752-0.24%$14,930-0.65%$13,877-0.48%-0.24%-0.65%
20125-3.47%$16,171-3.56%$14,399-6.24%$13,012-3.47%-3.56%-6.24%
201265.52%$17,0636.00%$15,2633.91%$13,5215.52%6.00%3.91%
20127-0.41%$16,9930.61%$15,3561.03%$13,660-0.41%0.61%1.03%
201281.96%$17,3261.50%$15,5862.48%$13,9991.96%1.50%2.48%
201293.67%$17,9634.12%$16,2292.58%$14,3603.67%4.12%2.58%
201210-0.68%$17,841-1.45%$15,994-1.76%$14,108-0.68%-1.45%-1.76%
2012110.37%$17,9061.00%$16,1530.74%$14,2120.37%1.00%0.74%
2012120.25%$17,951-0.05%$16,1461.19%$14,3820.25%-0.05%1.19%
201316.50%$19,1177.56%$17,3665.50%$15,1726.50%7.56%5.50%
201321.28%$19,3621.22%$17,5781.28%$15,3661.28%1.22%1.28%
201336.10%$20,5426.20%$18,6683.88%$15,9636.10%6.20%3.88%
201343.26%$21,2112.92%$19,2131.70%$16,2343.26%2.92%1.70%
201351.25%$21,4761.92%$19,5822.32%$16,6111.25%1.92%2.32%
201360.44%$21,569-0.71%$19,442-1.27%$16,4000.44%-0.71%-1.27%
201375.63%$22,7847.67%$20,9335.49%$17,2995.63%7.67%5.49%
20138-2.09%$22,309-3.21%$20,262-2.82%$16,811-2.09%-3.21%-2.82%
201393.99%$23,1993.60%$20,9923.66%$17,4273.99%3.60%3.66%
2013103.84%$24,0903.60%$21,7484.22%$18,1633.84%3.60%4.22%
2013114.60%$25,1975.01%$22,8382.88%$18,6864.60%5.01%2.88%
2013122.01%$25,7040.87%$23,0362.63%$19,1782.01%0.87%2.63%
201412.39%$26,3181.86%$23,464-3.11%$18,5822.39%1.86%-3.11%
201428.47%$28,5476.00%$24,8724.73%$19,4618.47%6.00%4.73%
20143-2.00%$27,976-2.05%$24,3620.51%$19,561-2.00%-2.05%0.51%
20144-1.91%$27,443-1.38%$24,0250.06%$19,574-1.91%-1.38%0.06%
201453.69%$28,4562.92%$24,7262.17%$19,9993.69%2.92%2.17%
201463.40%$29,4232.82%$25,4232.54%$20,5063.40%2.82%2.54%
20147-0.17%$29,375-0.25%$25,359-1.98%$20,100-0.17%-0.25%-1.98%
201484.13%$30,5875.28%$26,6994.18%$20,9414.13%5.28%4.18%
20149-0.05%$30,571-0.17%$26,653-2.14%$20,494-0.05%-0.17%-2.14%
2014105.17%$32,1505.79%$28,1972.74%$21,0555.17%5.79%2.74%
2014113.45%$33,2583.23%$29,1082.41%$21,5633.45%3.23%2.41%
201412-0.67%$33,034-0.74%$28,892-0.01%$21,561-0.67%-0.74%-0.01%
201512.09%$33,7251.66%$29,371-2.77%$20,9642.09%1.66%-2.77%
201524.81%$35,3464.69%$30,7475.76%$22,1724.81%4.69%5.76%
201532.47%$36,2191.30%$31,147-1.04%$21,9422.47%1.30%-1.04%
20154-0.54%$36,022-1.80%$30,5860.42%$22,034-0.54%-1.80%0.42%
201554.75%$37,7345.19%$32,1731.39%$22,3414.75%5.19%1.39%
20156-0.37%$37,5960.13%$32,215-1.71%$21,959-0.37%0.13%-1.71%
201572.57%$38,5622.83%$33,1261.63%$22,3172.57%2.83%1.63%
20158-5.81%$36,322-8.03%$30,466-6.03%$20,972-5.81%-8.03%-6.03%
20159-5.70%$34,250-6.53%$28,478-2.93%$20,357-5.70%-6.53%-2.93%
2015105.82%$36,2456.77%$30,4057.84%$21,9545.82%6.77%7.84%
2015111.37%$36,7410.60%$30,5860.54%$22,0721.37%0.60%0.54%
2015121.29%$37,2131.27%$30,975-2.03%$21,6251.29%1.27%-2.03%
20161-8.93%$33,890-9.19%$28,129-5.67%$20,398-8.93%-9.19%-5.67%
20162-1.97%$33,221-0.68%$27,938-0.04%$20,390-1.97%-0.68%-0.04%
201632.11%$33,9243.25%$28,8477.01%$21,8192.11%3.25%7.01%
201642.64%$34,8203.01%$29,7160.63%$21,9562.64%3.01%0.63%
201652.74%$35,7742.36%$30,4171.79%$22,3502.74%2.36%1.79%
20166-0.03%$35,7620.60%$30,5990.23%$22,400-0.03%0.60%0.23%
201675.18%$37,6165.44%$32,2643.95%$23,2855.18%5.44%3.95%
20168-4.90%$35,774-3.11%$31,2600.26%$23,345-4.90%-3.11%0.26%
201690.68%$36,0170.10%$31,2930.15%$23,3800.68%0.10%0.15%
201610-7.66%$33,259-7.15%$29,056-2.21%$22,862-7.66%-7.15%-2.21%
2016111.51%$33,7612.58%$29,8054.44%$23,8761.51%2.58%4.44%
2016120.32%$33,8680.47%$29,9451.92%$24,3350.32%0.47%1.92%
201712.77%$34,8072.79%$30,7821.91%$24,8002.77%2.79%1.91%
201727.20%$37,3146.42%$32,7583.71%$25,7207.20%6.42%3.71%
201730.37%$37,452-0.26%$32,6740.07%$25,7370.37%-0.26%0.07%
201741.24%$37,9151.71%$33,2331.05%$26,0071.24%1.71%1.05%
201751.90%$38,6350.51%$33,4041.01%$26,2691.90%0.51%1.01%
201763.28%$39,9015.04%$35,0870.92%$26,5113.28%5.04%0.92%
201770.63%$40,1520.49%$35,2581.87%$27,0050.63%0.49%1.87%
20178-0.55%$39,9312.02%$35,9720.15%$27,045-0.55%2.02%0.15%
201790.90%$40,2891.14%$36,3812.45%$27,7080.90%1.14%2.45%
201710-1.69%$39,609-0.81%$36,0852.16%$28,306-1.69%-0.81%2.16%
2017112.07%$40,4312.98%$37,1593.04%$29,1682.07%2.98%3.04%
2017120.20%$40,511-0.59%$36,9400.99%$29,4580.20%-0.59%0.99%
201815.07%$42,5646.81%$39,4565.31%$31,0215.07%6.81%5.31%
20182-4.58%$40,613-4.20%$37,798-3.72%$29,869-4.58%-4.20%-3.72%
20183-0.04%$40,595-2.57%$36,828-1.99%$29,273-0.04%-2.57%-1.99%
20184-2.35%$39,6431.03%$37,2070.38%$29,384-2.35%1.03%0.38%
201852.18%$40,5061.55%$37,7832.79%$30,2042.18%1.55%2.79%
201860.74%$40,8061.62%$38,3970.68%$30,4090.74%1.62%0.68%
201876.62%$43,5065.94%$40,6783.34%$31,4246.62%5.94%3.34%
201884.86%$45,6225.00%$42,7133.44%$32,5064.86%5.00%3.44%
201891.13%$46,1372.19%$43,6490.16%$32,5571.13%2.19%0.16%
201810-7.76%$42,556-7.63%$40,320-7.40%$30,148-7.76%-7.63%-7.40%
2018115.41%$44,8586.52%$42,9482.06%$30,7695.41%6.52%2.06%
201812-8.65%$40,978-9.21%$38,992-9.29%$27,910-8.65%-9.21%-9.29%
201916.73%$43,7375.92%$41,2988.59%$30,3066.73%5.92%8.59%
201922.28%$44,7331.69%$41,9983.50%$31,3672.28%1.69%3.50%
20193-1.15%$44,2180.42%$42,1731.44%$31,817-1.15%0.42%1.44%
20194-3.75%$42,561-2.72%$41,0253.98%$33,082-3.75%-2.72%3.98%
20195-3.94%$40,884-2.63%$39,945-6.45%$30,950-3.94%-2.63%-6.45%
201967.10%$43,7867.13%$42,7936.97%$33,1067.10%7.13%6.97%
201970.22%$43,883-1.30%$42,2371.44%$33,5830.22%-1.30%1.44%
20198-1.18%$43,366-1.11%$41,770-2.03%$32,902-1.18%-1.11%-2.03%
20199-0.58%$43,114-0.88%$41,4031.70%$33,463-0.58%-0.88%1.70%
2019106.78%$46,0394.79%$43,3882.10%$34,1646.78%4.79%2.10%
2019116.25%$48,9186.07%$46,0203.77%$35,4536.25%6.07%3.77%
2019122.97%$50,3733.34%$47,5592.85%$36,4642.97%3.34%2.85%
20201-1.75%$49,492-2.55%$46,345-0.08%$36,436-1.75%-2.55%-0.08%
20202-5.39%$46,824-6.22%$43,460-8.18%$33,456-5.39%-6.22%-8.18%
20203-4.23%$44,842-4.94%$41,311-13.78%$28,847-4.23%-4.94%-13.78%
2020411.38%$49,94413.40%$46,84713.25%$32,66811.38%13.40%13.25%
202055.83%$52,8584.32%$48,8705.38%$34,4255.83%4.32%5.38%
20206-1.45%$52,089-1.54%$48,1182.28%$35,210-1.45%-1.54%2.28%
202073.70%$54,0155.13%$50,5875.64%$37,1953.70%5.13%5.64%
202081.92%$55,0532.44%$51,8207.18%$39,8651.92%2.44%7.18%
20209-1.49%$54,232-1.43%$51,078-3.57%$38,441-1.49%-1.43%-3.57%
202010-4.84%$51,609-2.85%$49,622-2.16%$37,611-4.84%-2.85%-2.16%
2020117.29%$55,3698.79%$53,98612.19%$42,1967.29%8.79%12.19%
2020122.46%$56,7304.16%$56,2334.45%$44,0732.46%4.16%4.45%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 3
Large-cap Value35.23%
Large-cap Growth46.60%
Mid-cap Value4.20%
Mid-cap Growth6.58%
Small-cap Value3.71%
Small-cap Growth2.72%
Global ex-US Developed Markets0.68%
Emerging Markets0.28%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.84%
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$46,730100.00%

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
VHCIXVanguard Health Care Index AdmiralHealth100.00%1.19%0.10%27.70$46,233100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.22%0.14%27.49$34,073100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

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 2Portfolio 3
Arithmetic Mean (monthly)0.98%0.98%0.87%
Arithmetic Mean (annualized)12.43%12.48%11.01%
Geometric Mean (monthly)0.91%0.90%0.78%
Geometric Mean (annualized)11.46%11.40%9.71%
Volatility (monthly)3.83%4.03%4.43%
Volatility (annualized)13.26%13.97%15.33%
Downside Deviation (monthly)2.41%2.54%2.98%
Max. Drawdown-33.17%-35.10%-50.89%
US Market Correlation0.780.821.00
Beta(*)0.680.741.00
Alpha (annualized)4.67%4.02%0.00%
R261.30%66.54%100.00%
Sharpe Ratio0.790.750.60
Sortino Ratio1.241.180.88
Treynor Ratio (%)15.5514.229.24
Calmar Ratio1.041.140.69
Active Return1.74%1.68%0.00%
Tracking Error9.62%8.99%0.00%
Information Ratio0.180.190.22
Skewness-0.55-0.45-0.66
Excess Kurtosis1.180.922.02
Historical Value-at-Risk (5%)-5.28%-6.43%-7.82%
Analytical Value-at-Risk (5%)-5.31%-5.65%-6.40%
Conditional Value-at-Risk (5%)-8.21%-8.69%-10.09%
Upside Capture Ratio (%)78.8284.91100.00
Downside Capture Ratio (%)61.1970.88100.00
Safe Withdrawal Rate10.65%9.56%8.49%
Perpetual Withdrawal Rate8.51%8.45%7.05%
Positive Periods121 out of 192 (63.02%)125 out of 192 (65.10%)129 out of 192 (67.19%)
Gain/Loss Ratio1.141.000.81
* 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 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-32.77%-35.10%-50.89%

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 2015Feb 20167 monthsMay 20171 year 3 months1 year 10 months-13.85%
3Oct 2018May 20198 monthsNov 20196 months1 year 2 months-11.39%
4Jan 2020Mar 20203 monthsMay 20202 months5 months-10.98%
5Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.79%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-6.86%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.26%
8Apr 2012May 20122 monthsJun 20121 month3 months-3.93%
9Mar 2014Apr 20142 monthsJun 20142 months4 months-3.87%
10Oct 2005Oct 20051 monthDec 20052 months3 months-2.74%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsFeb 20112 years3 years 3 months-35.10%
2Aug 2015Feb 20167 monthsApr 20171 year 2 months1 year 9 months-15.66%
3Jan 2020Mar 20203 monthsMay 20202 months5 months-13.14%
4Jun 2011Sep 20114 monthsFeb 20125 months9 months-12.92%
5Oct 2018Dec 20183 monthsNov 201911 months1 year 2 months-10.67%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-6.98%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.66%
8Mar 2006May 20063 monthsAug 20063 months6 months-6.15%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-4.24%
10Apr 2012May 20122 monthsJun 20121 month3 months-3.79%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
10Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGHCXVanguard Health Care Inv11.46%13.26%43.19%-18.45%-33.17%0.791.240.78
VHCIXVanguard Health Care Index Admiral11.40%13.97%42.68%-23.53%-35.10%0.751.180.82
VTSMXVanguard Total Stock Mkt Idx Inv9.71%15.33%33.35%-37.04%-50.89%0.600.881.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGHCXVHCIXVTSMXPortfolio 1Portfolio 2Portfolio 3
VGHCXVanguard Health Care Inv1.000.970.781.000.970.78
VHCIXVanguard Health Care Index Admiral0.971.000.820.971.000.82
VTSMXVanguard Total Stock Mkt Idx Inv0.780.821.000.780.821.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGHCXVanguard Health Care Inv$46,730
VHCIXVanguard Health Care Index Admiral$46,233
VTSMXVanguard Total Stock Mkt Idx Inv$34,073

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGHCXVanguard Health Care Inv100.00%
VHCIXVanguard Health Care Index Admiral100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.08%47.44%-27.84%11.84%42.68%-30.38%10.20%56.25%-43.18%
3 years11.24%32.64%-7.49%11.40%30.73%-9.43%8.95%26.60%-15.24%
5 years12.34%25.21%2.25%12.38%24.98%-0.13%9.78%23.85%-0.71%
7 years13.56%20.41%6.31%13.55%19.76%4.44%10.45%17.28%3.09%
10 years13.03%16.97%10.12%13.01%17.64%9.63%10.13%16.73%6.40%
15 years11.14%11.43%10.53%10.90%11.61%9.98%8.95%9.97%7.49%