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 1996 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VHCOX Vanguard Capital Opportunity 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$222,436 13.21% 20.18%97.77%-39.08%-50.92% 0.610.930.88
Portfolio 2$10,000$95,550 9.45% 15.30%33.19%-37.02%-50.97% 0.530.770.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 117.03%22.79%14.55%16.50%15.28%13.21%20.83%17.81%
Portfolio 212.12%18.25%14.03%15.07%13.72%9.45%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 Capital Opportunity Inv (VHCOX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
19963.32%13.41%$11,34122.88%$12,28813.41%22.88%
19971.70%-7.93%$10,44233.19%$16,366-7.93%33.19%
19981.61%31.98%$13,78128.62%$21,05031.98%28.62%
19992.68%97.77%$27,25621.07%$25,48497.77%21.07%
20003.39%18.04%$32,172-9.06%$23,17618.04%-9.06%
20011.55%-9.68%$29,058-12.02%$20,390-9.68%-12.02%
20022.38%-27.94%$20,939-22.15%$15,875-27.94%-22.15%
20031.88%49.55%$31,31428.50%$20,39949.55%28.50%
20043.26%21.65%$38,09210.74%$22,59021.65%10.74%
20053.42%8.27%$41,2424.77%$23,6698.27%4.77%
20062.54%16.78%$48,16015.64%$27,37116.78%15.64%
20074.08%10.58%$53,2545.39%$28,84510.58%5.39%
20080.09%-39.08%$32,440-37.02%$18,166-39.08%-37.02%
20092.72%48.91%$48,30626.49%$22,97848.91%26.49%
20101.50%11.06%$53,64814.91%$26,40511.06%14.91%
20112.96%-6.18%$50,3301.97%$26,924-6.18%1.97%
20121.74%18.37%$59,57515.82%$31,18418.37%15.82%
20131.50%42.69%$85,00732.18%$41,21842.69%32.18%
20140.76%18.88%$101,05513.51%$46,78618.88%13.51%
20150.73%2.59%$103,6731.25%$47,3702.59%1.25%
20162.07%10.56%$114,62611.82%$52,96810.56%11.82%
20172.11%29.10%$147,98121.67%$64,44529.10%21.67%
20181.91%-3.75%$142,431-4.52%$61,529-3.75%-4.52%
20192.29%27.19%$181,15231.33%$80,80527.19%31.33%
20201.36%22.79%$222,43618.25%$95,55022.79%18.25%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Capital Opportunity Inv (VHCOX)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
19961-4.58%$9,5423.39%$10,339-4.58%3.39%
199623.74%$9,8980.92%$10,4343.74%0.92%
199633.50%$10,2440.98%$10,5363.50%0.98%
199644.97%$10,7541.46%$10,6894.97%1.46%
199655.59%$11,3542.54%$10,9615.59%2.54%
19966-3.14%$10,9980.38%$11,003-3.14%0.38%
19967-14.17%$9,440-4.42%$10,517-14.17%-4.42%
199687.77%$10,1732.10%$10,7377.77%2.10%
1996913.71%$11,5685.61%$11,33913.71%5.61%
199610-4.84%$11,0082.76%$11,652-4.84%2.76%
1996112.96%$11,3347.56%$12,5332.96%7.56%
1996120.06%$11,341-1.96%$12,2880.06%-1.96%
199717.01%$12,1366.22%$13,0527.01%6.22%
19972-10.08%$10,9130.79%$13,155-10.08%0.79%
19973-5.42%$10,322-4.14%$12,611-5.42%-4.14%
19974-3.75%$9,9355.96%$13,362-3.75%5.96%
199757.59%$10,6896.09%$14,1757.59%6.09%
199762.86%$10,9954.45%$14,8062.86%4.45%
199776.49%$11,7087.97%$15,9866.49%7.97%
19978-2.79%$11,382-5.61%$15,089-2.79%-5.61%
199795.55%$12,0145.47%$15,9145.55%5.47%
199710-11.11%$10,679-3.35%$15,381-11.11%-3.35%
199711-4.48%$10,2004.60%$16,089-4.48%4.60%
1997122.37%$10,4421.72%$16,3662.37%1.72%
19981-0.49%$10,3911.11%$16,548-0.49%1.11%
1998211.92%$11,6297.19%$17,73811.92%7.19%
199831.32%$11,7835.10%$18,6431.32%5.10%
199841.91%$12,0081.01%$18,8311.91%1.01%
19985-1.02%$11,885-1.74%$18,503-1.02%-1.74%
199861.72%$12,0904.07%$19,2561.72%4.07%
19987-1.44%$11,916-1.05%$19,053-1.44%-1.05%
19988-17.01%$9,889-14.47%$16,295-17.01%-14.47%
199897.35%$10,6166.41%$17,3407.35%6.41%
19981010.61%$11,7428.16%$18,75610.61%8.16%
1998117.15%$12,5816.07%$19,8957.15%6.07%
1998129.54%$13,7815.81%$21,0509.54%5.81%
199918.97%$15,0174.20%$21,9348.97%4.20%
19992-7.49%$13,892-3.12%$21,249-7.49%-3.12%
199936.43%$14,7854.00%$22,0986.43%4.00%
199946.49%$15,7453.85%$22,9496.49%3.85%
199953.57%$16,308-2.39%$22,4013.57%-2.39%
199969.68%$17,8865.56%$23,6469.68%5.56%
199976.35%$19,022-3.13%$22,9066.35%-3.13%
199982.78%$19,552-0.50%$22,7922.78%-0.50%
199991.30%$19,806-2.74%$22,1681.30%-2.74%
1999107.74%$21,3406.33%$23,5707.74%6.33%
19991111.17%$23,7232.02%$24,04711.17%2.02%
19991214.89%$27,2565.98%$25,48414.89%5.98%
200012.91%$28,050-5.03%$24,2022.91%-5.03%
2000222.29%$34,302-1.91%$23,74122.29%-1.91%
200034.00%$35,6759.75%$26,0564.00%9.75%
20004-2.48%$34,790-3.00%$25,274-2.48%-3.00%
20005-4.50%$33,224-2.04%$24,759-4.50%-2.04%
200066.80%$35,4822.49%$25,3776.80%2.49%
20007-2.40%$34,631-1.50%$24,997-2.40%-1.50%
200089.04%$37,7636.19%$26,5449.04%6.19%
20009-5.29%$35,766-5.29%$25,140-5.29%-5.29%
200010-4.31%$34,223-0.43%$25,032-4.31%-0.43%
200011-9.95%$30,819-7.89%$23,058-9.95%-7.89%
2000124.39%$32,1720.51%$23,1764.39%0.51%
200118.73%$34,9823.55%$23,9988.73%3.55%
20012-11.22%$31,056-9.14%$21,805-11.22%-9.14%
20013-4.58%$29,632-6.36%$20,419-4.58%-6.36%
200147.33%$31,8047.77%$22,0067.33%7.77%
200150.04%$31,8160.65%$22,1490.04%0.65%
20016-0.89%$31,534-2.45%$21,607-0.89%-2.45%
20017-1.87%$30,945-1.00%$21,391-1.87%-1.00%
20018-5.99%$29,092-6.27%$20,049-5.99%-6.27%
20019-17.46%$24,013-8.09%$18,427-17.46%-8.09%
2001105.93%$25,4361.90%$18,7765.93%1.90%
20011110.37%$28,0747.65%$20,21310.37%7.65%
2001123.50%$29,0580.87%$20,3903.50%0.87%
20021-1.14%$28,726-1.47%$20,089-1.14%-1.47%
20022-4.03%$27,569-1.94%$19,701-4.03%-1.94%
200233.79%$28,6153.74%$20,4383.79%3.74%
20024-8.52%$26,178-6.07%$19,196-8.52%-6.07%
20025-2.73%$25,464-0.75%$19,052-2.73%-0.75%
20026-10.92%$22,683-7.13%$17,692-10.92%-7.13%
20027-8.25%$20,812-7.72%$16,327-8.25%-7.72%
20028-1.01%$20,6030.65%$16,433-1.01%0.65%
20029-10.04%$18,535-10.87%$14,646-10.04%-10.87%
2002109.83%$20,3578.78%$15,9329.83%8.78%
20021111.73%$22,7445.88%$16,86911.73%5.88%
200212-7.94%$20,939-5.89%$15,875-7.94%-5.89%
20031-1.12%$20,704-2.62%$15,458-1.12%-2.62%
20032-1.96%$20,298-1.52%$15,223-1.96%-1.52%
200330.49%$20,3970.96%$15,3690.49%0.96%
200349.78%$22,3928.25%$16,6379.78%8.25%
2003510.62%$24,7695.26%$17,51310.62%5.26%
200361.49%$25,1391.26%$17,7341.49%1.26%
200373.53%$26,0251.74%$18,0433.53%1.74%
200386.39%$27,6881.93%$18,3926.39%1.93%
20039-1.29%$27,331-1.07%$18,195-1.29%-1.07%
2003109.42%$29,9055.64%$19,2219.42%5.64%
2003111.98%$30,4960.86%$19,3871.98%0.86%
2003122.68%$31,3145.22%$20,3992.68%5.22%
200416.41%$33,3221.82%$20,7716.41%1.82%
200422.51%$34,1601.38%$21,0572.51%1.38%
20043-1.30%$33,717-1.51%$20,738-1.30%-1.51%
20044-3.40%$32,571-1.58%$20,411-3.40%-1.58%
200453.63%$33,7541.36%$20,6883.63%1.36%
200463.36%$34,8871.93%$21,0873.36%1.93%
20047-6.22%$32,718-3.31%$20,389-6.22%-3.31%
20048-2.52%$31,8930.38%$20,467-2.52%0.38%
200495.26%$33,5691.07%$20,6865.26%1.07%
2004103.45%$34,7271.51%$20,9993.45%1.51%
2004115.89%$36,7734.05%$21,8495.89%4.05%
2004123.59%$38,0923.39%$22,5903.59%3.39%
20051-5.52%$35,988-2.45%$22,036-5.52%-2.45%
200521.58%$36,5572.09%$22,4971.58%2.09%
20053-0.91%$36,223-1.76%$22,101-0.91%-1.76%
20054-3.83%$34,837-1.91%$21,678-3.83%-1.91%
200558.28%$37,7213.17%$22,3658.28%3.17%
20056-0.36%$37,5850.13%$22,393-0.36%0.13%
200575.11%$39,5043.71%$23,2235.11%3.71%
200580.19%$39,578-0.91%$23,0110.19%-0.91%
20059-0.16%$39,5160.79%$23,194-0.16%0.79%
200510-1.19%$39,046-1.68%$22,805-1.19%-1.68%
2005113.74%$40,5063.76%$23,6633.74%3.76%
2005121.82%$41,2420.02%$23,6691.82%0.02%
200616.60%$43,9642.65%$24,2956.60%2.65%
20062-0.65%$43,6770.26%$24,358-0.65%0.26%
200633.77%$45,3251.23%$24,6583.77%1.23%
200640.50%$45,5501.33%$24,9870.50%1.33%
20065-5.62%$42,990-2.90%$24,263-5.62%-2.90%
20066-0.99%$42,5650.13%$24,294-0.99%0.13%
20067-3.29%$41,1670.61%$24,442-3.29%0.61%
200685.37%$43,3772.36%$25,0195.37%2.36%
200693.94%$45,0882.56%$25,6603.94%2.56%
2006103.77%$46,7863.25%$26,4953.77%3.25%
2006114.64%$48,9581.89%$26,9954.64%1.89%
200612-1.63%$48,1601.39%$27,371-1.63%1.39%
200710.52%$48,4101.49%$27,7790.52%1.49%
20072-1.03%$47,911-1.97%$27,232-1.03%-1.97%
20073-0.08%$47,8721.11%$27,535-0.08%1.11%
200743.46%$49,5264.42%$28,7523.46%4.42%
200754.59%$51,7973.48%$29,7514.59%3.48%
200761.32%$52,480-1.68%$29,2531.32%-1.68%
20077-1.48%$51,706-3.08%$28,350-1.48%-3.08%
200782.89%$53,2021.50%$28,7752.89%1.50%
200795.38%$56,0653.72%$29,8465.38%3.72%
2007102.39%$57,4041.58%$30,3182.39%1.58%
200711-5.03%$54,515-4.19%$29,048-5.03%-4.19%
200712-2.31%$53,254-0.70%$28,845-2.31%-0.70%
20081-6.60%$49,739-6.02%$27,110-6.60%-6.02%
20082-1.37%$49,059-3.25%$26,228-1.37%-3.25%
20083-0.32%$48,900-0.44%$26,113-0.32%-0.44%
200843.93%$50,8244.85%$27,3803.93%4.85%
200855.78%$53,7601.29%$27,7345.78%1.29%
20086-8.10%$49,407-8.44%$25,394-8.10%-8.44%
20087-1.20%$48,814-0.83%$25,183-1.20%-0.83%
200880.92%$49,2621.45%$25,5470.92%1.45%
20089-13.65%$42,537-8.91%$23,272-13.65%-8.91%
200810-18.63%$34,611-16.79%$19,364-18.63%-16.79%
200811-10.74%$30,894-7.17%$17,975-10.74%-7.17%
2008125.00%$32,4401.07%$18,1665.00%1.07%
20091-3.06%$31,446-8.41%$16,638-3.06%-8.41%
20092-7.29%$29,154-10.66%$14,865-7.29%-10.66%
2009311.54%$32,5208.76%$16,16711.54%8.76%
2009412.47%$36,5759.56%$17,71312.47%9.56%
200953.59%$37,8895.62%$18,7083.59%5.62%
200960.59%$38,1130.22%$18,7490.59%0.22%
200979.76%$41,8327.58%$20,1709.76%7.58%
200981.88%$42,6173.60%$20,8951.88%3.60%
200994.21%$44,4123.72%$21,6724.21%3.72%
200910-5.02%$42,184-1.87%$21,267-5.02%-1.87%
2009116.84%$45,0695.98%$22,5396.84%5.98%
2009127.18%$48,3061.95%$22,9787.18%1.95%
20101-5.19%$45,798-3.60%$22,150-5.19%-3.60%
201024.81%$48,0013.09%$22,8354.81%3.09%
201035.80%$50,7836.01%$24,2085.80%6.01%
201040.63%$51,1041.58%$24,5900.63%1.58%
20105-9.03%$46,489-8.01%$22,621-9.03%-8.01%
20106-7.82%$42,855-5.24%$21,436-7.82%-5.24%
201077.50%$46,0717.00%$22,9367.50%7.00%
20108-7.19%$42,758-4.53%$21,897-7.19%-4.53%
2010911.28%$47,5838.92%$23,85011.28%8.92%
2010105.14%$50,0273.79%$24,7535.14%3.79%
2010111.48%$50,7670.00%$24,7531.48%0.00%
2010125.68%$53,6486.67%$26,4055.68%6.67%
201112.29%$54,8752.36%$27,0272.29%2.36%
201123.06%$56,5533.42%$27,9503.06%3.42%
20113-0.11%$56,4890.03%$27,958-0.11%0.03%
201142.86%$58,1032.95%$28,7822.86%2.95%
20115-0.89%$57,586-1.15%$28,452-0.89%-1.15%
20116-3.45%$55,601-1.67%$27,976-3.45%-1.67%
20117-4.03%$53,358-2.05%$27,404-4.03%-2.05%
20118-7.08%$49,581-5.45%$25,911-7.08%-5.45%
20119-8.30%$45,465-7.04%$24,086-8.30%-7.04%
20111012.07%$50,95310.91%$26,71512.07%10.91%
201111-1.11%$50,388-0.23%$26,653-1.11%-0.23%
201112-0.11%$50,3301.02%$26,924-0.11%1.02%
201216.24%$53,4684.46%$28,1266.24%4.46%
201221.88%$54,4754.31%$29,3371.88%4.31%
201232.88%$56,0443.28%$30,3002.88%3.28%
20124-2.19%$54,816-0.64%$30,106-2.19%-0.64%
20125-6.10%$51,473-6.02%$28,294-6.10%-6.02%
201264.14%$53,6054.11%$29,4574.14%4.11%
201271.34%$54,3211.37%$29,8611.34%1.37%
201283.11%$56,0102.24%$30,5293.11%2.24%
201291.16%$56,6582.58%$31,3161.16%2.58%
201210-1.38%$55,873-1.86%$30,734-1.38%-1.86%
2012114.67%$58,4830.56%$30,9064.67%0.56%
2012121.87%$59,5750.90%$31,1841.87%0.90%
201317.64%$64,1295.18%$32,7997.64%5.18%
201322.13%$65,4931.34%$33,2382.13%1.34%
201335.68%$69,2143.74%$34,4805.68%3.74%
201342.51%$70,9511.91%$35,1392.51%1.91%
201353.37%$73,3432.33%$35,9563.37%2.33%
20136-1.62%$72,156-1.35%$35,471-1.62%-1.35%
201375.97%$76,4625.07%$37,2705.97%5.07%
20138-2.09%$74,867-2.91%$36,185-2.09%-2.91%
201395.49%$78,9783.12%$37,3145.49%3.12%
2013102.15%$80,6794.59%$39,0262.15%4.59%
2013113.25%$83,3023.03%$40,2083.25%3.03%
2013122.05%$85,0072.51%$41,2182.05%2.51%
201410.80%$85,688-3.47%$39,7880.80%-3.47%
201426.51%$91,2654.56%$41,6036.51%4.56%
20143-1.94%$89,4980.82%$41,946-1.94%0.82%
20144-3.25%$86,5900.72%$42,249-3.25%0.72%
201454.19%$90,2162.33%$43,2364.19%2.33%
201463.43%$93,3092.05%$44,1233.43%2.05%
20147-1.80%$91,634-1.39%$43,511-1.80%-1.39%
201485.06%$96,2723.98%$45,2435.06%3.98%
20149-1.68%$94,653-1.41%$44,604-1.68%-1.41%
2014102.86%$97,3582.42%$45,6852.86%2.42%
2014114.01%$101,2612.68%$46,9104.01%2.68%
201412-0.20%$101,055-0.26%$46,786-0.20%-0.26%
20151-0.95%$100,097-3.02%$45,374-0.95%-3.02%
201525.13%$105,2325.74%$47,9795.13%5.74%
201530.09%$105,328-1.59%$47,2140.09%-1.59%
20154-1.51%$103,7370.95%$47,662-1.51%0.95%
201552.53%$106,3621.27%$48,2692.53%1.27%
20156-1.75%$104,504-1.93%$47,336-1.75%-1.93%
201571.23%$105,7872.08%$48,3201.23%2.08%
20158-5.87%$99,579-6.05%$45,399-5.87%-6.05%
20159-3.31%$96,284-2.48%$44,271-3.31%-2.48%
2015107.18%$103,2018.42%$47,9997.18%8.42%
2015110.17%$103,3730.29%$48,1370.17%0.29%
2015120.29%$103,673-1.59%$47,3700.29%-1.59%
20161-8.89%$94,456-4.98%$45,013-8.89%-4.98%
201620.51%$94,940-0.15%$44,9470.51%-0.15%
201635.67%$100,3256.78%$47,9935.67%6.78%
20164-0.90%$99,4170.37%$48,172-0.90%0.37%
201653.79%$103,1891.78%$49,0313.79%1.78%
20166-4.10%$98,9530.25%$49,154-4.10%0.25%
201678.72%$107,5863.68%$50,9618.72%3.68%
201680.81%$108,4530.13%$51,0270.81%0.13%
201692.27%$110,9140.01%$51,0312.27%0.01%
201610-4.09%$106,376-1.83%$50,095-4.09%-1.83%
2016115.75%$112,4873.70%$51,9485.75%3.70%
2016121.90%$114,6261.96%$52,9681.90%1.96%
201713.70%$118,8631.88%$53,9653.70%1.88%
201723.89%$123,4843.96%$56,1043.89%3.96%
201730.62%$124,2510.10%$56,1600.62%0.10%
201741.83%$126,5291.02%$56,7321.83%1.02%
201753.18%$130,5541.39%$57,5233.18%1.39%
201761.42%$132,4060.61%$57,8741.42%0.61%
201770.48%$133,0452.04%$59,0560.48%2.04%
201781.57%$135,1320.29%$59,2301.57%0.29%
201793.23%$139,4972.06%$60,4493.23%2.06%
2017102.24%$142,6282.32%$61,8502.24%2.32%
2017113.08%$147,0143.06%$63,7423.08%3.06%
2017120.66%$147,9811.10%$64,4450.66%1.10%
201816.78%$158,0175.71%$68,1266.78%5.71%
20182-2.93%$153,389-3.69%$65,609-2.93%-3.69%
20183-1.87%$150,518-2.56%$63,933-1.87%-2.56%
20184-1.61%$148,0930.37%$64,171-1.61%0.37%
201855.06%$155,5922.39%$65,7085.06%2.39%
20186-0.79%$154,3680.61%$66,106-0.79%0.61%
201875.46%$162,8023.71%$68,5585.46%3.71%
201884.33%$169,8563.25%$70,7834.33%3.25%
20189-0.60%$168,8320.55%$71,176-0.60%0.55%
201810-9.44%$152,899-6.85%$66,301-9.44%-6.85%
2018113.78%$158,6852.03%$67,6453.78%2.03%
201812-10.24%$142,431-9.04%$61,529-10.24%-9.04%
201919.25%$155,6088.00%$66,4539.25%8.00%
201924.00%$161,8353.20%$68,5804.00%3.20%
20193-0.95%$160,2911.94%$69,908-0.95%1.94%
201943.22%$165,4474.04%$72,7333.22%4.04%
20195-8.84%$150,825-6.36%$68,104-8.84%-6.36%
201967.30%$161,8357.03%$72,8947.30%7.03%
201971.85%$164,8241.43%$73,9331.85%1.43%
20198-3.87%$158,448-1.59%$72,757-3.87%-1.59%
201991.21%$160,3661.86%$74,1091.21%1.86%
2019104.54%$167,6392.15%$75,7064.54%2.15%
2019115.20%$176,3573.62%$78,4475.20%3.62%
2019122.72%$181,1523.01%$80,8052.72%3.01%
20201-1.92%$177,679-0.05%$80,764-1.92%-0.05%
20202-6.52%$166,094-8.24%$74,108-6.52%-8.24%
20203-13.60%$143,506-12.37%$64,939-13.60%-12.37%
2020410.60%$158,72312.81%$73,26110.60%12.81%
202055.18%$166,9424.76%$76,7455.18%4.76%
202065.03%$175,3461.98%$78,2625.03%1.98%
202073.83%$182,0535.63%$82,6663.83%5.63%
202086.29%$193,5067.18%$88,5996.29%7.18%
20209-1.78%$190,060-3.81%$85,223-1.78%-3.81%
202010-1.63%$186,958-2.67%$82,946-1.63%-2.67%
20201113.70%$212,56810.94%$92,01713.70%10.94%
2020124.64%$222,4363.84%$95,5504.64%3.84%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%46.05%
Large-cap Growth40.08%53.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth37.95%0.00%
Small-cap Value10.99%0.00%
Small-cap Growth5.73%0.00%
Global ex-US Developed Markets4.58%0.00%
Emerging Markets0.67%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared90.71%99.91%
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
VHCOXVanguard Capital Opportunity InvLarge Growth100.00%0.29%0.44%27.79$212,436100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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$85,550100.00%

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)1.21%0.85%
Arithmetic Mean (annualized)15.52%10.74%
Geometric Mean (monthly)1.04%0.76%
Geometric Mean (annualized)13.21%9.45%
Volatility (monthly)5.82%4.42%
Volatility (annualized)20.18%15.30%
Downside Deviation (monthly)3.75%2.95%
Max. Drawdown-50.92%-50.97%
US Market Correlation0.880.99
Beta(*)1.130.96
Alpha (annualized)2.69%0.18%
R277.92%97.97%
Sharpe Ratio0.610.53
Sortino Ratio0.930.77
Treynor Ratio (%)10.968.45
Calmar Ratio0.700.71
Active Return3.60%-0.16%
Tracking Error9.70%2.26%
Information Ratio0.37-0.07
Skewness-0.38-0.60
Excess Kurtosis0.951.10
Historical Value-at-Risk (5%)-9.05%-7.20%
Analytical Value-at-Risk (5%)-8.37%-6.41%
Conditional Value-at-Risk (5%)-12.55%-9.94%
Upside Capture Ratio (%)123.5695.66
Downside Capture Ratio (%)110.8595.42
Safe Withdrawal Rate11.78%8.33%
Perpetual Withdrawal Rate9.78%6.68%
Positive Periods184 out of 300 (61.33%)197 out of 300 (65.67%)
Gain/Loss Ratio1.070.85
* 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 1998-15.10%-5.61%
Russian Debt DefaultJul 1998Oct 1998-18.20%-15.38%
Dotcom CrashMar 2000Oct 2002-50.92%-44.82%
Subprime CrisisNov 2007Mar 2009-49.21%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-50.92%
2Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-49.21%
3May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-21.75%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-20.78%
5Feb 1997Aug 19981 year 7 monthsNov 19983 months1 year 10 months-18.52%
6Jun 1996Jul 19962 monthsSep 19962 months4 months-16.86%
7Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-16.15%
8Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-11.19%
9May 2006Jul 20063 monthsOct 20063 months6 months-9.62%
10Jan 2005Apr 20054 monthsJul 20053 months7 months-8.55%
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%
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%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VHCOXVanguard Capital Opportunity Inv13.21%20.18%97.77%-39.08%-50.92%0.610.930.88
VFINXVanguard 500 Index Investor9.45%15.30%33.19%-37.02%-50.97%0.530.770.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVHCOXVFINXPortfolio 1Portfolio 2
VHCOXVanguard Capital Opportunity Inv1.000.841.000.84
VFINXVanguard 500 Index Investor0.841.000.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VHCOXVanguard Capital Opportunity Inv$212,436
VFINXVanguard 500 Index Investor$85,550

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VHCOXVanguard Capital Opportunity Inv100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year15.65%146.93%-43.33%10.11%53.61%-43.32%
3 years13.84%51.85%-17.00%8.26%29.62%-16.14%
5 years12.18%29.67%-3.12%6.99%22.85%-6.73%
7 years11.74%21.91%0.80%6.86%17.12%-3.94%
10 years11.17%18.70%1.25%6.64%16.52%-3.51%
15 years11.10%14.51%6.68%6.56%10.39%3.64%