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 Analysis Results (Jan 1997 - Dec 2020)

Portfolio Allocations

DBS
Ticker Name Allocation
DBSDY DBS 100.00%
Save portfolio »
JPM
Ticker Name Allocation
JPM J P Morgan Chase & Co 100.00%
Save portfolio »
TD
Ticker Name Allocation
TD Toronto Dominion Bank 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DBS$10,000$32,654 5.05% 35.96%100.46%-50.50%-75.67% 0.260.400.62
JPM$10,000$84,450 9.30% 31.70%60.29%-30.71%-64.58% 0.380.570.68
TD$10,000$218,839 13.72% 26.09%85.12%-46.77%-59.44% 0.550.850.72
Vanguard 500 Index Investor$10,000$77,760 8.92% 15.46%33.19%-37.02%-50.97% 0.500.730.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
DBS29.30%1.84%5.16%14.78%9.50%5.05%30.23%27.81%
JPM33.19%-5.52%9.11%17.24%14.67%9.30%27.66%24.83%
TD23.55%5.58%2.91%11.90%8.26%13.72%24.77%20.74%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%13.72%8.92%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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationDBSJPMTDVanguard 500 Index InvestorDBS (DBSDY)J P Morgan Chase & Co (JPM)Toronto Dominion Bank (TD)
ReturnBalanceYieldIncomeReturnBalanceYieldIncomeReturnBalanceYieldIncomeReturnBalance
19971.70%-36.11%$6,3890.00%$0.0025.54%$12,5542.73%$27353.20%$15,3204.62%$46233.19%$13,319-36.11%25.54%53.20%
19981.61%2.90%$6,5740.00%$0.0032.79%$16,6712.56%$321-2.99%$14,8623.60%$55128.62%$17,1312.90%32.79%-2.99%
19992.68%81.69%$11,9440.00%$0.0011.65%$18,6132.26%$37658.52%$23,5594.37%$64921.07%$20,74081.69%11.65%58.52%
20003.39%-31.01%$8,2410.00%$0.00-10.05%$16,7432.40%$44711.29%$26,2193.61%$850-9.06%$18,861-31.01%-10.05%11.29%
20011.55%-33.82%$5,4540.68%$55.93-17.41%$13,8272.98%$499-7.40%$24,2793.92%$1,029-12.02%$16,594-33.82%-17.41%-7.40%
20022.38%-14.13%$4,6830.00%$0.00-30.71%$9,5813.80%$525-11.61%$21,4614.43%$1,075-22.15%$12,919-14.13%-30.71%-11.61%
20031.88%42.25%$6,6612.77%$13060.29%$15,3575.78%$55361.19%$34,5935.64%$1,21128.50%$16,60142.25%60.29%61.19%
20043.26%16.80%$7,7812.30%$1539.97%$16,8883.75%$57629.68%$44,8624.25%$1,47210.74%$18,38416.80%9.97%29.68%
20053.42%4.65%$8,1423.90%$3045.74%$17,8583.54%$59730.69%$58,6293.65%$1,6394.77%$19,2624.65%5.74%30.69%
20062.54%53.97%$12,5373.51%$28625.60%$22,4293.47%$62016.12%$68,0772.30%$1,35015.64%$22,27553.97%25.60%16.12%
20074.08%0.70%$12,6254.28%$537-6.90%$20,8823.01%$67620.29%$81,8923.27%$2,2295.39%$23,4750.70%-6.90%20.29%
20080.09%-50.50%$6,2494.03%$508-25.13%$15,6343.53%$737-46.77%$43,5883.40%$2,785-37.02%$14,784-50.50%-25.13%-46.77%
20092.72%100.46%$12,52821.43%$1,33934.36%$21,0061.69%$26485.12%$80,6927.50%$3,27126.49%$18,700100.46%34.36%85.12%
20101.50%5.22%$13,1822.80%$3502.30%$21,4900.48%$10122.62%$98,9483.80%$3,06914.91%$21,4895.22%2.30%22.62%
20112.96%-17.34%$10,8975.01%$660-19.97%$17,1971.90%$4084.09%$102,9943.58%$3,5441.97%$21,911-17.34%-19.97%4.09%
20121.74%43.95%$15,6855.09%$55536.18%$23,4193.50%$60216.80%$120,2983.89%$4,01115.82%$25,37943.95%36.18%16.80%
20131.50%14.19%$17,9103.64%$57236.71%$32,0163.13%$73216.02%$139,5733.80%$4,57032.18%$33,54414.19%36.71%16.02%
20140.76%18.52%$21,2263.42%$6129.88%$35,1802.69%$8635.00%$146,5463.63%$5,07313.51%$38,07618.52%9.88%5.00%
20150.73%-22.77%$16,3932.83%$6008.37%$38,1232.71%$954-14.90%$124,7063.38%$4,9581.25%$38,551-22.77%8.37%-14.90%
20162.07%6.39%$17,4413.83%$62934.57%$51,3012.82%$1,07430.99%$163,3484.21%$5,25011.82%$43,1076.39%34.57%30.99%
20172.11%60.99%$28,0793.74%$65226.73%$65,0152.38%$1,22322.94%$200,8133.71%$6,06321.67%$52,44760.99%26.73%22.94%
20181.91%-2.46%$27,3884.80%$1,346-6.65%$60,6942.34%$1,521-12.10%$176,5053.52%$7,072-4.52%$50,074-2.46%-6.65%-12.10%
20192.29%17.07%$32,0646.36%$1,74247.27%$89,3823.42%$2,07717.43%$207,2794.45%$7,86131.33%$65,76117.07%47.27%17.43%
20201.36%1.84%$32,6542.61%$838-5.52%$84,4502.62%$2,3385.58%$218,8394.20%$8,69918.25%$77,7601.84%-5.52%5.58%
Monthly returns for the configured portfolios
YearMonthDBSJPMTDVanguard 500 Index InvestorDBS (DBSDY)J P Morgan Chase & Co (JPM)Toronto Dominion Bank (TD)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
199713.70%$10,3704.16%$10,4167.84%$10,7846.22%$10,6223.70%4.16%7.84%
19972-6.03%$9,7458.24%$11,2742.27%$11,0290.79%$10,706-6.03%8.24%2.27%
19973-11.40%$8,634-6.24%$10,570-9.76%$9,953-4.14%$10,263-11.40%-6.24%-9.76%
199743.49%$8,935-1.21%$10,44312.44%$11,1915.96%$10,8743.49%-1.21%12.44%
199755.70%$9,4442.58%$10,7127.08%$11,9836.09%$11,5365.70%2.58%7.08%
19976-0.49%$9,3982.71%$11,003-1.17%$11,8434.45%$12,050-0.49%2.71%-1.17%
199772.71%$9,65317.73%$12,9539.07%$12,9177.97%$13,0102.71%17.73%9.07%
19978-20.38%$7,685-2.09%$12,682-6.38%$12,093-5.61%$12,280-20.38%-2.09%-6.38%
19979-2.71%$7,4776.13%$13,45913.75%$13,7565.47%$12,951-2.71%6.13%13.75%
199710-7.74%$6,898-1.67%$13,2356.96%$14,713-3.35%$12,518-7.74%-1.67%6.96%
1997110.67%$6,944-5.79%$12,468-2.57%$14,3354.60%$13,0930.67%-5.79%-2.57%
199712-8.00%$6,3890.69%$12,5546.87%$15,3201.72%$13,319-8.00%0.69%6.87%
19981-23.55%$4,884-1.56%$12,358-2.32%$14,9641.11%$13,467-23.55%-1.56%-2.32%
1998222.27%$5,97215.74%$14,30315.11%$17,2257.19%$14,43522.27%15.74%15.11%
19983-7.75%$5,5098.72%$15,5503.08%$17,7555.10%$15,172-7.75%8.72%3.08%
19984-9.24%$5,0003.26%$16,0585.33%$18,7021.01%$15,325-9.24%3.26%5.33%
19985-10.19%$4,491-1.89%$15,753-1.92%$18,344-1.74%$15,058-10.19%-1.89%-1.92%
19986-9.28%$4,07411.08%$17,4991.90%$18,6924.07%$15,671-9.28%11.08%1.90%
19987-2.84%$3,9580.64%$17,612-12.83%$16,294-1.05%$15,506-2.84%0.64%-12.83%
19988-36.26%$2,523-30.58%$12,226-35.44%$10,519-14.47%$13,262-36.26%-30.58%-35.44%
1998911.93%$2,824-17.86%$10,0435.60%$11,1086.41%$14,11211.93%-17.86%5.60%
19981068.85%$4,76932.82%$13,33912.68%$12,5168.16%$15,26468.85%32.82%12.68%
19981119.42%$5,69411.66%$14,89511.67%$13,9766.07%$16,19119.42%11.66%11.67%
19981215.45%$6,57411.92%$16,6716.34%$14,8625.81%$17,13115.45%11.92%6.34%
19991-14.79%$5,6028.91%$18,15518.79%$17,6554.20%$17,851-14.79%8.91%18.79%
19992-5.79%$5,2783.49%$18,789-1.49%$17,392-3.12%$17,293-5.79%3.49%-1.49%
199934.39%$5,5092.20%$19,20212.28%$19,5284.00%$17,9844.39%2.20%12.28%
1999440.34%$7,7311.91%$19,56816.33%$22,7163.85%$18,67740.34%1.91%16.33%
19995-3.59%$7,454-12.27%$17,167-0.82%$22,530-2.39%$18,231-3.59%-12.27%-0.82%
1999621.74%$9,07419.52%$20,517-14.15%$19,3425.56%$19,24321.74%19.52%-14.15%
199974.08%$9,444-10.49%$18,366-12.50%$16,925-3.13%$18,6414.08%-10.49%-12.50%
19998-9.80%$8,5198.60%$19,945-1.27%$16,711-0.50%$18,549-9.80%8.60%-1.27%
19999-3.26%$8,241-9.93%$17,9640.95%$16,869-2.74%$18,041-3.26%-9.93%0.95%
199910-0.56%$8,19416.37%$20,90418.27%$19,9516.33%$19,182-0.56%16.37%18.27%
19991117.30%$9,612-11.46%$18,5084.61%$20,8702.02%$19,57017.30%-11.46%4.61%
19991224.26%$11,9440.57%$18,61312.88%$23,5595.98%$20,74024.26%0.57%12.88%
20001-17.05%$9,9074.46%$19,444-6.48%$22,032-5.03%$19,696-17.05%4.46%-6.48%
20002-8.41%$9,074-1.32%$19,1880.50%$22,141-1.91%$19,321-8.41%-1.32%0.50%
200038.16%$9,8159.50%$21,0106.08%$23,4879.75%$21,2058.16%9.50%6.08%
200042.83%$10,093-16.82%$17,476-13.35%$20,351-3.00%$20,5692.83%-16.82%-13.35%
20005-29.13%$7,1533.55%$18,0976.22%$21,616-2.04%$20,150-29.13%3.55%6.22%
2000630.74%$9,352-7.49%$16,742-0.03%$21,6092.49%$20,65230.74%-7.49%-0.03%
20007-5.45%$8,8438.87%$18,227-1.80%$21,221-1.50%$20,343-5.45%8.87%-1.80%
200082.36%$9,05112.17%$20,44519.63%$25,3876.19%$21,6022.36%12.17%19.63%
20009-11.00%$8,056-17.34%$16,9004.15%$26,441-5.29%$20,459-11.00%-17.34%4.15%
2000106.90%$8,611-0.80%$16,766-6.57%$24,704-0.43%$20,3726.90%-0.80%-6.57%
200011-5.11%$8,171-18.96%$13,588-5.90%$23,248-7.89%$18,765-5.11%-18.96%-5.90%
2000120.85%$8,24123.22%$16,74312.78%$26,2190.51%$18,8610.85%23.22%12.78%
200112.25%$8,42621.79%$20,3911.69%$26,6623.55%$19,5302.25%21.79%1.69%
20012-1.65%$8,287-15.15%$17,302-9.53%$24,122-9.14%$17,746-1.65%-15.15%-9.53%
20013-21.23%$6,528-3.77%$16,649-4.67%$22,994-6.36%$16,618-21.23%-3.77%-4.67%
20014-2.13%$6,3897.76%$17,9411.11%$23,2507.77%$17,909-2.13%7.76%1.11%
20015-8.41%$5,8522.44%$18,3782.04%$23,7250.65%$18,025-8.41%2.44%2.04%
20016-8.23%$5,370-9.52%$16,628-0.45%$23,619-2.45%$17,584-8.23%-9.52%-0.45%
200171.72%$5,463-1.91%$16,3110.04%$23,628-1.00%$17,4091.72%-1.91%0.04%
200186.16%$5,800-9.01%$14,8424.96%$24,800-6.27%$16,3166.16%-9.01%4.96%
20019-31.45%$3,976-13.32%$12,864-7.34%$22,979-8.09%$14,996-31.45%-13.32%-7.34%
2001104.71%$4,1634.56%$13,451-8.57%$21,0101.90%$15,2804.71%4.56%-8.57%
20011110.11%$4,5846.67%$14,34911.64%$23,4557.65%$16,45010.11%6.67%11.64%
20011218.98%$5,454-3.63%$13,8273.51%$24,2790.87%$16,59418.98%-3.63%3.51%
200212.74%$5,603-5.45%$13,0743.92%$25,232-1.47%$16,3492.74%-5.45%3.92%
20022-3.17%$5,426-14.10%$11,231-1.01%$24,977-1.94%$16,033-3.17%-14.10%-1.01%
200239.66%$5,94921.88%$13,6884.62%$26,1323.74%$16,6339.66%21.88%4.62%
20024-4.09%$5,706-0.59%$13,608-3.03%$25,341-6.07%$15,622-4.09%-0.59%-3.03%
200254.92%$5,9872.42%$13,937-4.85%$24,111-0.75%$15,5054.92%2.42%-4.85%
20026-11.72%$5,285-5.65%$13,150-5.96%$22,674-7.13%$14,398-11.72%-5.65%-5.96%
20027-5.31%$5,005-25.61%$9,782-11.62%$20,040-7.72%$13,287-5.31%-25.61%-11.62%
200281.50%$5,0795.77%$10,3466.74%$21,3900.65%$13,3741.50%5.77%6.74%
20029-7.92%$4,677-28.07%$7,442-19.40%$17,240-10.87%$11,919-7.92%-28.07%-19.40%
2002108.52%$5,07611.30%$8,2848.63%$18,7298.78%$12,9668.52%11.30%8.63%
200211-6.01%$4,77121.30%$10,04812.34%$21,0395.88%$13,728-6.01%21.30%12.34%
200212-1.84%$4,683-4.65%$9,5812.00%$21,461-5.89%$12,919-1.84%-4.65%2.00%
20031-7.11%$4,350-1.45%$9,442-1.57%$21,124-2.62%$12,580-7.11%-1.45%-1.57%
20032-5.59%$4,107-2.83%$9,1755.82%$22,353-1.52%$12,389-5.59%-2.83%5.82%
20033-5.69%$3,8734.54%$9,592-0.51%$22,2390.96%$12,507-5.69%4.54%-0.51%
20034-4.26%$3,70825.46%$12,0346.45%$23,6748.25%$13,540-4.26%25.46%6.45%
2003516.20%$4,30811.96%$13,4739.11%$25,8325.26%$14,25216.20%11.96%9.11%
200362.43%$4,4134.02%$14,0148.99%$28,1551.26%$14,4322.43%4.02%8.99%
2003713.39%$5,0043.56%$14,514-4.14%$26,9891.74%$14,68413.39%3.56%-4.14%
2003810.20%$5,514-2.37%$14,1705.90%$28,5811.93%$14,96710.20%-2.37%5.90%
200393.32%$5,6970.32%$14,2161.49%$29,006-1.07%$14,8073.32%0.32%1.49%
2003109.98%$6,2665.59%$15,01017.63%$34,1205.64%$15,6429.98%5.59%17.63%
2003111.23%$6,343-1.39%$14,801-5.41%$32,2750.86%$15,7781.23%-1.39%-5.41%
2003125.02%$6,6613.76%$15,3577.18%$34,5935.22%$16,6015.02%3.76%7.18%
200415.64%$7,0376.86%$16,411-2.09%$33,8691.82%$16,9045.64%6.86%-2.09%
20042-4.11%$6,7485.48%$17,3102.60%$34,7491.38%$17,136-4.11%5.48%2.60%
20043-1.29%$6,6612.27%$17,7035.73%$36,740-1.51%$16,877-1.29%2.27%5.73%
20044-2.46%$6,497-9.64%$15,997-8.22%$33,719-1.58%$16,611-2.46%-9.64%-8.22%
200450.52%$6,531-2.02%$15,6744.00%$35,0671.36%$16,8360.52%-2.02%4.00%
200460.30%$6,5515.24%$16,495-3.09%$33,9841.93%$17,1610.30%5.24%-3.09%
200477.89%$7,068-2.86%$16,0243.60%$35,209-3.31%$16,5937.89%-2.86%3.60%
200481.30%$7,1596.03%$16,9894.32%$36,7300.38%$16,6571.30%6.03%4.32%
200494.27%$7,4650.38%$17,0545.40%$38,7121.07%$16,8344.27%0.38%5.40%
200410-0.66%$7,416-2.01%$16,71010.72%$42,8611.51%$17,089-0.66%-2.01%10.72%
2004113.72%$7,692-2.46%$16,2990.07%$42,8934.05%$17,7813.72%-2.46%0.07%
2004121.15%$7,7813.61%$16,8884.59%$44,8623.39%$18,3841.15%3.61%4.59%
20051-2.28%$7,603-3.46%$16,304-6.62%$41,892-2.45%$17,933-2.28%-3.46%-6.62%
20052-5.19%$7,209-2.09%$15,9635.19%$44,0662.09%$18,308-5.19%-2.09%5.19%
20053-1.37%$7,110-5.34%$15,1111.98%$44,938-1.76%$17,986-1.37%-5.34%1.98%
20054-2.50%$6,9323.60%$15,656-3.29%$43,460-1.91%$17,642-2.50%3.60%-3.29%
20055-2.63%$6,7500.73%$15,7716.35%$46,2213.17%$18,201-2.63%0.73%6.35%
200560.75%$6,801-1.20%$15,5815.69%$48,8510.13%$18,2240.75%-1.20%5.69%
2005714.84%$7,8100.46%$15,6522.47%$50,0553.71%$18,90014.84%0.46%2.47%
20058-3.65%$7,525-3.56%$15,0953.24%$51,676-0.91%$18,727-3.65%-3.56%3.24%
200590.41%$7,5550.12%$15,1135.43%$54,4830.79%$18,8760.41%0.12%5.43%
200510-2.83%$7,3419.02%$16,476-4.08%$52,263-1.68%$18,559-2.83%9.02%-4.08%
2005118.10%$7,9364.45%$17,2109.58%$57,2673.76%$19,2588.10%4.45%9.58%
2005122.59%$8,1423.76%$17,8582.38%$58,6290.02%$19,2622.59%3.76%2.38%
200612.27%$8,3271.01%$18,0380.83%$59,1182.65%$19,7712.27%1.01%0.83%
20062-1.11%$8,2353.50%$18,6698.09%$63,9020.26%$19,823-1.11%3.50%8.09%
200631.12%$8,3271.22%$18,896-2.38%$62,3801.23%$20,0671.12%1.22%-2.38%
2006412.03%$9,3299.86%$20,7580.32%$62,5821.33%$20,33512.03%9.86%0.32%
20065-1.73%$9,168-6.04%$19,505-2.95%$60,734-2.90%$19,746-1.73%-6.04%-2.95%
200663.19%$9,460-1.50%$19,212-5.66%$57,2990.13%$19,7713.19%-1.50%-5.66%
200670.77%$9,5339.48%$21,0340.95%$57,8410.61%$19,8910.77%9.48%0.95%
200680.06%$9,5390.09%$21,05212.88%$65,2902.36%$20,3610.06%0.09%12.88%
200696.28%$10,1392.85%$21,6523.00%$67,2472.56%$20,8836.28%2.85%3.00%
2006108.92%$11,0431.75%$22,030-2.05%$65,8713.25%$21,5628.92%1.75%-2.05%
2006114.99%$11,594-2.45%$21,4911.17%$66,6451.89%$21,9694.99%-2.45%1.17%
2006128.13%$12,5374.36%$22,4292.15%$68,0771.39%$22,2758.13%4.36%2.15%
20071-2.79%$12,1876.19%$23,817-0.29%$67,8771.49%$22,607-2.79%6.19%-0.29%
20072-1.56%$11,997-3.02%$23,0970.79%$68,415-1.97%$22,162-1.56%-3.02%0.79%
200730.39%$12,043-2.04%$22,6251.10%$69,1711.11%$22,4090.39%-2.04%1.10%
200741.52%$12,2268.44%$24,5351.95%$70,5204.42%$23,3991.52%8.44%1.95%
2007512.36%$13,737-0.52%$24,40813.02%$79,7053.48%$24,21212.36%-0.52%13.02%
20076-5.47%$12,986-6.52%$22,816-0.85%$79,024-1.68%$23,806-5.47%-6.52%-0.85%
200772.77%$13,345-8.46%$20,885-5.71%$74,515-3.08%$23,0722.77%-8.46%-5.71%
20078-13.86%$11,4961.16%$21,1276.60%$79,4311.50%$23,418-13.86%1.16%6.60%
2007910.59%$12,7142.92%$21,74412.19%$89,1113.72%$24,29010.59%2.92%12.19%
2007108.63%$13,8113.40%$22,484-0.94%$88,2731.58%$24,6738.63%3.40%-0.94%
200711-10.35%$12,382-2.94%$21,824-0.73%$87,629-4.19%$23,640-10.35%-2.94%-0.73%
2007121.96%$12,625-4.32%$20,882-6.55%$81,892-0.70%$23,4751.96%-4.32%-6.55%
20081-12.78%$11,0119.57%$22,880-2.40%$79,928-6.02%$22,063-12.78%9.57%-2.40%
20082-1.20%$10,878-14.24%$19,622-0.99%$79,137-3.25%$21,345-1.20%-14.24%-0.99%
200836.71%$11,6085.66%$20,732-8.47%$72,431-0.44%$21,2516.71%5.66%-8.47%
2008413.52%$13,17611.85%$23,1908.16%$78,3434.85%$22,28313.52%11.85%8.16%
20085-1.24%$13,014-9.76%$20,9279.90%$86,1021.29%$22,571-1.24%-9.76%9.90%
20086-3.64%$12,540-20.21%$16,698-13.80%$74,219-8.44%$20,666-3.64%-20.21%-13.80%
20087-0.18%$12,51719.74%$19,994-1.49%$73,110-0.83%$20,494-0.18%19.74%-1.49%
20088-8.35%$11,472-5.27%$18,941-4.13%$70,0901.45%$20,791-8.35%-5.27%-4.13%
20089-7.89%$10,56721.33%$22,9814.70%$73,387-8.91%$18,939-7.89%21.33%4.70%
200810-34.84%$6,885-11.00%$20,454-22.11%$57,162-16.79%$15,759-34.84%-11.00%-22.11%
200811-16.17%$5,772-23.25%$15,699-25.02%$42,859-7.17%$14,628-16.17%-23.25%-25.02%
2008128.27%$6,249-0.41%$15,6341.70%$43,5881.07%$14,7848.27%-0.41%1.70%
200911.90%$6,368-18.11%$12,803-8.80%$39,754-8.41%$13,5401.90%-18.11%-8.80%
20092-14.71%$5,431-10.43%$11,468-9.08%$36,144-10.66%$12,097-14.71%-10.43%-9.08%
2009311.00%$6,02916.32%$13,34017.86%$42,6008.76%$13,15711.00%16.32%17.86%
2009416.42%$7,01924.37%$16,59115.57%$49,2319.56%$14,41516.42%24.37%15.57%
2009530.86%$9,18511.82%$18,55229.15%$63,5815.62%$15,22530.86%11.82%29.15%
20096-1.76%$9,023-7.56%$17,1491.57%$64,5800.22%$15,258-1.76%-7.56%1.57%
2009719.17%$10,75213.48%$19,46015.75%$74,7537.58%$16,41419.17%13.48%15.75%
20098-7.28%$9,97012.45%$21,8825.18%$78,6283.60%$17,005-7.28%12.45%5.18%
200996.51%$10,6190.83%$22,0634.49%$82,1593.72%$17,6376.51%0.83%4.49%
200910-3.03%$10,297-4.56%$21,056-10.37%$73,642-1.87%$17,308-3.03%-4.56%-10.37%
20091114.75%$11,8161.72%$21,41910.13%$81,1045.98%$18,34314.75%1.72%10.13%
2009126.02%$12,528-1.93%$21,006-0.51%$80,6921.95%$18,7006.02%-1.93%-0.51%
20101-7.16%$11,631-6.44%$19,653-5.13%$76,554-3.60%$18,026-7.16%-6.44%-5.13%
20102-2.57%$11,3327.78%$21,1828.36%$82,9563.09%$18,583-2.57%7.78%8.36%
201033.02%$11,6736.62%$22,58516.73%$96,8366.01%$19,7013.02%6.62%16.73%
201049.15%$12,741-4.74%$21,5130.64%$97,4601.58%$20,0129.15%-4.74%0.64%
20105-11.06%$11,332-7.05%$19,998-8.04%$89,619-8.01%$18,410-11.06%-7.05%-8.04%
20106-1.28%$11,187-7.50%$18,497-5.20%$84,960-5.24%$17,445-1.28%-7.50%-5.20%
2010710.49%$12,36010.18%$20,38010.67%$94,0267.00%$18,66610.49%10.18%10.67%
20108-3.46%$11,932-9.73%$18,396-5.17%$89,165-4.53%$17,820-3.46%-9.73%-5.17%
201095.46%$12,5834.68%$19,2567.04%$95,4398.92%$19,4105.46%4.68%7.04%
2010100.35%$12,627-1.00%$19,0630.73%$96,1393.79%$20,1450.35%-1.00%0.73%
201011-1.72%$12,410-0.61%$18,9470.82%$96,9240.00%$20,145-1.72%-0.61%0.82%
2010126.22%$13,18213.42%$21,4902.09%$98,9486.67%$21,4896.22%13.42%2.09%
201114.70%$13,8016.06%$22,7921.62%$100,5472.36%$21,9954.70%6.06%1.62%
20112-5.33%$13,0653.89%$23,68011.78%$112,3893.42%$22,747-5.33%3.89%11.78%
201134.27%$13,622-1.26%$23,3815.83%$118,9410.03%$22,7534.27%-1.26%5.83%
201145.38%$14,355-0.49%$23,267-1.47%$117,1972.95%$23,4235.38%-0.49%-1.47%
201150.80%$14,470-5.24%$22,048-0.57%$116,534-1.15%$23,1550.80%-5.24%-0.57%
201160.15%$14,491-5.32%$20,876-1.44%$114,856-1.67%$22,7680.15%-5.32%-1.44%
201177.48%$15,574-0.60%$20,750-5.17%$108,915-2.05%$22,3027.48%-0.60%-5.17%
20118-12.91%$13,564-7.14%$19,267-1.28%$107,524-5.45%$21,087-12.91%-7.14%-1.28%
20119-18.92%$10,998-19.81%$15,451-10.02%$96,752-7.04%$19,602-18.92%-19.81%-10.02%
2011108.34%$11,91516.36%$17,9787.12%$103,64210.91%$21,7418.34%16.36%7.12%
2011112.40%$12,201-10.90%$16,018-5.80%$97,625-0.23%$21,6912.40%-10.90%-5.80%
201112-10.69%$10,8977.36%$17,1975.50%$102,9941.02%$21,911-10.69%7.36%5.50%
2012121.15%$13,20112.98%$19,4304.00%$107,1104.46%$22,88921.15%12.98%4.00%
201225.10%$13,8745.20%$20,4415.71%$113,2214.31%$23,8755.10%5.20%5.71%
20123-0.27%$13,83817.18%$23,9514.21%$117,9853.28%$24,659-0.27%17.18%4.21%
201240.24%$13,871-5.91%$22,5370.26%$118,286-0.64%$24,5010.24%-5.91%0.26%
20125-7.65%$12,810-22.87%$17,382-9.57%$106,968-6.02%$23,027-7.65%-22.87%-9.57%
201268.50%$13,8997.78%$18,7352.44%$109,5744.11%$23,9738.50%7.78%2.44%
201276.64%$14,8211.60%$19,0341.35%$111,0511.37%$24,3016.64%1.60%1.35%
201280.11%$14,8383.17%$19,6374.20%$115,7152.24%$24,8450.11%3.17%4.20%
201290.52%$14,9158.99%$21,4031.78%$117,7782.58%$25,4860.52%8.99%1.78%
201210-2.36%$14,5633.72%$22,199-1.48%$116,033-1.86%$25,012-2.36%3.72%-1.48%
2012114.28%$15,186-1.44%$21,8802.14%$118,5150.56%$25,1524.28%-1.44%2.14%
2012123.28%$15,6857.04%$23,4191.50%$120,2980.90%$25,3793.28%7.04%1.50%
20131-1.49%$15,4527.72%$25,228-0.03%$120,2595.18%$26,692-1.49%7.72%-0.03%
201321.08%$15,6183.97%$26,231-1.50%$118,4591.34%$27,0501.08%3.97%-1.50%
201336.16%$16,580-2.98%$25,4481.19%$119,8703.74%$28,0616.16%-2.98%1.19%
201345.11%$17,4273.93%$26,447-0.70%$119,0361.91%$28,5975.11%3.93%-0.70%
201350.83%$17,57211.39%$29,458-1.28%$117,5102.33%$29,2620.83%11.39%-1.28%
20136-9.57%$15,891-3.30%$28,487-0.59%$116,812-1.35%$28,867-9.57%-3.30%-0.59%
201377.78%$17,1276.33%$30,2905.75%$123,5335.07%$30,3317.78%6.33%5.75%
20138-4.79%$16,306-9.33%$27,4641.59%$125,500-2.91%$29,448-4.79%-9.33%1.59%
201396.15%$17,3102.30%$28,0945.22%$132,0453.12%$30,3676.15%2.30%5.22%
2013102.96%$17,8210.44%$28,2172.87%$135,8414.59%$31,7602.96%0.44%2.87%
2013111.59%$18,10511.02%$31,327-0.34%$135,3823.03%$32,7221.59%11.02%-0.34%
201312-1.08%$17,9102.20%$32,0163.10%$139,5732.51%$33,544-1.08%2.20%3.10%
20141-5.77%$16,877-4.72%$30,506-7.47%$129,153-3.47%$32,381-5.77%-4.72%-7.47%
201421.68%$17,1612.64%$31,3114.87%$135,4434.56%$33,8571.68%2.64%4.87%
20143-0.50%$17,0756.85%$33,4543.57%$140,2830.82%$34,136-0.50%6.85%3.57%
201444.46%$17,838-7.21%$31,0423.36%$144,9950.72%$34,3834.46%-7.21%3.36%
201451.94%$18,184-0.73%$30,8143.12%$149,5172.33%$35,1861.94%-0.73%3.12%
20146-0.33%$18,1233.69%$31,9513.67%$155,0052.05%$35,908-0.33%3.69%3.67%
201477.78%$19,5340.78%$32,2012.50%$158,886-1.39%$35,4107.78%0.78%2.50%
201480.37%$19,6063.09%$33,1950.73%$160,0413.98%$36,8200.37%3.09%0.73%
201490.56%$19,7151.33%$33,636-6.16%$150,189-1.41%$36,3000.56%1.33%-6.16%
2014100.22%$19,7601.08%$34,0000.60%$151,0862.42%$37,1790.22%1.08%0.60%
2014114.87%$20,722-0.53%$33,8202.50%$154,8582.68%$38,1774.87%-0.53%2.50%
2014122.44%$21,2264.02%$35,180-5.37%$146,546-0.26%$38,0762.44%4.02%-5.37%
20151-6.01%$19,951-12.55%$30,766-15.92%$123,215-3.02%$36,927-6.01%-12.55%-15.92%
20152-1.45%$19,66112.69%$34,67010.09%$135,6515.74%$39,046-1.45%12.69%10.09%
201533.04%$20,258-1.14%$34,274-2.28%$132,557-1.59%$38,4243.04%-1.14%-2.28%
201548.28%$21,9345.12%$36,0298.74%$144,1370.95%$38,7898.28%5.12%8.74%
20155-5.52%$20,7233.98%$37,464-5.61%$136,0491.27%$39,282-5.52%3.98%-5.61%
201562.82%$21,3083.01%$38,592-2.43%$132,739-1.93%$38,5232.82%3.01%-2.43%
20157-2.21%$20,8381.79%$39,283-4.02%$127,4052.08%$39,324-2.21%1.79%-4.02%
20158-14.98%$17,717-6.46%$36,743-1.51%$125,482-6.05%$36,946-14.98%-6.46%-1.51%
20159-9.77%$15,986-4.88%$34,949-0.95%$124,284-2.48%$36,028-9.77%-4.88%-0.95%
2015107.38%$17,1656.14%$37,0965.08%$130,5968.42%$39,0637.38%6.14%5.08%
201511-4.31%$16,4253.78%$38,499-0.49%$129,9590.29%$39,175-4.31%3.78%-0.49%
201512-0.19%$16,393-0.97%$38,123-4.04%$124,706-1.59%$38,551-0.19%-0.97%-4.04%
20161-15.16%$13,908-9.27%$34,591-2.45%$121,655-4.98%$36,632-15.16%-9.27%-2.45%
20162-2.07%$13,620-5.38%$32,7302.17%$124,291-0.15%$36,579-2.07%-5.38%2.17%
2016316.93%$15,9265.19%$34,42811.56%$138,6626.78%$39,05816.93%5.19%11.56%
20164-0.22%$15,8917.51%$37,0154.21%$144,4970.37%$39,204-0.22%7.51%4.21%
201652.32%$16,2593.28%$38,227-2.02%$141,5741.78%$39,9032.32%3.28%-2.02%
201663.57%$16,839-4.80%$36,394-1.54%$139,3990.25%$40,0023.57%-4.80%-1.54%
20167-1.23%$16,6323.75%$37,7592.51%$142,8953.68%$41,473-1.23%3.75%2.51%
20168-3.41%$16,0645.52%$39,8432.36%$146,2730.13%$41,527-3.41%5.52%2.36%
201693.64%$16,648-1.35%$39,306-0.45%$145,6170.01%$41,5303.64%-1.35%-0.45%
201610-5.27%$15,7724.76%$41,1773.17%$150,238-1.83%$40,769-5.27%4.76%3.17%
20161113.06%$17,83215.75%$47,6634.43%$156,8923.70%$42,27713.06%15.75%4.43%
201612-2.19%$17,4417.63%$51,3014.11%$163,3481.96%$43,107-2.19%7.63%4.11%
2017113.19%$19,742-1.38%$50,5925.78%$172,7941.88%$43,91813.19%-1.38%5.78%
20172-0.81%$19,5817.08%$54,173-0.33%$172,2273.96%$45,659-0.81%7.08%-0.33%
201733.84%$20,334-3.07%$52,511-2.93%$167,1870.10%$45,7043.84%-3.07%-2.93%
20174-0.31%$20,272-0.39%$52,307-5.14%$158,5941.02%$46,170-0.31%-0.39%-5.14%
201757.93%$21,878-5.57%$49,3911.30%$160,6491.39%$46,8137.93%-5.57%1.30%
201762.46%$22,41511.26%$54,9525.62%$169,6750.61%$47,0992.46%11.26%5.62%
201776.03%$23,7680.98%$55,4903.25%$175,1822.04%$48,0616.03%0.98%3.25%
20178-3.56%$22,922-0.99%$54,9404.02%$182,2170.29%$48,202-3.56%-0.99%4.02%
201791.05%$23,1635.08%$57,7334.96%$191,2592.06%$49,1951.05%5.08%4.96%
2017108.00%$25,0175.95%$61,1661.89%$194,8832.32%$50,3358.00%5.95%1.89%
20171110.03%$27,5263.89%$63,5440.16%$195,1913.06%$51,87510.03%3.89%0.16%
2017122.01%$28,0792.32%$65,0152.88%$200,8131.10%$52,4472.01%2.32%2.88%
201817.55%$30,2008.72%$70,6834.65%$210,1545.71%$55,4437.55%8.72%4.65%
201827.91%$32,588-0.15%$70,580-4.67%$200,339-3.69%$53,3947.91%-0.15%-4.67%
20183-1.88%$31,975-4.79%$67,200-1.93%$196,469-2.56%$52,030-1.88%-4.79%-1.93%
201849.80%$35,108-0.59%$66,806-0.30%$195,8690.37%$52,2249.80%-0.59%-0.30%
20185-7.23%$32,571-1.63%$65,7193.99%$203,6832.39%$53,475-7.23%-1.63%3.99%
20186-7.42%$30,154-2.63%$63,993-0.91%$201,8340.61%$53,798-7.42%-2.63%-0.91%
201870.99%$30,45310.91%$70,9763.19%$208,2663.71%$55,7940.99%10.91%3.19%
20188-6.48%$28,480-0.32%$70,7482.23%$212,9113.25%$57,605-6.48%-0.32%2.23%
201895.12%$29,937-1.52%$69,6730.50%$213,9670.55%$57,9245.12%-1.52%0.50%
201810-10.67%$26,743-2.71%$67,782-7.98%$196,882-6.85%$53,957-10.67%-2.71%-7.98%
2018114.61%$27,9771.99%$69,131-0.29%$196,3142.03%$55,0514.61%1.99%-0.29%
201812-2.11%$27,388-12.20%$60,694-10.09%$176,505-9.04%$50,074-2.11%-12.20%-10.09%
201912.35%$28,0326.90%$64,88014.36%$201,8578.00%$54,0812.35%6.90%14.36%
201922.89%$28,8410.83%$65,4191.90%$205,6933.20%$55,8122.89%0.83%1.90%
201931.72%$29,336-3.00%$63,457-5.32%$194,7591.94%$56,8931.72%-3.00%-5.32%
2019411.72%$32,77315.51%$73,2985.91%$206,2754.04%$59,19211.72%15.51%5.91%
20195-12.68%$28,616-8.69%$66,925-4.07%$197,875-6.36%$55,424-12.68%-8.69%-4.07%
201968.92%$31,1695.51%$70,6146.79%$211,3087.03%$59,3228.92%5.51%6.79%
20197-0.74%$30,9384.49%$73,7861.10%$213,6401.43%$60,168-0.74%4.49%1.10%
20198-6.67%$28,874-5.29%$69,881-7.27%$198,103-1.59%$59,211-6.67%-5.29%-7.27%
201993.07%$29,7617.13%$74,8617.51%$212,9821.86%$60,3123.07%7.13%7.51%
2019104.82%$31,1956.99%$80,098-1.05%$210,7502.15%$61,6114.82%6.99%-1.05%
201911-1.89%$30,6055.48%$84,4841.28%$213,4463.62%$63,842-1.89%5.48%1.28%
2019124.77%$32,0645.80%$89,382-2.89%$207,2793.01%$65,7614.77%5.80%-2.89%
20201-5.26%$30,377-4.43%$85,420-0.55%$206,136-0.05%$65,728-5.26%-4.43%-0.55%
20202-4.83%$28,910-12.28%$74,933-6.61%$192,521-8.24%$60,311-4.83%-12.28%-6.61%
20203-25.67%$21,488-22.46%$58,102-17.86%$158,127-12.37%$52,849-25.67%-22.46%-17.86%
202048.10%$23,2297.50%$62,462-0.16%$157,87112.81%$59,6218.10%7.50%-0.16%
20205-0.44%$23,1281.62%$63,4732.47%$161,7644.76%$62,457-0.44%1.62%2.47%
202069.92%$25,423-3.34%$61,3534.23%$168,6041.98%$63,6929.92%-3.34%4.23%
20207-4.90%$24,1763.74%$63,6480.60%$169,6225.63%$67,276-4.90%3.74%0.60%
202087.92%$26,0913.67%$65,98612.60%$190,9977.18%$72,1047.92%3.67%12.60%
20209-3.20%$25,256-3.91%$63,404-7.26%$177,130-3.81%$69,356-3.20%-3.91%-7.26%
2020100.83%$25,4642.76%$65,157-3.15%$171,557-2.67%$67,5040.83%2.76%-3.15%
20201126.06%$32,10020.24%$78,34221.48%$208,40510.94%$74,88626.06%20.24%21.48%
2020121.73%$32,6547.80%$84,4505.01%$218,8393.84%$77,7601.73%7.80%5.01%

Holdings Based Style Analysis for DBS

Holdings Based Style Analysis for DBS
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
DBSDYDBSBanks100.00%2.49%$22,654100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for JPM

Holdings Based Style Analysis for JPM
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
JPMJ P Morgan Chase & CoFinancial Services / Banks - Diversified100.00%2.38%$74,450100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for TD

Holdings Based Style Analysis for TD
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
TDToronto Dominion BankFinancial Services / Banks - Diversified100.00%3.78%$208,839100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricDBSJPMTDVanguard 500 Index Investor
Arithmetic Mean (monthly)0.94%1.17%1.37%0.82%
Arithmetic Mean (annualized)11.85%14.95%17.68%10.23%
Geometric Mean (monthly)0.41%0.74%1.08%0.71%
Geometric Mean (annualized)5.05%9.30%13.72%8.92%
Volatility (monthly)10.38%9.15%7.53%4.46%
Volatility (annualized)35.96%31.70%26.09%15.46%
Downside Deviation (monthly)6.51%6.04%4.82%3.00%
Max. Drawdown-75.67%-64.58%-59.44%-50.97%
US Market Correlation0.620.680.720.99
Beta(*)1.411.411.201.00
Alpha (annualized)-2.54%0.23%4.68%0.00%
R236.69%47.22%50.31%100.00%
Sharpe Ratio0.260.380.550.50
Sortino Ratio0.400.570.850.73
Treynor Ratio (%)6.568.5212.027.78
Calmar Ratio0.130.260.110.71
Active Return-3.87%0.38%4.80%N/A
Tracking Error29.30%23.88%18.64%N/A
Information Ratio-0.130.020.26N/A
Skewness0.83-0.19-0.37-0.59
Excess Kurtosis7.821.382.841.05
Historical Value-at-Risk (5%)-14.41%-14.19%-9.93%-7.53%
Analytical Value-at-Risk (5%)-16.14%-13.88%-11.02%-6.53%
Conditional Value-at-Risk (5%)-22.29%-20.76%-16.30%-9.94%
Upside Capture Ratio (%)122.92141.48133.63100.00
Downside Capture Ratio (%)144.62144.49116.08100.00
Safe Withdrawal Rate3.49%7.12%16.69%7.53%
Perpetual Withdrawal Rate2.82%6.59%10.23%6.27%
Positive Periods160 out of 288 (55.56%)163 out of 288 (56.60%)170 out of 288 (59.03%)187 out of 288 (64.93%)
Gain/Loss Ratio1.051.081.140.86
* Vanguard 500 Index Investor 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 PeriodStartEndDBSJPMTDVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-49.40%-8.18%-6.38%-5.61%
Russian Debt DefaultJul 1998Oct 1998-38.07%-42.98%-43.72%-15.38%
Dotcom CrashMar 2000Oct 2002-60.61%-64.58%-35.34%-44.82%
Subprime CrisisNov 2007Mar 2009-60.67%-50.55%-59.05%-50.97%

Drawdowns for DBS

Drawdowns for DBS (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1997Aug 19981 year 7 monthsDec 19991 year 4 months2 years 11 months-75.67%
2Jan 2000Apr 20033 years 4 monthsDec 20063 years 8 months7 years-68.96%
3Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-60.67%
4May 2018Mar 20201 year 11 months-38.79%
5May 2015Feb 201610 monthsJun 20171 year 4 months2 years 2 months-37.91%
6Aug 2011Dec 20115 monthsDec 20121 year1 year 5 months-30.04%
7Jun 2007Aug 20073 monthsOct 20072 months5 months-16.31%
8Jun 2013Jun 20131 monthOct 20134 months5 months-9.57%
9Jan 2015Feb 20152 monthsApr 20152 months4 months-7.38%
10Dec 2013Jan 20142 monthsMay 20144 months6 months-6.78%
Worst 10 drawdowns included above

Drawdowns for JPM

Drawdowns for JPM (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsJul 20063 years 10 months6 years 4 months-64.58%
2May 2007Feb 20091 year 10 monthsJan 20133 years 11 months5 years 9 months-53.26%
3Aug 1998Sep 19982 monthsJan 19994 months6 months-42.98%
4Jan 2020Mar 20203 months-35.00%
5Aug 2015Feb 20167 monthsAug 20166 months1 year 1 month-16.68%
6Aug 2018Dec 20185 monthsApr 20194 months9 months-14.49%
7Jan 2015Jan 20151 monthApr 20153 months4 months-12.55%
8Jul 1999Sep 19993 monthsOct 19991 month4 months-12.45%
9May 1999May 19991 monthJun 19991 month2 months-12.27%
10Nov 1999Nov 19991 monthMar 20004 months5 months-11.46%
Worst 10 drawdowns included above

Drawdowns for TD

Drawdowns for TD (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2007Feb 20091 year 5 monthsMar 20101 year 1 month2 years 6 months-59.44%
2May 1998Aug 19984 monthsMar 19997 months11 months-43.75%
3Feb 2001Sep 20021 year 8 monthsJun 20039 months2 years 5 months-35.34%
4May 1999Aug 19994 monthsDec 19994 months8 months-26.44%
5Oct 2018Apr 20201 year 7 monthsDec 20208 months2 years 3 months-26.22%
6Sep 2014Jan 20161 year 5 monthsDec 201611 months2 years 4 months-23.99%
7Apr 2011Sep 20116 monthsDec 20121 year 3 months1 year 9 months-18.66%
8Jan 2000Apr 20004 monthsAug 20004 months8 months-13.61%
9May 2010Jun 20102 monthsDec 20106 months8 months-12.83%
10Oct 2000Nov 20002 monthsJan 20012 months4 months-12.08%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (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
DBSDYDBS5.05%35.96%100.46%-50.50%-75.67%0.260.400.62
JPMJ P Morgan Chase & Co9.30%31.70%60.29%-30.71%-64.58%0.380.570.68
TDToronto Dominion Bank13.72%26.09%85.12%-46.77%-59.44%0.550.850.72

Monthly Correlations

Correlations for the portfolio assets
TickerNameDBSDYJPMTDDBSJPMTDVanguard 500 Index Investor
DBSDYDBS1.000.420.491.000.420.490.61
JPMJ P Morgan Chase & Co0.421.000.600.421.000.600.69
TDToronto Dominion Bank0.490.601.000.490.601.000.71

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameDBSJPMTD
DBSDYDBS$22,654
JPMJ P Morgan Chase & Co$74,450
TDToronto Dominion Bank$208,839

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameDBSJPMTD
DBSDYDBS100.00%
JPMJ P Morgan Chase & Co100.00%
TDToronto Dominion Bank100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodDBSJPMTDVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year11.01%237.61%-67.17%10.96%91.01%-44.04%15.37%129.51%-54.33%9.19%53.61%-43.32%
3 years7.96%36.70%-28.38%8.40%31.95%-26.55%13.50%46.75%-17.30%7.35%27.53%-16.14%
5 years7.18%28.87%-12.31%7.65%24.43%-11.17%13.08%38.89%0.79%6.61%22.85%-6.73%
7 years7.88%19.29%-5.64%7.86%24.01%-1.67%13.51%25.53%3.39%6.87%17.12%-3.94%
10 years8.09%18.17%-0.96%7.20%19.02%-4.82%13.46%21.39%4.94%6.50%16.52%-3.51%
15 years8.08%16.17%0.57%7.39%14.63%2.60%13.46%17.97%8.18%6.59%10.39%3.64%