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.
Ticker | Name | Allocation |
---|---|---|
VFINX | Vanguard 500 Index Investor | 165.00% |
VUSTX | Vanguard Long-Term Treasury Inv | 135.00% |
CASHX | Cash | -200.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $10,119,896 | 22.57% | 27.17% | 107.02% | -37.09% | -65.25% | 0.78 | 1.23 | 0.84 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 16.37% | 70.56% | 37.71% | 36.55% | 35.47% | 22.57% | 29.11% | 24.39% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | Vanguard 500 Index Investor (VFINX) | Vanguard Long-Term Treasury Inv (VUSTX) | Cash (CASHX) |
---|---|---|---|---|---|---|
1987 | 4.43% | -8.06% | $9,194 | 4.71% | -2.92% | 5.93% |
1988 | 4.42% | 25.90% | $11,576 | 16.22% | 9.15% | 6.80% |
1989 | 4.65% | 63.67% | $18,945 | 31.36% | 17.93% | 8.61% |
1990 | 6.11% | -17.76% | $15,580 | -3.32% | 5.78% | 7.89% |
1991 | 3.06% | 67.54% | $26,103 | 30.22% | 17.43% | 5.71% |
1992 | 2.90% | 14.31% | $29,839 | 7.42% | 7.41% | 3.57% |
1993 | 2.75% | 34.61% | $40,166 | 9.89% | 16.79% | 3.05% |
1994 | 2.67% | -15.65% | $33,882 | 1.18% | -7.04% | 4.20% |
1995 | 2.54% | 107.02% | $70,144 | 37.45% | 30.09% | 5.71% |
1996 | 3.32% | 24.56% | $87,368 | 22.88% | -1.26% | 5.17% |
1997 | 1.70% | 67.68% | $146,497 | 33.19% | 13.90% | 5.22% |
1998 | 1.61% | 60.53% | $235,177 | 28.62% | 13.05% | 4.97% |
1999 | 2.68% | 10.50% | $259,861 | 21.07% | -8.66% | 4.77% |
2000 | 3.39% | -2.67% | $252,930 | -9.06% | 19.72% | 5.99% |
2001 | 1.55% | -20.39% | $201,360 | -12.02% | 4.31% | 3.70% |
2002 | 2.38% | -18.75% | $163,603 | -22.15% | 16.67% | 1.65% |
2003 | 1.88% | 49.80% | $245,083 | 28.50% | 2.68% | 1.04% |
2004 | 3.26% | 25.88% | $308,502 | 10.74% | 7.12% | 1.32% |
2005 | 3.42% | 10.55% | $341,063 | 4.77% | 6.61% | 3.14% |
2006 | 2.54% | 17.66% | $401,302 | 15.64% | 1.74% | 4.82% |
2007 | 4.08% | 12.81% | $452,689 | 5.39% | 9.24% | 4.56% |
2008 | 0.09% | -37.09% | $284,780 | -37.02% | 22.52% | 1.53% |
2009 | 2.72% | 19.61% | $340,614 | 26.49% | -12.05% | 0.16% |
2010 | 1.50% | 42.76% | $486,264 | 14.91% | 8.93% | 0.14% |
2011 | 2.96% | 51.52% | $736,789 | 1.97% | 29.28% | 0.07% |
2012 | 1.74% | 34.25% | $989,157 | 15.82% | 3.47% | 0.08% |
2013 | 1.50% | 31.75% | $1,303,184 | 32.18% | -13.03% | 0.05% |
2014 | 0.76% | 63.42% | $2,129,687 | 13.51% | 25.28% | 0.03% |
2015 | 0.73% | 0.08% | $2,131,421 | 1.25% | -1.54% | 0.05% |
2016 | 2.07% | 21.23% | $2,584,007 | 11.82% | 1.20% | 0.30% |
2017 | 2.11% | 49.95% | $3,874,698 | 21.67% | 8.58% | 0.88% |
2018 | 1.91% | -13.01% | $3,370,782 | -4.52% | -1.90% | 1.90% |
2019 | 2.29% | 76.02% | $5,933,374 | 31.33% | 14.13% | 2.13% |
2020 | 1.36% | 70.56% | $10,119,896 | 18.25% | 18.29% | 0.44% |
Year | Month | Portfolio 1 Return | Vanguard 500 Index Investor (VFINX) | Vanguard Long-Term Treasury Inv (VUSTX) | Cash (CASHX) |
---|---|---|---|---|---|
1987 | 1 | 22.69% | 13.27% | 1.30% | 0.48% |
1987 | 2 | 6.45% | 3.97% | 1.07% | 0.47% |
1987 | 3 | 1.92% | 2.89% | -1.58% | 0.46% |
1987 | 4 | -9.11% | -1.03% | -4.80% | 0.47% |
1987 | 5 | -1.28% | 1.04% | -1.50% | 0.47% |
1987 | 6 | 10.13% | 5.02% | 1.44% | 0.48% |
1987 | 7 | 5.64% | 4.91% | -1.11% | 0.48% |
1987 | 8 | 3.34% | 3.84% | -1.56% | 0.51% |
1987 | 9 | -9.15% | -2.29% | -3.72% | 0.53% |
1987 | 10 | -29.08% | -21.73% | 5.84% | 0.56% |
1987 | 11 | -15.14% | -8.19% | 0.47% | 0.44% |
1987 | 12 | 17.11% | 7.55% | 1.60% | 0.44% |
1988 | 1 | 12.21% | 4.17% | 4.65% | 0.48% |
1988 | 2 | 7.62% | 4.59% | 1.16% | 0.47% |
1988 | 3 | -7.92% | -3.04% | -2.24% | 0.47% |
1988 | 4 | -0.83% | 1.01% | -1.14% | 0.48% |
1988 | 5 | -1.79% | 0.81% | -1.59% | 0.50% |
1988 | 6 | 12.18% | 4.56% | 4.09% | 0.54% |
1988 | 7 | -4.28% | -0.37% | -1.90% | 0.55% |
1988 | 8 | -6.49% | -3.40% | 0.40% | 0.59% |
1988 | 9 | 11.80% | 4.26% | 3.86% | 0.62% |
1988 | 10 | 6.59% | 2.73% | 2.45% | 0.61% |
1988 | 11 | -5.82% | -1.40% | -1.88% | 0.62% |
1988 | 12 | 3.16% | 1.66% | 1.29% | 0.66% |
1989 | 1 | 13.47% | 7.32% | 2.05% | 0.68% |
1989 | 2 | -7.15% | -2.47% | -1.71% | 0.71% |
1989 | 3 | 3.36% | 2.26% | 0.86% | 0.74% |
1989 | 4 | 10.54% | 5.18% | 2.59% | 0.75% |
1989 | 5 | 8.89% | 4.04% | 3.11% | 0.71% |
1989 | 6 | 5.06% | -0.59% | 6.07% | 0.73% |
1989 | 7 | 16.30% | 9.01% | 2.06% | 0.67% |
1989 | 8 | -1.69% | 1.86% | -2.90% | 0.66% |
1989 | 9 | -1.64% | -0.40% | 0.15% | 0.67% |
1989 | 10 | 0.04% | -2.34% | 3.88% | 0.67% |
1989 | 11 | 3.11% | 2.04% | 0.83% | 0.66% |
1989 | 12 | 2.44% | 2.38% | -0.05% | 0.64% |
1990 | 1 | -17.31% | -6.72% | -3.67% | 0.64% |
1990 | 2 | 0.28% | 1.27% | -0.32% | 0.65% |
1990 | 3 | 2.88% | 2.61% | -0.26% | 0.66% |
1990 | 4 | -9.28% | -2.50% | -2.84% | 0.66% |
1990 | 5 | 22.13% | 9.69% | 4.49% | 0.66% |
1990 | 6 | 0.58% | -0.66% | 2.28% | 0.65% |
1990 | 7 | -0.95% | -0.35% | 0.70% | 0.65% |
1990 | 8 | -22.01% | -9.03% | -4.25% | 0.63% |
1990 | 9 | -9.08% | -4.89% | 1.15% | 0.62% |
1990 | 10 | 1.03% | -0.41% | 2.15% | 0.60% |
1990 | 11 | 15.50% | 6.44% | 4.60% | 0.60% |
1990 | 12 | 5.54% | 2.72% | 2.05% | 0.59% |
1991 | 1 | 7.51% | 4.32% | 1.09% | 0.54% |
1991 | 2 | 11.07% | 7.15% | 0.50% | 0.52% |
1991 | 3 | 3.15% | 2.41% | 0.27% | 0.51% |
1991 | 4 | 1.09% | 0.20% | 1.28% | 0.48% |
1991 | 5 | 5.85% | 4.27% | -0.14% | 0.46% |
1991 | 6 | -9.16% | -4.56% | -0.78% | 0.47% |
1991 | 7 | 8.77% | 4.63% | 1.53% | 0.47% |
1991 | 8 | 7.22% | 2.33% | 3.49% | 0.47% |
1991 | 9 | 0.28% | -1.67% | 2.95% | 0.45% |
1991 | 10 | 1.23% | 1.33% | -0.08% | 0.43% |
1991 | 11 | -7.38% | -4.01% | 0.02% | 0.40% |
1991 | 12 | 27.61% | 11.41% | 6.26% | 0.37% |
1992 | 1 | -8.09% | -1.88% | -3.21% | 0.33% |
1992 | 2 | 2.39% | 1.24% | 0.64% | 0.32% |
1992 | 3 | -5.57% | -1.93% | -1.10% | 0.33% |
1992 | 4 | 4.03% | 2.91% | -0.07% | 0.34% |
1992 | 5 | 3.69% | 0.48% | 2.70% | 0.31% |
1992 | 6 | -1.50% | -1.49% | 1.12% | 0.31% |
1992 | 7 | 11.50% | 4.04% | 4.02% | 0.30% |
1992 | 8 | -2.77% | -2.07% | 0.71% | 0.27% |
1992 | 9 | 3.08% | 1.17% | 1.36% | 0.26% |
1992 | 10 | -2.46% | 0.33% | -1.89% | 0.23% |
1992 | 11 | 5.93% | 3.40% | 0.50% | 0.25% |
1992 | 12 | 4.85% | 1.21% | 2.63% | 0.27% |
1993 | 1 | 4.66% | 0.81% | 2.85% | 0.26% |
1993 | 2 | 5.93% | 1.36% | 3.20% | 0.24% |
1993 | 3 | 3.00% | 2.11% | 0.19% | 0.25% |
1993 | 4 | -3.46% | -2.42% | 0.76% | 0.24% |
1993 | 5 | 4.45% | 2.65% | 0.38% | 0.24% |
1993 | 6 | 5.55% | 0.27% | 4.17% | 0.26% |
1993 | 7 | 0.67% | -0.42% | 1.39% | 0.25% |
1993 | 8 | 11.08% | 3.79% | 3.99% | 0.25% |
1993 | 9 | -1.24% | -0.79% | 0.33% | 0.25% |
1993 | 10 | 3.77% | 2.08% | 0.62% | 0.24% |
1993 | 11 | -5.34% | -1.00% | -2.48% | 0.25% |
1993 | 12 | 2.10% | 1.22% | 0.42% | 0.26% |
1994 | 1 | 8.08% | 3.38% | 2.23% | 0.25% |
1994 | 2 | -9.82% | -2.71% | -3.99% | 0.25% |
1994 | 3 | -13.21% | -4.39% | -3.82% | 0.28% |
1994 | 4 | -0.19% | 1.29% | -1.29% | 0.29% |
1994 | 5 | 1.44% | 1.63% | -0.47% | 0.32% |
1994 | 6 | -5.87% | -2.47% | -0.81% | 0.35% |
1994 | 7 | 8.68% | 3.28% | 2.94% | 0.35% |
1994 | 8 | 4.86% | 4.08% | -0.67% | 0.36% |
1994 | 9 | -8.08% | -2.45% | -3.00% | 0.38% |
1994 | 10 | 2.44% | 2.25% | -0.36% | 0.39% |
1994 | 11 | -6.01% | -3.65% | 0.62% | 0.42% |
1994 | 12 | 3.74% | 1.46% | 1.62% | 0.47% |
1995 | 1 | 6.87% | 2.58% | 2.62% | 0.47% |
1995 | 2 | 8.74% | 3.88% | 2.73% | 0.49% |
1995 | 3 | 4.49% | 2.95% | 0.72% | 0.48% |
1995 | 4 | 6.13% | 2.94% | 1.65% | 0.48% |
1995 | 5 | 15.10% | 3.95% | 7.52% | 0.48% |
1995 | 6 | 3.90% | 2.31% | 1.13% | 0.47% |
1995 | 7 | 2.65% | 3.30% | -1.40% | 0.46% |
1995 | 8 | 2.18% | 0.25% | 2.05% | 0.46% |
1995 | 9 | 8.34% | 4.23% | 1.81% | 0.44% |
1995 | 10 | 2.52% | -0.36% | 2.97% | 0.44% |
1995 | 11 | 9.25% | 4.38% | 2.31% | 0.45% |
1995 | 12 | 5.55% | 1.93% | 2.70% | 0.45% |
1996 | 1 | 4.68% | 3.39% | -0.05% | 0.42% |
1996 | 2 | -5.62% | 0.92% | -4.93% | 0.41% |
1996 | 3 | -1.69% | 0.98% | -1.98% | 0.41% |
1996 | 4 | -0.84% | 1.46% | -1.78% | 0.42% |
1996 | 5 | 2.82% | 2.54% | -0.46% | 0.42% |
1996 | 6 | 2.56% | 0.38% | 2.14% | 0.42% |
1996 | 7 | -8.21% | -4.42% | -0.05% | 0.42% |
1996 | 8 | 0.75% | 2.10% | -1.29% | 0.44% |
1996 | 9 | 12.76% | 5.61% | 2.79% | 0.43% |
1996 | 10 | 8.96% | 2.76% | 3.88% | 0.41% |
1996 | 11 | 15.12% | 7.56% | 3.24% | 0.42% |
1996 | 12 | -6.24% | -1.96% | -2.38% | 0.42% |
1997 | 1 | 8.52% | 6.22% | -0.65% | 0.43% |
1997 | 2 | 0.36% | 0.79% | -0.11% | 0.42% |
1997 | 3 | -10.26% | -4.14% | -2.29% | 0.43% |
1997 | 4 | 12.12% | 5.96% | 2.35% | 0.44% |
1997 | 5 | 9.90% | 6.09% | 0.98% | 0.43% |
1997 | 6 | 8.01% | 4.45% | 1.78% | 0.40% |
1997 | 7 | 19.50% | 7.97% | 5.34% | 0.43% |
1997 | 8 | -12.11% | -5.61% | -2.57% | 0.43% |
1997 | 9 | 11.35% | 5.47% | 2.63% | 0.43% |
1997 | 10 | -2.32% | -3.35% | 2.99% | 0.41% |
1997 | 11 | 8.42% | 4.60% | 1.27% | 0.43% |
1997 | 12 | 4.09% | 1.72% | 1.66% | 0.43% |
1998 | 1 | 3.54% | 1.11% | 1.91% | 0.44% |
1998 | 2 | 9.73% | 7.19% | -0.75% | 0.43% |
1998 | 3 | 7.39% | 5.10% | 0.14% | 0.44% |
1998 | 4 | 1.37% | 1.01% | 0.40% | 0.42% |
1998 | 5 | -1.22% | -1.74% | 1.83% | 0.41% |
1998 | 6 | 9.02% | 4.07% | 2.35% | 0.41% |
1998 | 7 | -3.27% | -1.05% | -0.51% | 0.42% |
1998 | 8 | -18.54% | -14.47% | 4.83% | 0.42% |
1998 | 9 | 16.11% | 6.41% | 3.29% | 0.40% |
1998 | 10 | 10.47% | 8.16% | -1.69% | 0.36% |
1998 | 11 | 10.20% | 6.07% | 0.88% | 0.36% |
1998 | 12 | 8.20% | 5.81% | -0.16% | 0.37% |
1999 | 1 | 7.53% | 4.20% | 0.98% | 0.37% |
1999 | 2 | -11.68% | -3.12% | -4.76% | 0.37% |
1999 | 3 | 5.70% | 4.00% | -0.34% | 0.38% |
1999 | 4 | 5.88% | 3.85% | 0.19% | 0.37% |
1999 | 5 | -6.70% | -2.39% | -1.68% | 0.37% |
1999 | 6 | 7.18% | 5.56% | -1.05% | 0.38% |
1999 | 7 | -6.73% | -3.13% | -0.58% | 0.39% |
1999 | 8 | -2.38% | -0.50% | -0.49% | 0.39% |
1999 | 9 | -4.33% | -2.74% | 0.91% | 0.41% |
1999 | 10 | 9.81% | 6.33% | 0.12% | 0.40% |
1999 | 11 | 1.74% | 2.02% | -0.59% | 0.42% |
1999 | 12 | 6.84% | 5.98% | -1.60% | 0.43% |
2000 | 1 | -7.48% | -5.03% | 1.25% | 0.43% |
2000 | 2 | 0.13% | -1.91% | 2.96% | 0.47% |
2000 | 3 | 19.79% | 9.75% | 3.14% | 0.47% |
2000 | 4 | -6.80% | -3.00% | -0.66% | 0.48% |
2000 | 5 | -5.17% | -2.04% | -0.46% | 0.48% |
2000 | 6 | 6.80% | 2.49% | 2.30% | 0.46% |
2000 | 7 | -1.43% | -1.50% | 1.49% | 0.48% |
2000 | 8 | 12.02% | 6.19% | 2.08% | 0.51% |
2000 | 9 | -10.22% | -5.29% | -0.85% | 0.52% |
2000 | 10 | 0.39% | -0.43% | 1.57% | 0.51% |
2000 | 11 | -9.83% | -7.89% | 2.99% | 0.52% |
2000 | 12 | 3.53% | 0.51% | 2.45% | 0.51% |
2001 | 1 | 5.27% | 3.55% | 0.28% | 0.48% |
2001 | 2 | -13.25% | -9.14% | 1.80% | 0.41% |
2001 | 3 | -12.52% | -6.36% | -0.60% | 0.40% |
2001 | 4 | 8.66% | 7.77% | -2.56% | 0.35% |
2001 | 5 | 0.71% | 0.65% | 0.21% | 0.32% |
2001 | 6 | -3.61% | -2.45% | 0.76% | 0.30% |
2001 | 7 | 2.63% | -1.00% | 3.61% | 0.30% |
2001 | 8 | -7.78% | -6.27% | 2.02% | 0.29% |
2001 | 9 | -12.30% | -8.09% | 0.88% | 0.28% |
2001 | 10 | 9.65% | 1.90% | 5.12% | 0.20% |
2001 | 11 | 4.98% | 7.65% | -4.98% | 0.17% |
2001 | 12 | -1.11% | 0.87% | -1.91% | 0.15% |
2002 | 1 | -1.10% | -1.47% | 1.20% | 0.14% |
2002 | 2 | -1.76% | -1.94% | 1.24% | 0.14% |
2002 | 3 | 0.35% | 3.74% | -3.86% | 0.15% |
2002 | 4 | -5.28% | -6.07% | 3.73% | 0.15% |
2002 | 5 | -0.96% | -0.75% | 0.39% | 0.15% |
2002 | 6 | -9.35% | -7.13% | 1.76% | 0.14% |
2002 | 7 | -9.06% | -7.72% | 2.93% | 0.14% |
2002 | 8 | 7.32% | 0.65% | 4.28% | 0.14% |
2002 | 9 | -11.38% | -10.87% | 4.02% | 0.14% |
2002 | 10 | 10.40% | 8.78% | -2.84% | 0.13% |
2002 | 11 | 8.17% | 5.88% | -0.98% | 0.12% |
2002 | 12 | -5.13% | -5.89% | 4.05% | 0.10% |
2003 | 1 | -5.13% | -2.62% | -0.45% | 0.10% |
2003 | 2 | 1.51% | -1.52% | 3.03% | 0.10% |
2003 | 3 | -0.26% | 0.96% | -1.13% | 0.10% |
2003 | 4 | 14.66% | 8.25% | 0.91% | 0.09% |
2003 | 5 | 14.77% | 5.26% | 5.67% | 0.09% |
2003 | 6 | 0.04% | 1.26% | -1.48% | 0.09% |
2003 | 7 | -8.84% | 1.74% | -8.57% | 0.07% |
2003 | 8 | 5.31% | 1.93% | 1.43% | 0.08% |
2003 | 9 | 4.53% | -1.07% | 5.07% | 0.08% |
2003 | 10 | 5.67% | 5.64% | -2.58% | 0.08% |
2003 | 11 | 1.67% | 0.86% | 0.31% | 0.08% |
2003 | 12 | 9.90% | 5.22% | 1.23% | 0.08% |
2004 | 1 | 5.20% | 1.82% | 1.74% | 0.08% |
2004 | 2 | 4.61% | 1.38% | 1.96% | 0.08% |
2004 | 3 | -0.64% | -1.51% | 1.45% | 0.08% |
2004 | 4 | -10.21% | -1.58% | -5.52% | 0.08% |
2004 | 5 | 1.49% | 1.36% | -0.56% | 0.08% |
2004 | 6 | 4.50% | 1.93% | 0.87% | 0.09% |
2004 | 7 | -3.64% | -3.31% | 1.52% | 0.11% |
2004 | 8 | 5.20% | 0.38% | 3.39% | 0.12% |
2004 | 9 | 2.73% | 1.07% | 0.94% | 0.13% |
2004 | 10 | 4.19% | 1.51% | 1.46% | 0.14% |
2004 | 11 | 3.24% | 4.05% | -2.25% | 0.16% |
2004 | 12 | 7.91% | 3.39% | 2.22% | 0.18% |
2005 | 1 | -0.91% | -2.45% | 2.59% | 0.18% |
2005 | 2 | 1.25% | 2.09% | -1.24% | 0.21% |
2005 | 3 | -4.36% | -1.76% | -0.76% | 0.23% |
2005 | 4 | 0.74% | -1.91% | 3.22% | 0.23% |
2005 | 5 | 8.13% | 3.17% | 2.55% | 0.24% |
2005 | 6 | 1.89% | 0.13% | 1.64% | 0.25% |
2005 | 7 | 2.12% | 3.71% | -2.58% | 0.26% |
2005 | 8 | 1.62% | -0.91% | 2.87% | 0.28% |
2005 | 9 | -2.87% | 0.79% | -2.78% | 0.29% |
2005 | 10 | -5.70% | -1.68% | -1.74% | 0.29% |
2005 | 11 | 6.58% | 3.76% | 0.57% | 0.33% |
2005 | 12 | 2.47% | 0.02% | 2.33% | 0.32% |
2006 | 1 | 2.48% | 2.65% | -0.90% | 0.33% |
2006 | 2 | 0.77% | 0.26% | 0.81% | 0.37% |
2006 | 3 | -3.13% | 1.23% | -3.39% | 0.38% |
2006 | 4 | -1.20% | 1.33% | -1.96% | 0.38% |
2006 | 5 | -5.72% | -2.90% | -0.03% | 0.39% |
2006 | 6 | 0.36% | 0.13% | 0.71% | 0.40% |
2006 | 7 | 2.67% | 0.61% | 1.84% | 0.41% |
2006 | 8 | 6.65% | 2.36% | 2.74% | 0.42% |
2006 | 9 | 5.23% | 2.56% | 1.58% | 0.41% |
2006 | 10 | 5.60% | 3.25% | 0.77% | 0.40% |
2006 | 11 | 4.70% | 1.89% | 1.91% | 0.42% |
2006 | 12 | -1.24% | 1.39% | -2.14% | 0.41% |
2007 | 1 | 0.50% | 1.49% | -0.85% | 0.41% |
2007 | 2 | -0.22% | -1.97% | 2.93% | 0.42% |
2007 | 3 | -0.57% | 1.11% | -1.13% | 0.42% |
2007 | 4 | 7.62% | 4.42% | 0.86% | 0.41% |
2007 | 5 | 2.37% | 3.48% | -1.93% | 0.40% |
2007 | 6 | -4.47% | -1.68% | -0.88% | 0.39% |
2007 | 7 | -2.65% | -3.08% | 2.39% | 0.39% |
2007 | 8 | 4.42% | 1.50% | 1.97% | 0.40% |
2007 | 9 | 5.56% | 3.72% | 0.21% | 0.33% |
2007 | 10 | 3.87% | 1.58% | 1.40% | 0.31% |
2007 | 11 | -1.32% | -4.19% | 4.59% | 0.32% |
2007 | 12 | -2.26% | -0.70% | -0.48% | 0.26% |
2008 | 1 | -6.91% | -6.02% | 2.64% | 0.28% |
2008 | 2 | -5.23% | -3.25% | 0.35% | 0.16% |
2008 | 3 | 0.52% | -0.44% | 1.02% | 0.15% |
2008 | 4 | 5.30% | 4.85% | -1.84% | 0.11% |
2008 | 5 | -0.78% | 1.29% | -2.13% | 0.12% |
2008 | 6 | -12.20% | -8.44% | 1.80% | 0.15% |
2008 | 7 | -1.29% | -0.83% | 0.30% | 0.16% |
2008 | 8 | 4.59% | 1.45% | 1.80% | 0.14% |
2008 | 9 | -14.19% | -8.91% | 0.28% | 0.14% |
2008 | 10 | -32.76% | -16.79% | -3.63% | 0.08% |
2008 | 11 | 8.58% | -7.17% | 12.07% | 0.04% |
2008 | 12 | 19.55% | 1.07% | 8.87% | 0.00% |
2009 | 1 | -25.33% | -8.41% | -8.47% | 0.01% |
2009 | 2 | -23.29% | -10.66% | -1.01% | 0.02% |
2009 | 3 | 31.81% | 8.76% | 5.27% | 0.02% |
2009 | 4 | 9.00% | 9.56% | -4.99% | 0.02% |
2009 | 5 | 6.15% | 5.62% | -2.68% | 0.01% |
2009 | 6 | 1.10% | 0.22% | 0.70% | 0.01% |
2009 | 7 | 13.55% | 7.58% | 0.80% | 0.02% |
2009 | 8 | 7.61% | 3.60% | 1.68% | 0.02% |
2009 | 9 | 7.82% | 3.72% | 1.98% | 0.01% |
2009 | 10 | -5.07% | -1.87% | -1.45% | 0.01% |
2009 | 11 | 12.86% | 5.98% | 1.91% | 0.00% |
2009 | 12 | -4.06% | 1.95% | -5.66% | 0.01% |
2010 | 1 | -2.36% | -3.60% | 2.66% | 0.01% |
2010 | 2 | 4.73% | 3.09% | -0.21% | 0.01% |
2010 | 3 | 7.58% | 6.01% | -1.51% | 0.01% |
2010 | 4 | 6.30% | 1.58% | 2.76% | 0.01% |
2010 | 5 | -7.12% | -8.01% | 4.23% | 0.01% |
2010 | 6 | -1.38% | -5.24% | 4.67% | 0.01% |
2010 | 7 | 11.28% | 7.00% | -0.17% | 0.02% |
2010 | 8 | 1.36% | -4.53% | 7.08% | 0.01% |
2010 | 9 | 10.97% | 8.92% | -1.82% | 0.01% |
2010 | 10 | 1.78% | 3.79% | -3.29% | 0.01% |
2010 | 11 | -2.07% | 0.00% | -1.60% | 0.01% |
2010 | 12 | 6.82% | 6.67% | -3.58% | 0.01% |
2011 | 1 | 0.66% | 2.36% | -2.38% | 0.01% |
2011 | 2 | 7.33% | 3.42% | 1.24% | 0.01% |
2011 | 3 | 0.04% | 0.03% | 0.02% | 0.01% |
2011 | 4 | 7.60% | 2.95% | 2.04% | 0.01% |
2011 | 5 | 2.40% | -1.15% | 3.29% | 0.00% |
2011 | 6 | -5.14% | -1.67% | -2.00% | 0.01% |
2011 | 7 | 2.26% | -2.05% | 4.18% | 0.00% |
2011 | 8 | 3.32% | -5.45% | 8.68% | 0.01% |
2011 | 9 | 4.51% | -7.04% | 10.16% | 0.00% |
2011 | 10 | 13.50% | 10.91% | -3.34% | 0.00% |
2011 | 11 | 1.71% | -0.23% | 1.82% | 0.00% |
2011 | 12 | 5.21% | 1.02% | 3.13% | 0.00% |
2012 | 1 | 7.47% | 4.46% | 0.08% | 0.00% |
2012 | 2 | 4.24% | 4.31% | -2.11% | 0.01% |
2012 | 3 | 0.81% | 3.28% | -3.77% | 0.01% |
2012 | 4 | 4.83% | -0.64% | 4.37% | 0.01% |
2012 | 5 | 1.04% | -6.02% | 7.79% | 0.01% |
2012 | 6 | 3.89% | 4.11% | -1.44% | 0.01% |
2012 | 7 | 6.73% | 1.37% | 3.32% | 0.01% |
2012 | 8 | 2.10% | 2.24% | -1.06% | 0.01% |
2012 | 9 | 1.37% | 2.58% | -2.10% | 0.01% |
2012 | 10 | -3.67% | -1.86% | -0.43% | 0.01% |
2012 | 11 | 2.81% | 0.56% | 1.35% | 0.01% |
2012 | 12 | -1.26% | 0.90% | -1.99% | 0.01% |
2013 | 1 | 4.11% | 5.18% | -3.27% | 0.00% |
2013 | 2 | 3.80% | 1.34% | 1.26% | 0.01% |
2013 | 3 | 6.11% | 3.74% | 0.03% | 0.01% |
2013 | 4 | 8.36% | 1.91% | 3.87% | 0.01% |
2013 | 5 | -4.46% | 2.33% | -6.23% | 0.00% |
2013 | 6 | -6.39% | -1.35% | -3.26% | 0.00% |
2013 | 7 | 5.76% | 5.07% | -1.93% | 0.00% |
2013 | 8 | -6.38% | -2.91% | -1.28% | 0.00% |
2013 | 9 | 6.46% | 3.12% | 0.88% | 0.00% |
2013 | 10 | 9.35% | 4.59% | 1.32% | 0.00% |
2013 | 11 | 1.66% | 3.03% | -2.49% | 0.00% |
2013 | 12 | 1.16% | 2.51% | -2.37% | 0.01% |
2014 | 1 | 2.71% | -3.47% | 6.26% | 0.01% |
2014 | 2 | 7.90% | 4.56% | 0.60% | 0.00% |
2014 | 3 | 2.05% | 0.82% | 0.63% | 0.00% |
2014 | 4 | 3.64% | 0.72% | 1.82% | 0.00% |
2014 | 5 | 7.36% | 2.33% | 2.73% | 0.00% |
2014 | 6 | 2.93% | 2.05% | -0.16% | 0.00% |
2014 | 7 | -1.50% | -1.39% | 0.59% | 0.00% |
2014 | 8 | 12.40% | 3.98% | 4.23% | 0.00% |
2014 | 9 | -4.70% | -1.41% | -1.99% | 0.00% |
2014 | 10 | 7.52% | 2.42% | 2.61% | 0.00% |
2014 | 11 | 7.90% | 2.68% | 2.86% | 0.00% |
2014 | 12 | 3.06% | -0.26% | 2.82% | 0.00% |
2015 | 1 | 7.12% | -3.02% | 8.97% | 0.00% |
2015 | 2 | 0.80% | 5.74% | -5.66% | 0.00% |
2015 | 3 | -1.05% | -1.59% | 1.13% | 0.00% |
2015 | 4 | -2.58% | 0.95% | -3.07% | 0.00% |
2015 | 5 | -0.73% | 1.27% | -2.16% | 0.00% |
2015 | 6 | -8.31% | -1.93% | -3.73% | 0.00% |
2015 | 7 | 9.11% | 2.08% | 4.21% | 0.00% |
2015 | 8 | -10.27% | -6.05% | -0.71% | 0.01% |
2015 | 9 | -1.30% | -2.48% | 1.91% | 0.01% |
2015 | 10 | 13.25% | 8.42% | -0.48% | 0.00% |
2015 | 11 | -0.52% | 0.29% | -0.81% | 0.01% |
2015 | 12 | -2.97% | -1.59% | -0.34% | 0.02% |
2016 | 1 | -1.17% | -4.98% | 5.24% | 0.01% |
2016 | 2 | 3.83% | -0.15% | 2.86% | 0.03% |
2016 | 3 | 10.36% | 6.78% | 0.05% | 0.03% |
2016 | 4 | -0.27% | 0.37% | -0.63% | 0.02% |
2016 | 5 | 3.85% | 1.78% | 0.69% | 0.02% |
2016 | 6 | 8.92% | 0.25% | 6.57% | 0.03% |
2016 | 7 | 8.73% | 3.68% | 2.01% | 0.02% |
2016 | 8 | -1.10% | 0.13% | -1.00% | 0.02% |
2016 | 9 | -1.71% | 0.01% | -1.32% | 0.03% |
2016 | 10 | -8.78% | -1.83% | -4.23% | 0.02% |
2016 | 11 | -4.63% | 3.70% | -7.86% | 0.03% |
2016 | 12 | 3.21% | 1.96% | -0.35% | 0.04% |
2017 | 1 | 3.90% | 1.88% | 0.65% | 0.04% |
2017 | 2 | 8.38% | 3.96% | 1.57% | 0.04% |
2017 | 3 | -0.65% | 0.10% | -0.59% | 0.04% |
2017 | 4 | 3.69% | 1.02% | 1.58% | 0.06% |
2017 | 5 | 4.40% | 1.39% | 1.73% | 0.07% |
2017 | 6 | 1.62% | 0.61% | 0.63% | 0.08% |
2017 | 7 | 2.40% | 2.04% | -0.59% | 0.08% |
2017 | 8 | 4.60% | 0.29% | 3.27% | 0.09% |
2017 | 9 | 0.16% | 2.06% | -2.27% | 0.08% |
2017 | 10 | 3.62% | 2.32% | -0.02% | 0.09% |
2017 | 11 | 5.62% | 3.06% | 0.63% | 0.09% |
2017 | 12 | 3.77% | 1.10% | 1.78% | 0.10% |
2018 | 1 | 4.60% | 5.71% | -3.40% | 0.11% |
2018 | 2 | -9.98% | -3.69% | -2.89% | 0.12% |
2018 | 3 | -1.14% | -2.56% | 2.75% | 0.14% |
2018 | 4 | -2.42% | 0.37% | -2.04% | 0.14% |
2018 | 5 | 6.17% | 2.39% | 1.79% | 0.15% |
2018 | 6 | 1.54% | 0.61% | 0.66% | 0.16% |
2018 | 7 | 4.07% | 3.71% | -1.28% | 0.16% |
2018 | 8 | 6.53% | 3.25% | 1.18% | 0.17% |
2018 | 9 | -2.76% | 0.55% | -2.74% | 0.17% |
2018 | 10 | -15.46% | -6.85% | -2.82% | 0.18% |
2018 | 11 | 5.99% | 2.03% | 1.78% | 0.19% |
2018 | 12 | -8.03% | -9.04% | 5.50% | 0.19% |
2019 | 1 | 13.47% | 8.00% | 0.49% | 0.20% |
2019 | 2 | 3.11% | 3.20% | -1.31% | 0.20% |
2019 | 3 | 8.94% | 1.94% | 5.47% | 0.20% |
2019 | 4 | 3.74% | 4.04% | -1.88% | 0.20% |
2019 | 5 | -2.42% | -6.36% | 6.65% | 0.20% |
2019 | 6 | 12.16% | 7.03% | 1.01% | 0.19% |
2019 | 7 | 2.30% | 1.43% | 0.22% | 0.17% |
2019 | 8 | 11.17% | -1.59% | 10.68% | 0.17% |
2019 | 9 | -1.04% | 1.86% | -2.62% | 0.16% |
2019 | 10 | 1.76% | 2.15% | -1.10% | 0.15% |
2019 | 11 | 5.23% | 3.62% | -0.39% | 0.13% |
2019 | 12 | 0.94% | 3.01% | -3.00% | 0.13% |
2020 | 1 | 9.51% | -0.05% | 7.29% | 0.13% |
2020 | 2 | -3.94% | -8.24% | 6.58% | 0.13% |
2020 | 3 | -9.66% | -12.37% | 5.67% | 0.10% |
2020 | 4 | 23.57% | 12.81% | 1.81% | 0.01% |
2020 | 5 | 5.29% | 4.76% | -1.67% | 0.01% |
2020 | 6 | 3.36% | 1.98% | 0.40% | 0.01% |
2020 | 7 | 14.89% | 5.63% | 4.17% | 0.01% |
2020 | 8 | 5.11% | 7.18% | -4.71% | 0.01% |
2020 | 9 | -5.04% | -3.81% | 0.78% | 0.01% |
2020 | 10 | -8.74% | -2.67% | -3.19% | 0.01% |
2020 | 11 | 21.42% | 10.94% | 1.53% | 0.01% |
2020 | 12 | 5.02% | 3.84% | -0.95% | 0.01% |
Metric | Portfolio 1 |
---|---|
Arithmetic Mean (monthly) | 2.02% |
Arithmetic Mean (annualized) | 27.15% |
Geometric Mean (monthly) | 1.71% |
Geometric Mean (annualized) | 22.57% |
Volatility (monthly) | 7.84% |
Volatility (annualized) | 27.17% |
Downside Deviation (monthly) | 4.86% |
Max. Drawdown | -65.25% |
US Market Correlation | 0.84 |
Beta(*) | 1.48 |
Alpha (annualized) | 7.49% |
R2 | 70.12% |
Sharpe Ratio | 0.78 |
Sortino Ratio | 1.23 |
Treynor Ratio (%) | 14.38 |
Calmar Ratio | 1.90 |
Active Return | 11.93% |
Tracking Error | 16.56% |
Information Ratio | 0.72 |
Skewness | -0.38 |
Excess Kurtosis | 2.28 |
Historical Value-at-Risk (5%) | -10.22% |
Analytical Value-at-Risk (5%) | -10.76% |
Conditional Value-at-Risk (5%) | -16.31% |
Upside Capture Ratio (%) | 176.17 |
Downside Capture Ratio (%) | 133.05 |
Safe Withdrawal Rate | 15.48% |
Perpetual Withdrawal Rate | 16.33% |
Positive Periods | 267 out of 408 (65.44%) |
Gain/Loss Ratio | 1.04 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 |
---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -45.32% |
Asian Crisis | Jul 1997 | Jan 1998 | -12.11% |
Russian Debt Default | Jul 1998 | Oct 1998 | -21.20% |
Dotcom Crash | Mar 2000 | Oct 2002 | -51.96% |
Subprime Crisis | Nov 2007 | Mar 2009 | -65.25% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2010 | 1 year 10 months | 3 years 2 months | -65.25% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Dec 2004 | 2 years 3 months | 4 years 4 months | -51.96% |
3 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -45.32% |
4 | Jan 1990 | Sep 1990 | 9 months | Mar 1991 | 6 months | 1 year 3 months | -33.22% |
5 | Feb 1994 | Jun 1994 | 5 months | Apr 1995 | 10 months | 1 year 3 months | -25.41% |
6 | Jul 1998 | Aug 1998 | 2 months | Oct 1998 | 2 months | 4 months | -21.20% |
7 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -19.87% |
8 | Aug 2016 | Nov 2016 | 4 months | Apr 2017 | 5 months | 9 months | -15.44% |
9 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 6 months | 1 year 1 month | -15.21% |
10 | Feb 1999 | Sep 1999 | 8 months | Dec 1999 | 3 months | 11 months | -13.90% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
VFINX | Vanguard 500 Index Investor | 10.69% | 15.15% | 37.45% | -37.02% | -50.97% | 0.55 | 0.79 | 0.99 |
VUSTX | Vanguard Long-Term Treasury Inv | 7.77% | 9.92% | 30.09% | -13.03% | -16.68% | 0.50 | 0.83 | -0.15 |
CASHX | Cash | 3.07% | 0.72% | 8.61% | 0.03% | 0.00% | N/A | N/A | -0.00 |
Ticker | Name | VFINX | VUSTX | CASHX | Portfolio 1 |
---|---|---|---|---|---|
VFINX | Vanguard 500 Index Investor | 1.00 | -0.13 | 0.01 | 0.86 |
VUSTX | Vanguard Long-Term Treasury Inv | -0.13 | 1.00 | 0.04 | 0.39 |
CASHX | Cash | 0.01 | 0.04 | 1.00 | -0.02 |
Ticker | Name | Portfolio 1 |
---|---|---|
VFINX | Vanguard 500 Index Investor | $7,559,048 |
VUSTX | Vanguard Long-Term Treasury Inv | $3,257,966 |
CASHX | Cash | -$707,118 |
Ticker | Name | Portfolio 1 |
---|---|---|
VFINX | Vanguard 500 Index Investor | 80.23% |
VUSTX | Vanguard Long-Term Treasury Inv | 19.64% |
CASHX | Cash | 0.13% |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 25.67% | 113.53% | -59.16% |
3 years | 22.87% | 71.68% | -22.63% |
5 years | 22.30% | 54.68% | -9.57% |
7 years | 21.80% | 44.90% | -2.57% |
10 years | 20.97% | 37.51% | -3.09% |
15 years | 18.40% | 25.36% | 9.98% |