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 2002 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VDIGX Vanguard Dividend Growth Inv 10.00%
VCAIX Vanguard CA Interm-Term Tax-Exempt Inv 10.00%
VWITX Vanguard Interm-Term Tx-Ex Inv 10.00%
VFINX Vanguard 500 Index Investor 70.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VCAIX Vanguard CA Interm-Term Tax-Exempt Inv 15.00%
VWITX Vanguard Interm-Term Tx-Ex Inv 15.00%
VFINX Vanguard 500 Index Investor 70.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VCAIX Vanguard CA Interm-Term Tax-Exempt Inv 10.00%
VWITX Vanguard Interm-Term Tx-Ex Inv 10.00%
VFINX Vanguard 500 Index Investor 70.00%
VGSLX Vanguard Real Estate Index Admiral 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$3,500,000$13,223,156 7.41% 11.27%26.38%-28.70%-40.50% 0.580.830.99
Portfolio 2$3,500,000$12,467,164 7.07% 10.05%23.96%-26.26%-36.98% 0.600.870.99
Portfolio 3$3,500,000$13,618,112 7.58% 11.62%26.17%-29.84%-43.42% 0.580.820.99
Vanguard 500 Index Investor$3,500,000$14,189,980 7.82% 14.61%32.18%-37.02%-50.97% 0.500.721.00
   
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.
  • The annual results for 2020 are based on monthly returns from January to July
  • 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
YearInflationReturnBalanceVanguard Dividend Growth Inv (VDIGX)Vanguard CA Interm-Term Tax-Exempt Inv (VCAIX)Vanguard Interm-Term Tx-Ex Inv (VWITX)Vanguard 500 Index Investor (VFINX)Vanguard Real Estate Index Admiral (VGSLX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20022.38%-16.11%-12.94%-13.42%-22.15%$2,936,143$3,047,085$3,030,258$2,724,921-23.16%9.16%7.91%-22.15%3.73%
20031.88%23.73%21.24%24.39%28.50%$3,632,871$3,694,255$3,769,256$3,501,57629.20%4.12%4.46%28.50%35.78%
20043.26%9.23%8.44%11.21%10.74%$3,968,218$4,005,882$4,191,818$3,877,65311.01%2.89%3.23%10.74%30.81%
20053.42%4.18%3.96%4.95%4.77%$4,133,897$4,164,375$4,399,418$4,062,7894.23%1.86%2.24%4.77%12.01%
20062.54%13.78%12.25%15.33%15.64%$4,703,367$4,674,610$5,074,001$4,698,27619.58%4.26%4.43%15.64%35.16%
20074.08%5.11%4.74%2.78%5.39%$4,943,936$4,896,044$5,214,869$4,951,3577.00%3.02%3.43%5.39%-16.39%
20080.09%-28.70%-26.26%-29.84%-37.02%$3,525,069$3,610,555$3,658,735$3,118,330-25.57%-2.14%-0.14%-37.02%-36.98%
20092.72%22.71%21.53%23.51%26.49%$4,325,457$4,387,805$4,518,798$3,944,23821.74%9.70%10.22%26.49%29.76%
20101.50%12.06%11.15%13.76%14.91%$4,846,973$4,877,142$5,140,739$4,532,47111.42%2.62%2.13%14.91%28.49%
20112.96%4.30%4.34%4.22%1.97%$5,055,271$5,089,018$5,357,505$4,621,5809.43%10.16%9.62%1.97%8.62%
20121.74%13.35%12.93%14.08%15.82%$5,730,085$5,746,849$6,111,768$5,352,93010.39%6.63%5.70%15.82%17.69%
20131.50%25.44%22.17%22.53%32.18%$7,187,645$7,020,647$7,488,503$7,075,26431.53%-0.83%-1.56%32.18%2.42%
20140.76%12.17%11.74%14.01%13.51%$8,062,036$7,845,077$8,537,803$8,031,02711.85%8.00%7.25%13.51%30.32%
20150.73%1.74%1.78%1.72%1.25%$8,202,284$7,984,651$8,684,335$8,131,2812.62%3.18%2.86%1.25%2.39%
20162.07%9.02%8.26%9.11%11.82%$8,941,766$8,643,987$9,475,681$9,092,1537.53%-0.18%0.08%11.82%8.50%
20172.11%18.04%16.57%16.60%21.67%$10,554,540$10,076,377$11,048,338$11,062,21119.33%4.82%4.53%21.67%4.94%
20181.91%-2.90%-2.80%-3.52%-4.52%$10,248,005$9,794,234$10,659,739$10,561,7470.18%1.19%1.25%-4.52%-5.95%
20192.29%26.38%23.96%26.17%31.33%$12,950,950$12,140,613$13,449,890$13,870,42430.95%6.74%6.78%31.33%28.94%
20200.32%2.10%2.69%1.25%2.30%$13,223,156$12,467,164$13,618,112$14,189,980-2.29%3.59%3.59%2.30%-10.80%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Dividend Growth Inv (VDIGX)Vanguard CA Interm-Term Tax-Exempt Inv (VCAIX)Vanguard Interm-Term Tx-Ex Inv (VWITX)Vanguard 500 Index Investor (VFINX)Vanguard Real Estate Index Admiral (VGSLX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20021-1.06%-0.55%-0.74%-1.47%$3,462,950$3,480,591$3,474,150$3,448,437-3.45%1.65%1.53%-1.47%-0.25%
20022-1.12%-0.98%-0.91%-1.94%$3,424,254$3,446,357$3,442,508$3,381,670-0.09%1.32%1.02%-1.94%1.94%
200232.83%1.91%2.79%3.74%$3,521,075$3,512,347$3,538,402$3,508,2536.90%-2.58%-1.61%3.74%6.28%
20024-4.06%-3.59%-3.72%-6.07%$3,377,994$3,386,116$3,406,839$3,295,140-2.55%2.38%1.97%-6.07%0.61%
20025-0.63%-0.27%-0.20%-0.75%$3,356,546$3,376,891$3,399,866$3,270,282-2.70%0.91%0.61%-0.75%1.31%
20026-5.12%-4.58%-4.32%-7.13%$3,184,700$3,222,149$3,252,905$3,036,963-4.16%0.62%0.96%-7.13%2.76%
20027-6.11%-4.70%-5.43%-7.72%$2,990,028$3,070,653$3,076,420$2,802,532-11.88%1.34%0.96%-7.72%-5.25%
200280.97%0.80%0.70%0.65%$3,019,138$3,095,325$3,097,896$2,820,8212.90%1.41%0.73%0.65%0.20%
20029-7.65%-6.22%-6.89%-10.87%$2,788,295$2,902,739$2,884,451$2,514,062-10.38%2.43%1.52%-10.87%-3.58%
2002105.30%4.48%4.17%8.78%$2,936,171$3,032,700$3,004,782$2,734,8703.64%-2.49%-1.81%8.78%-4.92%
2002114.02%3.63%4.20%5.88%$3,054,341$3,142,789$3,130,971$2,895,5482.64%-0.20%-0.23%5.88%4.44%
200212-3.87%-3.05%-3.22%-5.89%$2,936,143$3,047,085$3,030,258$2,724,921-5.14%2.18%2.07%-5.89%0.81%
20031-2.34%-2.06%-2.25%-2.62%$2,867,529$2,984,388$2,961,971$2,653,398-3.53%-0.88%-0.59%-2.62%-2.69%
20032-0.93%-0.64%-0.61%-1.52%$2,840,759$2,965,246$2,943,925$2,613,104-1.53%1.37%1.36%-1.52%1.73%
200330.62%0.66%0.87%0.96%$2,858,307$2,984,856$2,969,584$2,638,108-0.48%0.17%-0.16%0.96%2.06%
200346.64%5.92%6.28%8.25%$3,048,016$3,161,676$3,155,981$2,855,8447.70%0.68%0.71%8.25%4.14%
200354.87%4.39%4.71%5.26%$3,196,453$3,300,631$3,304,693$3,006,1697.15%2.35%2.25%5.26%5.51%
200361.00%0.74%1.02%1.26%$3,228,302$3,325,071$3,338,319$3,044,0452.07%-0.71%-0.39%1.26%2.26%
200370.78%0.41%1.22%1.74%$3,253,512$3,338,814$3,379,081$3,097,1350.93%-3.13%-2.78%1.74%5.20%
200381.78%1.63%1.59%1.93%$3,311,329$3,393,323$3,432,839$3,156,9882.35%0.88%0.80%1.93%0.58%
20039-0.44%-0.14%0.02%-1.07%$3,296,743$3,388,578$3,433,472$3,123,162-0.90%2.37%2.34%-1.07%3.45%
2003104.44%3.93%4.09%5.64%$3,443,178$3,521,864$3,573,796$3,299,3494.93%-0.36%-0.62%5.64%1.66%
2003110.97%0.88%1.24%0.86%$3,476,663$3,552,859$3,618,220$3,327,8651.82%0.85%0.99%0.86%4.30%
2003124.49%3.98%4.17%5.22%$3,632,871$3,694,255$3,769,256$3,501,5766.07%0.58%0.56%5.22%3.06%
200411.50%1.36%1.77%1.82%$3,687,224$3,744,666$3,835,861$3,565,3531.61%0.33%0.27%1.82%4.32%
200421.47%1.45%1.45%1.38%$3,741,246$3,798,994$3,891,552$3,614,4641.77%1.54%1.71%1.38%1.63%
20043-1.35%-1.29%-0.65%-1.51%$3,690,879$3,749,822$3,866,164$3,559,760-1.30%-0.81%-0.75%-1.51%5.45%
20044-1.69%-1.80%-3.14%-1.58%$3,628,522$3,682,389$3,744,948$3,503,631-1.23%-2.41%-2.22%-1.58%-14.53%
200450.97%0.96%1.64%1.36%$3,663,816$3,717,664$3,806,235$3,551,2040.18%-0.02%0.05%1.36%7.04%
200461.66%1.46%1.70%1.93%$3,724,815$3,772,011$3,871,108$3,619,7262.39%0.42%0.26%1.93%2.77%
20047-2.40%-2.04%-2.08%-3.31%$3,635,464$3,695,001$3,790,704$3,499,881-2.62%1.07%1.03%-3.31%0.52%
200480.68%0.80%1.44%0.38%$3,660,315$3,724,456$3,845,422$3,513,2740.63%1.69%1.84%0.38%7.86%
200490.98%0.85%0.78%1.07%$3,696,138$3,756,238$3,875,576$3,550,7641.61%0.32%0.41%1.07%-0.21%
2004101.26%1.24%1.76%1.51%$3,742,732$3,802,941$3,943,829$3,604,5480.79%0.59%0.64%1.51%5.36%
2004113.01%2.55%3.08%4.05%$3,855,342$3,899,822$4,065,183$3,750,3853.66%-0.84%-1.06%4.05%4.17%
2004122.93%2.72%3.12%3.39%$3,968,218$4,005,882$4,191,818$3,877,6533.21%1.05%1.09%3.39%4.79%
20051-1.83%-1.57%-2.46%-2.45%$3,895,458$3,942,976$4,088,578$3,782,483-2.14%0.42%0.57%-2.45%-8.43%
200521.62%1.30%1.63%2.09%$3,958,557$3,994,063$4,155,174$3,861,6752.69%-0.60%-0.43%2.09%2.86%
20053-1.55%-1.47%-1.55%-1.76%$3,897,017$3,935,343$4,090,858$3,793,708-1.64%-0.75%-0.84%-1.76%-1.57%
20054-1.12%-0.91%-0.50%-1.91%$3,853,470$3,899,585$4,070,211$3,721,175-0.67%1.41%1.39%-1.91%5.81%
200552.50%2.39%2.66%3.17%$3,949,721$3,992,823$4,178,373$3,839,0421.68%0.61%0.72%3.17%3.26%
200560.11%0.25%0.70%0.13%$3,953,931$4,002,892$4,207,570$3,843,925-0.91%0.59%0.48%0.13%4.93%
200572.74%2.35%3.16%3.71%$4,062,336$4,097,047$4,340,432$3,986,3963.11%-0.83%-0.62%3.71%7.01%
20058-0.50%-0.36%-0.86%-0.91%$4,041,910$4,082,277$4,303,024$3,949,991-0.49%0.96%0.94%-0.91%-3.76%
200590.50%0.37%0.49%0.79%$4,062,117$4,097,539$4,324,208$3,981,3560.66%-0.58%-0.63%0.79%0.57%
200510-1.43%-1.33%-1.52%-1.68%$4,004,145$4,042,909$4,258,473$3,914,531-1.46%-0.48%-0.55%-1.68%-2.33%
2005113.04%2.75%3.14%3.76%$4,125,873$4,153,969$4,392,277$4,061,8983.30%0.33%0.41%3.76%4.25%
2005120.19%0.25%0.16%0.02%$4,133,897$4,164,375$4,399,418$4,062,7890.23%0.80%0.81%0.02%-0.07%
200612.17%1.93%2.65%2.65%$4,223,614$4,244,789$4,516,168$4,170,2632.66%0.25%0.28%2.65%7.49%
200620.40%0.34%0.48%0.26%$4,240,700$4,259,132$4,537,787$4,181,2221.18%0.49%0.55%0.26%1.85%
200630.86%0.67%1.24%1.23%$4,277,353$4,287,506$4,594,238$4,232,6781.32%-0.66%-0.69%1.23%4.87%
200641.04%0.93%0.52%1.33%$4,321,926$4,327,569$4,618,333$4,289,1181.07%-0.04%-0.03%1.33%-3.64%
20065-2.17%-1.93%-2.25%-2.90%$4,228,050$4,243,868$4,514,375$4,164,878-2.04%0.43%0.44%-2.90%-2.80%
200660.02%-0.03%0.56%0.13%$4,228,869$4,242,573$4,539,827$4,170,2030.10%-0.40%-0.41%0.13%5.29%
200670.91%0.77%1.03%0.61%$4,267,182$4,275,127$4,586,667$4,195,5122.50%1.18%1.12%0.61%3.52%
200682.20%2.09%2.33%2.36%$4,360,847$4,364,341$4,693,644$4,294,6072.51%1.44%1.42%2.36%3.71%
200692.10%1.99%2.12%2.56%$4,452,609$4,451,308$4,792,977$4,404,6961.78%0.60%0.64%2.56%1.92%
2006102.69%2.46%3.06%3.25%$4,572,418$4,560,651$4,939,611$4,547,8922.92%0.52%0.50%3.25%6.14%
2006111.64%1.55%2.00%1.89%$4,647,377$4,631,408$5,038,185$4,633,8091.63%0.69%0.71%1.89%4.67%
2006121.20%0.93%0.71%1.39%$4,703,367$4,674,610$5,074,001$4,698,2762.51%-0.30%-0.17%1.39%-1.80%
200711.12%0.98%1.85%1.49%$4,755,894$4,720,305$5,168,026$4,768,4321.17%-0.21%-0.24%1.49%8.53%
20072-1.36%-1.06%-1.42%-1.97%$4,690,979$4,670,184$5,094,846$4,674,531-1.97%1.04%1.15%-1.97%-2.41%
200730.83%0.73%0.49%1.11%$4,729,882$4,704,313$5,119,832$4,726,4930.83%-0.12%-0.18%1.11%-2.38%
200743.60%3.17%3.13%4.42%$4,900,183$4,853,240$5,280,126$4,935,3074.60%0.23%0.26%4.42%-0.02%
200752.72%2.34%2.36%3.48%$5,033,395$4,966,571$5,404,817$5,106,9103.48%-0.40%-0.48%3.48%-0.11%
20076-1.36%-1.29%-2.16%-1.68%$4,964,835$4,902,296$5,288,334$5,021,304-1.07%-0.32%-0.34%-1.68%-9.24%
20077-2.33%-2.02%-2.79%-3.08%$4,849,238$4,803,328$5,140,761$4,866,406-2.59%0.61%0.66%-3.08%-7.76%
200781.09%1.00%1.58%1.50%$4,902,267$4,851,166$5,222,203$4,939,3200.80%-0.31%-0.11%1.50%6.49%
200793.23%3.01%3.29%3.72%$5,060,405$4,997,129$5,394,069$5,123,2583.49%1.35%1.18%3.72%4.26%
2007101.24%1.20%1.29%1.58%$5,123,223$5,057,269$5,463,855$5,204,1460.70%0.25%0.28%1.58%1.21%
200711-3.03%-2.78%-3.71%-4.19%$4,968,220$4,916,633$5,261,405$4,986,259-1.90%0.61%0.94%-4.19%-9.29%
200712-0.49%-0.42%-0.88%-0.70%$4,943,936$4,896,044$5,214,869$4,951,357-0.46%0.24%0.27%-0.70%-5.11%
20081-4.47%-3.78%-3.96%-6.02%$4,723,020$4,711,039$5,008,450$4,653,506-5.46%1.25%1.63%-6.02%-0.36%
20082-3.23%-3.49%-3.46%-3.25%$4,570,439$4,546,408$4,835,120$4,502,199-1.39%-3.96%-4.08%-3.25%-3.70%
200830.33%0.52%0.91%-0.44%$4,585,675$4,570,110$4,879,351$4,482,3670.85%2.62%2.62%-0.44%6.45%
200843.85%3.55%4.10%4.85%$4,762,032$4,732,154$5,079,447$4,699,9513.57%0.69%0.87%4.85%5.92%
200851.21%1.07%1.02%1.29%$4,819,447$4,782,898$5,131,131$4,760,6971.89%0.61%0.57%1.29%0.13%
20086-6.69%-6.12%-7.16%-8.44%$4,497,123$4,489,958$4,763,708$4,358,982-6.43%-0.97%-1.03%-8.44%-10.74%
20087-0.40%-0.38%-0.11%-0.83%$4,479,178$4,472,922$4,758,387$4,322,7280.43%0.52%0.57%-0.83%3.11%
200881.45%1.34%1.47%1.45%$4,544,297$4,532,899$4,828,241$4,385,2472.21%1.08%1.18%1.45%2.29%
20089-7.47%-7.24%-6.83%-8.91%$4,204,978$4,204,495$4,498,519$3,994,694-5.78%-3.84%-3.92%-8.91%-0.10%
200810-12.76%-11.11%-14.73%-16.79%$3,668,532$3,737,316$3,836,047$3,323,889-14.79%-0.52%0.12%-16.79%-31.22%
200811-4.92%-4.43%-6.82%-7.17%$3,488,059$3,571,761$3,574,559$3,085,405-3.56%-0.25%0.18%-7.17%-23.35%
2008121.06%1.09%2.35%1.07%$3,525,069$3,610,555$3,658,735$3,118,3300.88%0.84%1.39%1.07%17.33%
20091-5.75%-4.78%-6.89%-8.41%$3,322,526$3,437,943$3,406,605$2,855,998-5.96%3.66%3.73%-8.41%-17.41%
20092-8.25%-7.29%-9.26%-10.66%$3,048,498$3,187,200$3,091,317$2,551,634-9.21%-0.27%-0.46%-10.66%-20.71%
200936.42%5.52%6.12%8.76%$3,244,322$3,363,261$3,280,534$2,775,1587.40%-0.71%-0.20%8.76%3.79%
200947.46%7.00%9.43%9.56%$3,486,247$3,598,609$3,589,805$3,040,4315.81%1.86%1.79%9.56%31.23%
200954.59%4.12%4.31%5.62%$3,646,355$3,747,028$3,744,547$3,211,2335.40%0.90%0.86%5.62%2.36%
20096-0.18%-0.22%-0.39%0.22%$3,639,768$3,738,843$3,730,098$3,218,296-0.87%-1.46%-0.97%0.22%-3.25%
200976.18%5.85%6.68%7.58%$3,864,590$3,957,699$3,979,162$3,462,1765.05%1.96%1.79%7.58%10.66%
200983.10%2.96%4.10%3.60%$3,984,580$4,074,724$4,142,460$3,586,7742.92%1.55%1.23%3.60%14.02%
200993.60%3.58%3.92%3.72%$4,127,901$4,220,597$4,304,837$3,720,0873.42%3.48%3.00%3.72%6.70%
200910-1.77%-1.99%-2.22%-1.87%$4,054,694$4,136,774$4,209,058$3,650,610-0.08%-2.39%-2.17%-1.87%-4.63%
2009115.10%4.56%5.12%5.98%$4,261,547$4,325,497$4,424,752$3,868,9676.62%0.87%1.13%5.98%6.85%
2009121.50%1.44%2.13%1.95%$4,325,457$4,387,805$4,518,798$3,944,2380.82%0.05%0.17%1.95%7.07%
20101-2.67%-2.34%-2.93%-3.60%$4,210,182$4,285,235$4,386,262$3,802,096-2.66%0.69%0.54%-3.60%-5.34%
201022.49%2.43%2.89%3.09%$4,315,193$4,389,255$4,513,079$3,919,6511.56%0.93%0.95%3.09%5.60%
201034.52%4.02%5.09%6.01%$4,510,304$4,565,878$4,743,009$4,155,3614.38%-0.32%-0.72%6.01%10.11%
201041.52%1.48%2.09%1.58%$4,578,651$4,633,351$4,841,944$4,220,9341.62%1.42%1.05%1.58%7.05%
20105-6.29%-5.48%-6.06%-8.01%$4,290,734$4,379,286$4,548,502$3,883,043-7.60%0.59%0.76%-8.01%-5.39%
20106-4.05%-3.65%-4.19%-5.24%$4,116,987$4,219,250$4,358,034$3,679,593-3.94%-0.24%0.01%-5.24%-5.20%
201075.69%5.19%6.09%7.00%$4,351,371$4,438,293$4,623,538$3,937,0216.10%1.41%1.34%7.00%9.69%
20108-2.96%-2.37%-2.73%-4.53%$4,222,656$4,333,084$4,497,317$3,758,682-3.26%2.56%2.34%-4.53%-1.21%
201096.80%5.92%6.41%8.92%$4,509,760$4,589,428$4,785,739$4,093,9157.95%-0.24%-0.43%8.92%4.41%
2010102.83%2.52%3.06%3.79%$4,637,582$4,704,854$4,932,220$4,249,0052.75%-0.41%-0.35%3.79%4.77%
201011-0.42%-0.56%-0.59%0.00%$4,617,965$4,678,539$4,902,877$4,249,005-0.51%-2.03%-1.74%0.00%-1.99%
2010124.96%4.24%4.85%6.67%$4,846,973$4,877,142$5,140,739$4,532,4715.69%-1.69%-1.54%6.67%4.64%
201111.72%1.45%1.84%2.36%$4,930,503$4,947,718$5,235,581$4,639,3062.09%-0.70%-0.66%2.36%3.30%
201122.95%2.89%3.19%3.42%$5,076,162$5,090,580$5,402,490$4,797,7982.32%1.72%1.51%3.42%4.63%
201130.01%-0.06%-0.18%0.03%$5,076,617$5,087,750$5,392,661$4,799,0270.40%-0.23%-0.28%0.03%-1.47%
201142.75%2.55%2.96%2.95%$5,216,340$5,217,379$5,552,415$4,940,4983.65%1.53%1.60%2.95%5.70%
20115-0.50%-0.38%-0.38%-1.15%$5,190,029$5,197,453$5,531,227$4,883,9100.19%1.52%1.51%-1.15%1.35%
20116-1.17%-1.07%-1.45%-1.67%$5,129,362$5,141,919$5,451,154$4,802,237-0.66%0.49%0.30%-1.67%-3.31%
20117-1.55%-1.14%-1.07%-2.05%$5,049,954$5,083,239$5,392,828$4,703,942-3.05%1.04%0.97%-2.05%1.57%
20118-3.78%-3.39%-4.09%-5.45%$4,859,054$4,911,124$5,172,190$4,447,744-2.55%1.31%1.40%-5.45%-5.54%
20119-5.13%-4.60%-5.82%-7.04%$4,609,859$4,685,349$4,871,122$4,134,508-4.33%0.65%0.65%-7.04%-10.94%
2011108.14%7.16%8.72%10.91%$4,985,093$5,020,609$5,295,904$4,585,7408.55%-0.23%-0.36%10.91%14.40%
2011110.10%0.04%-0.42%-0.23%$4,990,301$5,022,741$5,273,794$4,575,0241.26%0.65%0.65%-0.23%-3.75%
2011121.30%1.32%1.59%1.02%$5,055,271$5,089,018$5,357,505$4,621,5801.81%2.00%1.96%1.02%4.65%
201213.85%3.83%4.24%4.46%$5,249,786$5,283,911$5,584,794$4,827,9152.53%2.49%2.20%4.46%6.48%
201223.31%3.06%2.92%4.31%$5,423,543$5,445,357$5,748,021$5,035,8462.66%0.18%-0.03%4.31%-1.11%
201232.39%2.09%2.67%3.28%$5,553,067$5,558,937$5,901,475$5,201,0952.28%-0.84%-0.92%3.28%5.15%
20124-0.26%-0.16%0.03%-0.64%$5,538,754$5,550,144$5,903,464$5,167,8310.00%1.06%1.12%-0.64%2.89%
20125-4.66%-4.11%-4.61%-6.02%$5,280,471$5,322,068$5,631,465$4,856,840-5.12%0.80%0.69%-6.02%-4.56%
201263.25%2.83%3.42%4.11%$5,452,149$5,472,597$5,823,865$5,056,4054.08%-0.25%-0.17%4.11%5.63%
201271.34%1.38%1.44%1.37%$5,525,002$5,547,898$5,907,514$5,125,6760.99%1.40%1.39%1.37%1.96%
201281.78%1.65%1.60%2.24%$5,623,111$5,639,293$6,002,043$5,240,4571.53%0.18%0.18%2.24%-0.11%
201292.14%2.05%1.77%2.58%$5,743,372$5,754,834$6,108,144$5,375,4791.68%0.77%0.66%2.58%-1.84%
201210-1.40%-1.26%-1.36%-1.86%$5,663,050$5,682,083$6,024,970$5,275,521-1.18%0.35%0.18%-1.86%-0.83%
2012110.72%0.84%0.65%0.56%$5,703,639$5,729,984$6,064,374$5,305,0630.24%1.62%1.49%0.56%-0.36%
2012120.46%0.29%0.78%0.90%$5,730,085$5,746,849$6,111,768$5,352,9300.55%-1.25%-1.19%0.90%3.72%
201314.25%3.77%4.09%5.18%$5,973,703$5,963,643$6,361,972$5,630,0095.29%0.61%0.39%5.18%3.71%
201321.18%1.06%1.15%1.34%$6,044,326$6,027,057$6,434,946$5,705,3911.60%0.42%0.36%1.34%1.25%
201332.95%2.55%2.87%3.74%$6,222,834$6,180,743$6,619,434$5,918,6963.76%-0.38%-0.38%3.74%2.91%
201341.85%1.64%2.21%1.91%$6,338,099$6,282,171$6,765,698$6,031,6593.09%0.97%0.94%1.91%6.70%
201351.56%1.33%0.81%2.33%$6,436,812$6,365,491$6,820,226$6,172,0441.26%-1.26%-1.27%2.33%-5.95%
20136-1.49%-1.70%-1.64%-1.35%$6,340,585$6,257,595$6,708,584$6,088,688-0.56%-2.67%-2.57%-1.35%-1.95%
201374.03%3.62%3.70%5.07%$6,595,893$6,484,311$6,957,003$6,397,5224.16%-0.26%-0.38%5.07%0.83%
20138-2.55%-2.41%-2.95%-2.91%$6,427,548$6,328,251$6,751,848$6,211,234-2.63%-0.88%-1.04%-2.91%-6.85%
201392.96%2.87%2.97%3.12%$6,617,549$6,509,849$6,952,263$6,405,1263.12%2.35%1.97%3.12%3.28%
2013103.85%3.60%3.92%4.59%$6,872,055$6,744,156$7,224,983$6,698,8983.68%0.81%0.79%4.59%4.49%
2013112.52%2.21%1.73%3.03%$7,045,291$6,892,974$7,350,085$6,901,7693.30%-0.26%-0.16%3.03%-5.23%
2013122.02%1.85%1.88%2.51%$7,187,645$7,020,647$7,488,503$7,075,2641.91%-0.16%-0.15%2.51%0.27%
20141-2.49%-1.88%-1.64%-3.47%$7,008,620$6,888,459$7,365,615$6,829,815-4.26%1.97%1.67%-3.47%4.24%
201423.84%3.46%3.87%4.56%$7,277,936$7,127,045$7,650,874$7,141,2994.74%1.03%1.04%4.56%4.95%
201430.72%0.56%0.62%0.82%$7,330,694$7,167,063$7,698,198$7,200,1291.60%0.01%-0.08%0.82%0.53%
201440.76%0.82%1.07%0.72%$7,386,262$7,225,925$7,780,665$7,252,2640.41%1.04%1.05%0.72%3.37%
201451.98%1.97%2.09%2.33%$7,532,653$7,368,256$7,943,612$7,421,6011.24%1.21%1.05%2.33%2.34%
201461.52%1.41%1.53%2.05%$7,646,826$7,471,864$8,065,026$7,573,8880.99%-0.09%-0.10%2.05%1.16%
20147-1.12%-0.91%-0.91%-1.39%$7,561,416$7,403,680$7,991,242$7,468,759-1.86%0.25%0.18%-1.39%0.08%
201483.39%3.12%3.30%3.98%$7,817,496$7,634,710$8,254,967$7,766,1363.78%1.11%1.10%3.98%2.95%
20149-1.04%-0.98%-1.63%-1.41%$7,736,504$7,559,631$8,120,211$7,656,428-0.49%0.07%0.03%-1.41%-5.98%
2014102.09%1.87%2.85%2.42%$7,898,085$7,701,020$8,351,672$7,841,9592.77%0.59%0.53%2.42%9.97%
2014112.18%1.91%2.10%2.68%$8,070,545$7,848,234$8,526,916$8,052,3122.82%0.07%0.03%2.68%1.98%
201412-0.11%-0.04%0.13%-0.26%$8,062,036$7,845,077$8,537,803$8,031,027-0.16%0.50%0.53%-0.26%1.92%
20151-2.07%-1.65%-1.13%-3.02%$7,895,170$7,715,967$8,441,638$7,788,688-2.69%1.60%1.51%-3.02%6.75%
201524.27%3.67%3.36%5.74%$8,232,423$7,998,822$8,725,183$8,235,7254.94%-0.95%-0.96%5.74%-3.57%
20153-1.20%-1.06%-0.90%-1.59%$8,133,326$7,913,943$8,646,316$8,104,475-1.24%0.16%0.25%-1.59%1.74%
201540.58%0.54%-0.03%0.95%$8,180,342$7,956,790$8,643,677$8,181,393-0.04%-0.36%-0.46%0.95%-5.91%
201550.92%0.81%0.81%1.27%$8,255,509$8,021,070$8,713,897$8,285,5090.83%-0.27%-0.31%1.27%-0.27%
20156-1.61%-1.40%-1.83%-1.93%$8,122,230$7,908,906$8,554,299$8,125,357-2.31%-0.11%-0.11%-1.93%-4.59%
201571.96%1.67%2.14%2.08%$8,281,135$8,041,268$8,737,292$8,294,3873.58%0.75%0.67%2.08%5.62%
20158-4.81%-4.19%-4.82%-6.04%$7,882,822$7,704,337$8,315,720$7,793,275-6.04%0.24%0.24%-6.04%-6.25%
20159-1.64%-1.51%-1.30%-2.49%$7,753,252$7,588,350$8,207,303$7,599,219-0.60%0.74%0.66%-2.49%3.01%
2015106.63%5.88%6.45%8.42%$8,267,361$8,034,258$8,736,907$8,239,2807.58%0.31%0.38%8.42%5.79%
2015110.30%0.29%0.20%0.29%$8,292,191$8,057,732$8,754,374$8,262,8750.39%0.31%0.30%0.29%-0.63%
201512-1.08%-0.91%-0.80%-1.59%$8,202,284$7,984,651$8,684,335$8,131,281-1.08%0.74%0.66%-1.59%1.82%
20161-3.52%-3.10%-3.57%-4.98%$7,913,857$7,736,759$8,374,616$7,726,616-2.85%1.24%1.29%-4.98%-3.35%
20162-0.06%-0.08%-0.13%-0.15%$7,909,237$7,730,662$8,364,018$7,715,3990.28%0.12%0.01%-0.15%-0.40%
201635.30%4.74%5.78%6.78%$8,328,077$8,097,339$8,847,167$8,238,1515.59%0.30%0.30%6.78%10.41%
201640.44%0.45%0.14%0.37%$8,364,826$8,133,986$8,859,182$8,268,9370.52%0.63%0.64%0.37%-2.41%
201651.32%1.27%1.50%1.78%$8,474,883$8,237,053$8,992,028$8,416,3640.56%0.05%0.09%1.78%2.37%
201660.62%0.60%1.16%0.25%$8,527,050$8,286,587$9,096,767$8,437,4021.56%1.46%1.40%0.25%6.90%
201672.73%2.55%2.99%3.68%$8,760,198$8,497,731$9,368,416$8,747,5911.79%-0.12%-0.05%3.68%4.19%
201680.14%0.14%-0.28%0.13%$8,772,760$8,510,020$9,342,506$8,758,9190.17%0.21%0.15%0.13%-3.67%
20169-0.19%-0.12%-0.27%0.01%$8,755,932$8,499,789$9,317,145$8,759,635-1.13%-0.46%-0.40%0.01%-1.83%
201610-1.77%-1.54%-2.04%-1.83%$8,600,893$8,368,566$9,126,627$8,599,064-3.14%-0.87%-0.81%-1.83%-5.70%
2016112.20%1.55%1.73%3.70%$8,789,696$8,498,199$9,284,174$8,917,1432.97%-3.83%-3.42%3.70%-1.72%
2016121.73%1.72%2.06%1.96%$8,941,766$8,643,987$9,475,681$9,092,1531.27%1.19%0.96%1.96%4.69%
201711.55%1.48%1.42%1.88%$9,080,504$8,772,142$9,610,651$9,263,3711.24%0.57%0.53%1.88%-0.03%
201723.36%2.96%3.25%3.96%$9,385,252$9,032,129$9,922,593$9,630,4554.55%0.63%0.57%3.96%3.45%
201730.12%0.15%-0.11%0.10%$9,396,829$9,045,466$9,911,452$9,640,0900.02%0.22%0.31%0.10%-2.37%
201740.99%0.95%0.89%1.02%$9,489,939$9,131,128$9,999,393$9,738,2371.22%0.82%0.73%1.02%0.15%
201751.44%1.39%1.20%1.39%$9,626,122$9,258,399$10,119,202$9,873,9631.80%1.42%1.37%1.39%-0.65%
201760.45%0.34%0.57%0.61%$9,669,444$9,290,031$10,177,148$9,934,3500.78%-0.30%-0.34%0.61%2.12%
201771.71%1.65%1.71%2.04%$9,834,668$9,443,555$10,350,972$10,137,2551.30%0.73%0.65%2.04%1.26%
201780.32%0.43%0.33%0.29%$9,865,708$9,483,724$10,385,171$10,167,003-0.35%0.72%0.79%0.29%-0.24%
201791.57%1.36%1.38%2.06%$10,020,213$9,612,257$10,528,781$10,376,3501.80%-0.38%-0.41%2.06%-0.13%
2017101.71%1.70%1.59%2.32%$10,191,665$9,775,233$10,696,535$10,616,8300.38%0.13%0.09%2.32%-1.00%
2017112.44%2.01%2.32%3.06%$10,440,386$9,972,186$10,945,111$10,941,6353.78%-0.72%-0.70%3.06%2.64%
2017121.09%1.04%0.94%1.10%$10,554,540$10,076,377$11,048,338$11,062,2111.39%0.91%0.87%1.10%-0.22%
201814.29%3.70%3.38%5.71%$11,007,058$10,448,925$11,421,688$11,694,1584.90%-0.97%-1.04%5.71%-4.19%
20182-3.11%-2.72%-3.41%-3.69%$10,664,465$10,164,374$11,032,267$11,262,103-4.31%-0.32%-0.29%-3.69%-7.63%
20183-1.89%-1.73%-1.43%-2.56%$10,462,806$9,989,016$10,874,344$10,974,311-1.43%0.31%0.24%-2.56%3.82%
201840.32%0.15%0.27%0.37%$10,496,175$10,004,165$10,903,694$11,015,2721.31%-0.39%-0.35%0.37%0.86%
201852.02%2.01%2.25%2.39%$10,708,686$10,205,395$11,149,269$11,279,0401.25%1.18%1.04%2.39%3.61%
201860.48%0.45%0.84%0.61%$10,759,560$10,250,914$11,242,382$11,347,2850.36%0.04%0.09%0.61%4.14%
201873.08%2.70%2.74%3.71%$11,091,396$10,527,537$11,550,816$11,768,1914.18%0.31%0.24%3.71%0.74%
201882.53%2.37%2.59%3.25%$11,371,707$10,776,996$11,849,872$12,150,2161.88%0.22%0.17%3.25%2.49%
201890.47%0.24%0.04%0.55%$11,425,416$10,802,850$11,854,412$12,217,5711.81%-0.64%-0.48%0.55%-2.63%
201810-5.52%-5.11%-5.32%-6.85%$10,795,152$10,251,174$11,223,319$11,380,788-5.06%-0.64%-0.56%-6.85%-2.96%
2018112.08%1.73%2.09%2.03%$11,019,264$10,428,966$11,457,924$11,611,4374.41%1.01%1.04%2.03%4.72%
201812-7.00%-6.09%-6.97%-9.04%$10,248,005$9,794,234$10,659,739$10,561,747-8.19%1.10%1.19%-9.04%-7.94%
201916.41%5.85%6.94%8.00%$10,904,675$10,367,015$11,399,601$11,406,9056.42%0.83%0.82%8.00%11.75%
201922.74%2.42%2.43%3.20%$11,203,180$10,618,193$11,676,598$11,771,9853.73%0.46%0.50%3.20%0.74%
201931.93%1.75%2.05%1.94%$11,419,910$10,804,140$11,915,416$11,999,9653.13%1.25%1.30%1.94%4.18%
201943.27%3.00%2.92%4.04%$11,792,815$11,127,832$12,263,365$12,484,9003.20%0.30%0.29%4.04%-0.09%
20195-4.60%-4.27%-4.33%-6.36%$11,249,817$10,652,393$11,732,586$11,690,286-2.61%1.31%1.36%-6.36%0.11%
201965.64%5.13%5.21%7.03%$11,884,439$11,198,512$12,343,922$12,512,4555.76%0.46%0.36%7.03%1.72%
201971.35%1.25%1.33%1.43%$12,045,226$11,338,410$12,507,746$12,690,8681.84%0.79%0.78%1.43%1.60%
20198-0.75%-0.80%-0.52%-1.59%$11,954,396$11,247,700$12,442,974$12,488,9431.44%1.28%1.32%-1.59%3.76%
201991.20%1.12%1.38%1.86%$12,097,300$11,374,190$12,614,631$12,721,0940.16%-0.79%-0.75%1.86%1.88%
2019101.51%1.61%1.68%2.15%$12,280,066$11,557,517$12,826,885$12,995,233-0.56%0.20%0.14%2.15%1.07%
2019112.89%2.68%2.48%3.62%$12,634,393$11,866,754$13,144,799$13,465,7162.52%0.11%0.14%3.62%-1.25%
2019122.51%2.31%2.32%3.01%$12,950,950$12,140,613$13,449,890$13,870,4242.59%0.36%0.35%3.01%0.81%
202010.31%0.44%0.40%-0.05%$12,990,704$12,194,480$13,503,837$13,863,4460.23%1.60%1.59%-0.05%1.17%
20202-6.37%-5.43%-6.25%-8.24%$12,163,159$11,532,804$12,660,350$12,720,913-8.33%1.00%1.08%-8.24%-7.08%
20203-10.11%-9.36%-11.03%-12.37%$10,934,045$10,453,658$11,263,685$11,147,070-9.98%-3.04%-3.10%-12.37%-19.26%
202049.14%7.98%9.14%12.81%$11,933,523$11,287,861$12,293,425$12,575,4388.87%-1.06%-1.20%12.81%8.86%
202054.36%4.24%4.14%4.76%$12,454,414$11,766,696$12,801,761$13,173,5124.29%3.16%3.12%4.76%1.74%
202061.47%1.55%1.73%1.98%$12,636,922$11,949,583$13,023,403$13,434,045-0.35%0.51%0.75%1.98%2.44%
202074.64%4.33%4.57%5.63%$13,223,156$12,467,164$13,618,112$14,189,9804.41%1.50%1.43%5.63%3.57%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value36.00%29.95%37.45%46.59%
Large-cap Growth42.99%38.73%34.35%53.34%
Mid-cap Value0.00%1.15%4.96%0.00%
Mid-cap Growth0.00%0.51%1.07%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%1.52%0.00%
Global ex-US Developed Markets0.00%0.00%0.87%0.00%
Emerging Markets0.00%0.00%0.08%0.00%
Corporate Bonds3.46%7.22%8.01%0.00%
Long-Term Treasuries0.00%0.00%2.31%0.06%
Intermediate-Term Treasuries3.85%1.74%5.68%0.01%
Short-Term Treasuries13.71%20.69%3.70%0.00%
R Squared99.51%99.02%98.47%99.92%
Style analysis is based on monthly returns from Apr 2005 to Jul 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VDIGXVanguard Dividend Growth InvLarge Blend10.00%0.27%20.13$1,084,10710.53%
VCAIXVanguard CA Interm-Term Tax-Exempt InvMuni California Intermediate10.00%0.17%4.76$459,7780.20%
VWITXVanguard Interm-Term Tx-Ex InvMuni National Interm10.00%0.17%4.78$452,4120.17%
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%22.72$7,726,85889.11%
100.00%0.16%22.404.77$9,723,156100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VCAIXVanguard CA Interm-Term Tax-Exempt InvMuni California Intermediate15.00%0.17%4.76$678,2620.61%
VWITXVanguard Interm-Term Tx-Ex InvMuni National Interm15.00%0.17%4.78$667,3730.54%
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%22.72$7,621,53098.86%
100.00%0.15%22.724.77$8,967,164100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VCAIXVanguard CA Interm-Term Tax-Exempt InvMuni California Intermediate10.00%0.17%4.76$480,6860.34%
VWITXVanguard Interm-Term Tx-Ex InvMuni National Interm10.00%0.17%4.78$473,1150.29%
VFINXVanguard 500 Index InvestorLarge Blend70.00%0.14%22.72$8,140,81285.22%
VGSLXVanguard Real Estate Index AdmiralReal Estate10.00%0.12%26.67$1,023,50014.14%
100.00%0.14%23.224.77$10,118,112100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (c) 2020 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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.65%0.61%0.67%0.72%
Arithmetic Mean (annualized)8.10%7.62%8.32%8.99%
Geometric Mean (monthly)0.60%0.57%0.61%0.63%
Geometric Mean (annualized)7.41%7.07%7.58%7.82%
Volatility (monthly)3.25%2.90%3.35%4.22%
Volatility (annualized)11.27%10.05%11.62%14.61%
Downside Deviation (monthly)2.21%1.96%2.32%2.91%
Max. Drawdown-40.50%-36.98%-43.42%-50.97%
US Market Correlation0.990.990.991.00
Beta(*)0.770.680.781.00
Alpha (annualized)1.18%1.47%1.25%0.00%
R299.21%98.33%96.91%100.00%
Sharpe Ratio0.580.600.580.50
Sortino Ratio0.830.870.820.72
Treynor Ratio (%)8.508.918.597.35
Calmar Ratio0.660.680.580.60
Active Return-0.41%-0.75%-0.24%N/A
Tracking Error3.53%4.83%3.77%N/A
Information Ratio-0.12-0.16-0.06N/A
Skewness-0.75-0.74-0.88-0.69
Excess Kurtosis1.601.552.441.68
Historical Value-at-Risk (5%)-5.70%-4.76%-6.01%-7.61%
Analytical Value-at-Risk (5%)-4.77%-4.26%-4.93%-6.22%
Conditional Value-at-Risk (5%)-7.68%-6.75%-8.08%-9.95%
Upside Capture Ratio (%)79.2271.1780.80100.00
Downside Capture Ratio (%)75.7366.7876.79100.00
Safe Withdrawal Rate7.03%7.02%7.39%6.76%
Perpetual Withdrawal Rate5.15%4.84%5.30%5.52%
Positive Periods150 out of 223 (67.26%)148 out of 223 (66.37%)148 out of 223 (66.37%)149 out of 223 (66.82%)
Gain/Loss Ratio0.820.880.850.77
* 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 PeriodStartEndPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-40.50%-36.98%-43.42%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-40.50%
2Apr 2002Sep 20026 monthsDec 20031 year 3 months1 year 9 months-20.81%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-15.83%
4May 2011Sep 20115 monthsJan 20124 months9 months-11.63%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-10.31%
6Aug 2015Sep 20152 monthsNov 20152 months4 months-6.37%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-4.94%
8Apr 2012May 20122 monthsAug 20123 months5 months-4.91%
9Dec 2015Feb 20163 monthsMar 20161 month4 months-4.62%
10May 2019May 20191 monthJun 20191 month2 months-4.60%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-36.98%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-17.36%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-14.28%
4May 2011Sep 20115 monthsJan 20124 months9 months-10.20%
5Oct 2018Dec 20183 monthsMar 20193 months6 months-9.34%
6Aug 2015Sep 20152 monthsNov 20152 months4 months-5.63%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-4.40%
8May 2019May 20191 monthJun 20191 month2 months-4.27%
9Apr 2012May 20122 monthsAug 20123 months5 months-4.26%
10Dec 2015Feb 20163 monthsMar 20161 month4 months-4.06%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-43.42%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-18.48%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-16.59%
4May 2011Sep 20115 monthsJan 20124 months9 months-12.27%
5Oct 2018Dec 20183 monthsMar 20193 months6 months-10.08%
6Aug 2015Sep 20152 monthsNov 20152 months4 months-6.07%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-4.89%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-4.79%
9May 2012May 20121 monthJul 20122 months3 months-4.61%
10Dec 2015Feb 20163 monthsMar 20161 month4 months-4.46%
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%
2Apr 2002Sep 20026 monthsJan 20041 year 4 months1 year 10 months-28.34%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
9Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VDIGXVanguard Dividend Growth Inv8.37%12.51%31.53%-25.57%-37.95%0.600.860.95
VCAIXVanguard CA Interm-Term Tax-Exempt Inv4.18%4.09%10.16%-2.14%-5.10%0.701.06-0.01
VWITXVanguard Interm-Term Tx-Ex Inv4.15%3.86%10.22%-1.56%-5.17%0.731.11-0.02
VFINXVanguard 500 Index Investor7.82%14.61%32.18%-37.02%-50.97%0.500.721.00
VGSLXVanguard Real Estate Index Admiral9.36%21.56%35.78%-36.98%-68.21%0.470.660.69

Monthly Correlations

Correlations for the portfolio assets
TickerNameVDIGXVCAIXVWITXVFINXVGSLXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VDIGXVanguard Dividend Growth Inv1.00-0.000.000.950.650.960.950.940.95
VCAIXVanguard CA Interm-Term Tax-Exempt Inv-0.001.000.99-0.020.240.050.100.10-0.02
VWITXVanguard Interm-Term Tx-Ex Inv0.000.991.00-0.030.230.050.100.09-0.03
VFINXVanguard 500 Index Investor0.95-0.02-0.031.000.671.000.990.981.00
VGSLXVanguard Real Estate Index Admiral0.650.240.230.671.000.680.690.770.67

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VDIGXVanguard Dividend Growth Inv$1,084,107
VCAIXVanguard CA Interm-Term Tax-Exempt Inv$459,778$678,262$480,686
VWITXVanguard Interm-Term Tx-Ex Inv$452,412$667,373$473,115
VFINXVanguard 500 Index Investor$7,726,858$7,621,530$8,140,812
VGSLXVanguard Real Estate Index Admiral$1,023,500

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VDIGXVanguard Dividend Growth Inv10.53%
VCAIXVanguard CA Interm-Term Tax-Exempt Inv0.20%0.61%0.34%
VWITXVanguard Interm-Term Tx-Ex Inv0.17%0.54%0.29%
VFINXVanguard 500 Index Investor89.11%98.86%85.22%
VGSLXVanguard Real Estate Index Admiral14.14%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year8.53%26.38%-28.70%7.95%23.96%-26.26%8.75%26.17%-29.84%9.57%32.18%-37.02%
3 years8.02%16.83%-5.17%7.52%15.52%-4.65%8.16%16.80%-5.96%8.73%20.22%-8.44%
5 years7.71%15.31%-0.60%7.25%14.22%-0.46%7.79%15.40%-0.59%8.27%17.81%-2.29%
7 years7.52%12.82%0.10%7.10%12.01%0.45%7.54%13.14%0.64%7.94%14.67%-1.64%
10 years7.73%11.59%3.75%7.30%10.71%3.81%7.80%11.52%4.35%8.16%13.40%2.82%
15 years7.68%8.90%6.45%7.23%8.30%6.21%7.78%9.01%6.87%8.22%9.79%6.57%
Result statistics are based on annualized rolling returns over full calendar year periods