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 1999 - Feb 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VIGRX Vanguard Growth Index Investor 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
XLK Technology Select Sector SPDR ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$38,526 6.58% 14.93%33.35%-37.04%-50.89% 0.380.541.00
Portfolio 2$10,000$36,163 6.26% 15.63%37.08%-38.32%-53.58% 0.350.500.96
Portfolio 3$10,000$34,540 6.03% 22.98%65.14%-41.88%-80.47% 0.290.420.85
   
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 February
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Growth Index Investor (VIGRX)Technology Select Sector SPDR ETF (XLK)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19992.68%23.81%28.76%65.14%$12,381$12,876$16,51423.81%28.76%65.14%
20003.39%-10.57%-22.21%-41.88%$11,072$10,016$9,598-10.57%-22.21%-41.88%
20011.55%-10.97%-12.93%-23.35%$9,858$8,721$7,356-10.97%-12.93%-23.35%
20022.38%-20.96%-23.68%-38.17%$7,792$6,656$4,549-20.96%-23.68%-38.17%
20031.88%31.35%25.92%38.68%$10,235$8,382$6,30831.35%25.92%38.68%
20043.26%12.51%7.20%5.65%$11,515$8,986$6,66412.51%7.20%5.65%
20053.42%5.98%5.09%-0.32%$12,204$9,443$6,6435.98%5.09%-0.32%
20062.54%15.51%9.01%12.16%$14,097$10,294$7,45115.51%9.01%12.16%
20074.08%5.49%12.56%15.45%$14,871$11,587$8,6025.49%12.56%15.45%
20080.09%-37.04%-38.32%-41.51%$9,363$7,147$5,031-37.04%-38.32%-41.51%
20092.72%28.70%36.29%51.32%$12,050$9,741$7,61328.70%36.29%51.32%
20101.50%17.09%16.96%11.39%$14,110$11,392$8,48117.09%16.96%11.39%
20112.96%0.96%1.71%2.61%$14,246$11,587$8,7020.96%1.71%2.61%
20121.74%16.25%16.89%15.30%$16,561$13,544$10,03316.25%16.89%15.30%
20131.50%33.35%32.16%26.25%$22,084$17,900$12,66633.35%32.16%26.25%
20140.76%12.43%13.47%17.85%$24,829$20,310$14,92712.43%13.47%17.85%
20150.73%0.29%3.17%5.49%$24,902$20,954$15,7460.29%3.17%5.49%
20162.07%12.53%5.99%15.02%$28,023$22,210$18,11112.53%5.99%15.02%
20172.11%21.05%27.65%34.25%$33,922$28,350$24,31421.05%27.65%34.25%
20181.91%-5.26%-3.46%-1.66%$32,139$27,369$23,910-5.26%-3.46%-1.66%
20192.29%30.65%37.08%49.86%$41,989$37,518$35,83030.65%37.08%49.86%
20200.66%-8.25%-3.61%-3.60%$38,526$36,163$34,540-8.25%-3.61%-3.60%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Growth Index Investor (VIGRX)Technology Select Sector SPDR ETF (XLK)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199913.65%6.16%15.90%$10,365$10,616$11,5903.65%6.16%15.90%
19992-3.73%-3.93%-9.92%$9,978$10,199$10,441-3.73%-3.93%-9.92%
199933.93%4.82%7.43%$10,371$10,690$11,2163.93%4.82%7.43%
199944.68%-0.21%0.60%$10,856$10,668$11,2844.68%-0.21%0.60%
19995-2.00%-2.95%0.34%$10,639$10,354$11,322-2.00%-2.95%0.34%
199965.16%7.28%9.60%$11,188$11,107$12,4095.16%7.28%9.60%
19997-3.20%-3.15%-1.16%$10,830$10,757$12,265-3.20%-3.15%-1.16%
19998-0.92%1.33%3.51%$10,731$10,901$12,696-0.92%1.33%3.51%
19999-2.44%-1.69%-0.41%$10,469$10,716$12,644-2.44%-1.69%-0.41%
1999106.29%6.90%3.03%$11,127$11,455$13,0276.29%6.90%3.03%
1999113.42%4.28%9.82%$11,508$11,946$14,3063.42%4.28%9.82%
1999127.59%7.79%15.44%$12,381$12,876$16,5147.59%7.79%15.44%
20001-4.18%-6.67%-6.15%$11,863$12,017$15,498-4.18%-6.67%-6.15%
200022.54%2.07%10.51%$12,165$12,265$17,1272.54%2.07%10.51%
200035.69%9.21%8.39%$12,857$13,395$18,5645.69%9.21%8.39%
20004-5.21%-4.98%-9.18%$12,187$12,728$16,859-5.21%-4.98%-9.18%
20005-3.41%-4.06%-10.40%$11,772$12,211$15,106-3.41%-4.06%-10.40%
200064.42%8.17%9.96%$12,292$13,209$16,6104.42%8.17%9.96%
20007-1.95%-4.41%-5.31%$12,052$12,626$15,728-1.95%-4.41%-5.31%
200087.28%5.78%10.17%$12,930$13,356$17,3287.28%5.78%10.17%
20009-4.67%-9.77%-17.97%$12,326$12,051$14,215-4.67%-9.77%-17.97%
200010-2.04%-2.63%-5.73%$12,074$11,733$13,401-2.04%-2.63%-5.73%
200011-9.90%-10.66%-20.51%$10,878$10,483$10,652-9.90%-10.66%-20.51%
2000121.78%-4.45%-9.89%$11,072$10,016$9,5981.78%-4.45%-9.89%
200113.83%2.85%19.12%$11,496$10,301$11,4333.83%2.85%19.12%
20012-9.41%-11.80%-24.91%$10,414$9,086$8,586-9.41%-11.80%-24.91%
20013-6.72%-9.05%-11.46%$9,714$8,264$7,602-6.72%-9.05%-11.46%
200148.16%8.94%16.17%$10,507$9,002$8,8318.16%8.94%16.17%
200151.01%0.22%-4.10%$10,613$9,022$8,4691.01%0.22%-4.10%
20016-1.64%-1.35%1.95%$10,440$8,900$8,635-1.64%-1.35%1.95%
20017-1.71%-0.30%-6.92%$10,261$8,874$8,037-1.71%-0.30%-6.92%
20018-6.00%-6.74%-12.20%$9,645$8,276$7,056-6.00%-6.74%-12.20%
20019-9.00%-6.71%-16.38%$8,777$7,720$5,900-9.00%-6.71%-16.38%
2001102.52%3.62%10.91%$8,998$8,000$6,5442.52%3.62%10.91%
2001117.63%8.85%14.94%$9,685$8,708$7,5227.63%8.85%14.94%
2001121.78%0.16%-2.20%$9,858$8,721$7,3561.78%0.16%-2.20%
20021-1.24%-0.19%-1.08%$9,735$8,705$7,277-1.24%-0.19%-1.08%
20022-2.05%-2.96%-13.02%$9,536$8,447$6,330-2.05%-2.96%-13.02%
200234.38%2.34%4.94%$9,954$8,645$6,6424.38%2.34%4.94%
20024-4.90%-7.15%-12.09%$9,466$8,027$5,839-4.90%-7.15%-12.09%
20025-1.22%-1.98%-4.15%$9,351$7,868$5,597-1.22%-1.98%-4.15%
20026-7.06%-8.03%-13.36%$8,690$7,236$4,849-7.06%-8.03%-13.36%
20027-8.02%-4.72%-9.48%$7,993$6,895$4,389-8.02%-4.72%-9.48%
200280.53%0.62%-0.84%$8,036$6,938$4,3530.53%0.62%-0.84%
20029-10.07%-10.37%-16.69%$7,227$6,218$3,626-10.07%-10.37%-16.69%
2002107.65%9.20%24.77%$7,779$6,790$4,5247.65%9.20%24.77%
2002116.06%4.85%15.85%$8,251$7,120$5,2416.06%4.85%15.85%
200212-5.57%-6.51%-13.22%$7,792$6,656$4,549-5.57%-6.51%-13.22%
20031-2.54%-2.56%-2.36%$7,594$6,486$4,441-2.54%-2.56%-2.36%
20032-1.69%-0.31%0.48%$7,465$6,466$4,463-1.69%-0.31%0.48%
200331.09%2.01%-1.52%$7,547$6,596$4,3951.09%2.01%-1.52%
200348.21%6.75%9.16%$8,166$7,041$4,7988.21%6.75%9.16%
200356.11%3.28%8.58%$8,665$7,272$5,2096.11%3.28%8.58%
200361.43%1.19%0.71%$8,789$7,359$5,2461.43%1.19%0.71%
200372.36%2.64%3.10%$8,996$7,554$5,4092.36%2.64%3.10%
200382.39%2.31%4.77%$9,211$7,728$5,6672.39%2.31%4.77%
20039-1.15%-1.69%-0.87%$9,105$7,597$5,618-1.15%-1.69%-0.87%
2003106.12%6.19%7.33%$9,662$8,068$6,0306.12%6.19%7.33%
2003111.38%0.92%1.43%$9,796$8,141$6,1161.38%0.92%1.43%
2003124.48%2.96%3.14%$10,235$8,382$6,3084.48%2.96%3.14%
200412.23%2.25%4.27%$10,463$8,570$6,5772.23%2.25%4.27%
200421.43%0.86%-2.54%$10,613$8,644$6,4101.43%0.86%-2.54%
20043-1.07%-1.59%-2.66%$10,499$8,507$6,240-1.07%-1.59%-2.66%
20044-2.11%-1.50%-3.82%$10,278$8,379$6,002-2.11%-1.50%-3.82%
200451.35%1.93%3.92%$10,416$8,540$6,2371.35%1.93%3.92%
200462.09%1.11%2.73%$10,633$8,635$6,4072.09%1.11%2.73%
20047-3.80%-5.51%-6.09%$10,229$8,159$6,017-3.80%-5.51%-6.09%
200480.31%-0.66%-4.42%$10,261$8,105$5,7510.31%-0.66%-4.42%
200491.74%1.33%2.91%$10,439$8,213$5,9181.74%1.33%2.91%
2004101.68%1.56%4.39%$10,614$8,342$6,1781.68%1.56%4.39%
2004114.68%3.85%5.11%$11,111$8,663$6,4944.68%3.85%5.11%
2004123.63%3.73%2.63%$11,515$8,986$6,6643.63%3.73%2.63%
20051-2.68%-3.03%-5.64%$11,207$8,713$6,289-2.68%-3.03%-5.64%
200522.07%1.13%0.15%$11,439$8,812$6,2982.07%1.13%0.15%
20053-1.75%-1.66%-1.95%$11,239$8,666$6,175-1.75%-1.66%-1.95%
20054-2.32%-2.40%-3.53%$10,978$8,458$5,957-2.32%-2.40%-3.53%
200553.77%4.84%6.94%$11,392$8,867$6,3713.77%4.84%6.94%
200560.81%-0.19%-1.29%$11,485$8,850$6,2890.81%-0.19%-1.29%
200574.11%4.63%5.67%$11,956$9,260$6,6454.11%4.63%5.67%
20058-0.94%-1.29%-0.95%$11,843$9,140$6,582-0.94%-1.29%-0.95%
200590.86%0.30%0.24%$11,945$9,168$6,5980.86%0.30%0.24%
200510-1.86%-0.86%-2.30%$11,722$9,089$6,446-1.86%-0.86%-2.30%
2005113.97%4.33%6.32%$12,188$9,482$6,8543.97%4.33%6.32%
2005120.14%-0.42%-3.07%$12,204$9,443$6,6430.14%-0.42%-3.07%
200613.50%2.47%3.35%$12,631$9,676$6,8663.50%2.47%3.35%
200620.00%-0.64%0.23%$12,631$9,614$6,8820.00%-0.64%0.23%
200631.80%1.46%2.26%$12,859$9,755$7,0371.80%1.46%2.26%
200641.11%-0.04%-1.31%$13,002$9,751$6,9451.11%-0.04%-1.31%
20065-3.23%-3.56%-6.50%$12,581$9,404$6,494-3.23%-3.56%-6.50%
200660.17%-0.36%-0.49%$12,603$9,370$6,4620.17%-0.36%-0.49%
20067-0.13%-2.02%-2.61%$12,586$9,181$6,294-0.13%-2.02%-2.61%
200682.31%3.00%7.02%$12,877$9,456$6,7352.31%3.00%7.02%
200692.27%2.84%4.03%$13,169$9,725$7,0072.27%2.84%4.03%
2006103.53%3.44%3.95%$13,634$10,060$7,2843.53%3.44%3.95%
2006112.23%2.19%2.84%$13,939$10,280$7,4912.23%2.19%2.84%
2006121.13%0.13%-0.54%$14,097$10,294$7,4511.13%0.13%-0.54%
200711.88%2.69%2.02%$14,362$10,570$7,6011.88%2.69%2.02%
20072-1.61%-2.00%-2.70%$14,130$10,359$7,396-1.61%-2.00%-2.70%
200731.11%0.56%1.00%$14,287$10,418$7,4701.11%0.56%1.00%
200744.01%4.32%4.72%$14,860$10,868$7,8224.01%4.32%4.72%
200753.69%3.47%5.04%$15,408$11,246$8,2163.69%3.47%5.04%
20076-1.67%-1.20%-0.13%$15,150$11,111$8,206-1.67%-1.20%-0.13%
20077-3.41%-1.59%-0.20%$14,634$10,934$8,190-3.41%-1.59%-0.20%
200781.45%1.68%1.92%$14,846$11,118$8,3471.45%1.68%1.92%
200793.59%4.28%3.78%$15,379$11,594$8,6623.59%4.28%3.78%
2007101.85%3.21%5.30%$15,664$11,966$9,1221.85%3.21%5.30%
200711-4.49%-3.34%-7.54%$14,961$11,566$8,434-4.49%-3.34%-7.54%
200712-0.60%0.18%1.99%$14,871$11,587$8,602-0.60%0.18%1.99%
20081-6.08%-7.94%-12.79%$13,967$10,667$7,502-6.08%-7.94%-12.79%
20082-3.07%-1.41%-4.73%$13,538$10,517$7,147-3.07%-1.41%-4.73%
20083-0.58%-0.83%1.16%$13,459$10,429$7,229-0.58%-0.83%1.16%
200845.02%5.83%6.25%$14,135$11,037$7,6815.02%5.83%6.25%
200852.09%3.67%6.51%$14,430$11,442$8,1812.09%3.67%6.51%
20086-8.19%-6.72%-9.36%$13,248$10,673$7,415-8.19%-6.72%-9.36%
20087-0.77%-1.84%-2.44%$13,146$10,477$7,234-0.77%-1.84%-2.44%
200881.58%1.17%1.79%$13,354$10,600$7,3641.58%1.17%1.79%
20089-9.26%-11.43%-12.45%$12,117$9,389$6,447-9.26%-11.43%-12.45%
200810-17.63%-17.71%-16.12%$9,981$7,726$5,407-17.63%-17.71%-16.12%
200811-7.90%-8.58%-8.41%$9,192$7,063$4,953-7.90%-8.58%-8.41%
2008121.86%1.19%1.59%$9,363$7,147$5,0311.86%1.19%1.59%
20091-8.26%-4.58%-4.74%$8,590$6,819$4,793-8.26%-4.58%-4.74%
20092-10.45%-7.33%-3.81%$7,692$6,319$4,610-10.45%-7.33%-3.81%
200938.65%8.30%11.19%$8,358$6,844$5,1268.65%8.30%11.19%
2009410.61%9.19%10.44%$9,244$7,473$5,66110.61%9.19%10.44%
200955.38%4.35%2.32%$9,742$7,798$5,7925.38%4.35%2.32%
200960.34%1.44%3.63%$9,775$7,911$6,0030.34%1.44%3.63%
200977.82%7.08%8.18%$10,540$8,471$6,4947.82%7.08%8.18%
200983.63%1.97%1.62%$10,922$8,638$6,5993.63%1.97%1.62%
200994.23%4.53%4.63%$11,384$9,029$6,9054.23%4.53%4.63%
200910-2.57%-1.38%-1.25%$11,091$8,904$6,819-2.57%-1.38%-1.25%
2009115.63%5.83%5.53%$11,715$9,423$7,1965.63%5.83%5.53%
2009122.86%3.37%5.80%$12,050$9,741$7,6132.86%3.37%5.80%
20101-3.50%-4.58%-8.59%$11,629$9,295$6,959-3.50%-4.58%-8.59%
201023.36%3.76%3.48%$12,019$9,644$7,2023.36%3.76%3.48%
201036.27%5.90%6.84%$12,773$10,213$7,6946.27%5.90%6.84%
201042.17%1.54%1.26%$13,051$10,370$7,7912.17%1.54%1.26%
20105-8.00%-8.27%-7.48%$12,006$9,513$7,208-8.00%-8.27%-7.48%
20106-5.66%-5.70%-5.40%$11,327$8,971$6,819-5.66%-5.70%-5.40%
201076.99%7.43%7.45%$12,119$9,637$7,3276.99%7.43%7.45%
20108-4.75%-4.72%-5.61%$11,543$9,182$6,916-4.75%-4.72%-5.61%
201099.47%10.76%11.66%$12,636$10,170$7,7229.47%10.76%11.66%
2010103.94%5.13%5.78%$13,135$10,691$8,1693.94%5.13%5.78%
2010110.58%0.94%-1.64%$13,210$10,792$8,0340.58%0.94%-1.64%
2010126.81%5.57%5.55%$14,110$11,392$8,4816.81%5.57%5.55%
201112.19%1.87%3.18%$14,418$11,605$8,7502.19%1.87%3.18%
201123.60%2.73%2.19%$14,937$11,922$8,9423.60%2.73%2.19%
201130.45%0.29%-1.55%$15,004$11,957$8,8030.45%0.29%-1.55%
201142.99%3.05%2.61%$15,453$12,322$9,0332.99%3.05%2.61%
20115-1.16%-0.70%-1.05%$15,273$12,235$8,938-1.16%-0.70%-1.05%
20116-1.79%-1.39%-2.48%$15,000$12,065$8,716-1.79%-1.39%-2.48%
20117-2.28%-0.69%0.43%$14,658$11,982$8,754-2.28%-0.69%0.43%
20118-5.99%-5.62%-5.31%$13,779$11,308$8,289-5.99%-5.62%-5.31%
20119-7.75%-7.60%-3.07%$12,711$10,448$8,034-7.75%-7.60%-3.07%
20111011.51%11.79%10.21%$14,173$11,680$8,85511.51%11.79%10.21%
201111-0.29%-0.16%-1.50%$14,133$11,662$8,722-0.29%-0.16%-1.50%
2011120.80%-0.64%-0.23%$14,246$11,587$8,7020.80%-0.64%-0.23%
201215.08%6.26%6.21%$14,969$12,312$9,2425.08%6.26%6.21%
201224.26%4.88%7.10%$15,607$12,914$9,8994.26%4.88%7.10%
201233.07%3.38%4.51%$16,085$13,351$10,3453.07%3.38%4.51%
20124-0.65%-0.30%-1.13%$15,980$13,311$10,229-0.65%-0.30%-1.13%
20125-6.24%-6.40%-6.34%$14,984$12,459$9,580-6.24%-6.40%-6.34%
201263.91%2.95%3.26%$15,569$12,827$9,8933.91%2.95%3.26%
201271.03%1.29%1.84%$15,730$12,992$10,0751.03%1.29%1.84%
201282.48%3.33%4.20%$16,121$13,424$10,4992.48%3.33%4.20%
201292.58%2.03%1.53%$16,536$13,696$10,6602.58%2.03%1.53%
201210-1.76%-3.09%-6.36%$16,245$13,274$9,982-1.76%-3.09%-6.36%
2012110.74%1.97%0.90%$16,365$13,534$10,0720.74%1.97%0.90%
2012121.19%0.07%-0.39%$16,561$13,544$10,0331.19%0.07%-0.39%
201315.50%4.37%1.91%$17,472$14,135$10,2245.50%4.37%1.91%
201321.28%0.99%0.78%$17,695$14,275$10,3041.28%0.99%0.78%
201333.88%3.64%2.58%$18,382$14,794$10,5703.88%3.64%2.58%
201341.70%1.53%1.75%$18,694$15,020$10,7551.70%1.53%1.75%
201352.32%1.68%2.79%$19,128$15,272$11,0552.32%1.68%2.79%
20136-1.27%-1.99%-2.89%$18,885$14,968$10,736-1.27%-1.99%-2.89%
201375.49%5.31%3.73%$19,921$15,763$11,1365.49%5.31%3.73%
20138-2.82%-1.72%-1.04%$19,358$15,492$11,020-2.82%-1.72%-1.04%
201393.66%4.76%2.54%$20,067$16,230$11,3003.66%4.76%2.54%
2013104.22%4.25%5.02%$20,915$16,919$11,8684.22%4.25%5.02%
2013112.88%2.38%3.09%$21,518$17,322$12,2342.88%2.38%3.09%
2013122.63%3.34%3.53%$22,084$17,900$12,6662.63%3.34%3.53%
20141-3.11%-2.99%-2.57%$21,398$17,365$12,340-3.11%-2.99%-2.57%
201424.73%5.53%4.39%$22,410$18,326$12,8824.73%5.53%4.39%
201430.51%-1.58%0.43%$22,525$18,036$12,9380.51%-1.58%0.43%
201440.06%0.08%0.28%$22,540$18,051$12,9740.06%0.08%0.28%
201452.17%3.53%3.76%$23,029$18,689$13,4612.17%3.53%3.76%
201462.54%2.42%1.87%$23,614$19,140$13,7132.54%2.42%1.87%
20147-1.98%-1.65%1.69%$23,146$18,825$13,946-1.98%-1.65%1.69%
201484.18%4.71%3.28%$24,114$19,712$14,4034.18%4.71%3.28%
20149-2.14%-1.91%-0.52%$23,599$19,335$14,329-2.14%-1.91%-0.52%
2014102.74%3.04%1.60%$24,246$19,922$14,5592.74%3.04%1.60%
2014112.41%2.97%4.81%$24,830$20,514$15,2592.41%2.97%4.81%
201412-0.01%-0.99%-2.18%$24,829$20,310$14,927-0.01%-0.99%-2.18%
20151-2.77%-1.49%-3.51%$24,140$20,008$14,403-2.77%-1.49%-3.51%
201525.76%6.29%7.99%$25,531$21,267$15,5555.76%6.29%7.99%
20153-1.04%-1.25%-3.44%$25,267$21,002$15,020-1.04%-1.25%-3.44%
201540.42%-0.07%2.75%$25,373$20,986$15,4330.42%-0.07%2.75%
201551.39%1.45%1.86%$25,726$21,290$15,7201.39%1.45%1.86%
20156-1.71%-1.60%-4.11%$25,286$20,949$15,074-1.71%-1.60%-4.11%
201571.63%3.17%2.85%$25,699$21,614$15,5031.63%3.17%2.85%
20158-6.03%-6.26%-5.52%$24,150$20,261$14,648-6.03%-6.26%-5.52%
20159-2.93%-2.86%-1.34%$23,442$19,681$14,451-2.93%-2.86%-1.34%
2015107.84%8.93%10.48%$25,280$21,438$15,9657.84%8.93%10.48%
2015110.54%0.14%0.71%$25,417$21,469$16,0790.54%0.14%0.71%
201512-2.03%-2.40%-2.07%$24,902$20,954$15,746-2.03%-2.40%-2.07%
20161-5.67%-5.93%-3.71%$23,489$19,711$15,161-5.67%-5.93%-3.71%
20162-0.04%-0.45%-0.65%$23,479$19,623$15,062-0.04%-0.45%-0.65%
201637.01%7.11%8.82%$25,126$21,019$16,3917.01%7.11%8.82%
201640.63%-0.77%-5.03%$25,283$20,857$15,5670.63%-0.77%-5.03%
201651.79%2.45%4.89%$25,736$21,368$16,3281.79%2.45%4.89%
201660.23%-0.67%-1.37%$25,795$21,225$16,1030.23%-0.67%-1.37%
201673.95%4.78%7.10%$26,813$22,240$17,2473.95%4.78%7.10%
201680.26%-0.35%1.16%$26,883$22,164$17,4470.26%-0.35%1.16%
201690.15%0.66%2.10%$26,923$22,310$17,8140.15%0.66%2.10%
201610-2.21%-2.66%-0.75%$26,327$21,716$17,680-2.21%-2.66%-0.75%
2016114.44%1.19%0.17%$27,495$21,974$17,7104.44%1.19%0.17%
2016121.92%1.07%2.26%$28,023$22,210$18,1111.92%1.07%2.26%
201711.91%3.65%3.56%$28,557$23,020$18,7551.91%3.65%3.56%
201723.71%4.34%4.53%$29,617$24,020$19,6053.71%4.34%4.53%
201730.07%1.30%2.23%$29,637$24,333$20,0410.07%1.30%2.23%
201741.05%2.30%2.01%$29,948$24,893$20,4441.05%2.30%2.01%
201751.01%2.81%3.95%$30,249$25,592$21,2521.01%2.81%3.95%
201760.92%-0.48%-2.81%$30,528$25,469$20,6540.92%-0.48%-2.81%
201771.87%2.52%4.46%$31,098$26,112$21,5751.87%2.52%4.46%
201780.15%1.19%2.92%$31,143$26,424$22,2060.15%1.19%2.92%
201792.45%1.04%0.82%$31,907$26,697$22,3872.45%1.04%0.82%
2017102.16%2.85%6.51%$32,596$27,459$23,8452.16%2.85%6.51%
2017113.04%2.50%1.41%$33,588$28,146$24,1833.04%2.50%1.41%
2017120.99%0.73%0.54%$33,922$28,350$24,3140.99%0.73%0.54%
201815.31%6.85%7.04%$35,722$30,294$26,0245.31%6.85%7.04%
20182-3.72%-2.91%-0.41%$34,395$29,412$25,918-3.72%-2.91%-0.41%
20183-1.99%-2.51%-3.73%$33,709$28,674$24,950-1.99%-2.51%-3.73%
201840.38%0.27%0.06%$33,837$28,753$24,9660.38%0.27%0.06%
201852.79%4.36%6.78%$34,781$30,005$26,6592.79%4.36%6.78%
201860.68%1.18%-0.26%$35,017$30,358$26,5890.68%1.18%-0.26%
201873.34%2.49%2.09%$36,186$31,114$27,1443.34%2.49%2.09%
201883.44%4.69%6.60%$37,431$32,574$28,9353.44%4.69%6.60%
201890.16%0.43%-0.02%$37,491$32,714$28,9300.16%0.43%-0.02%
201810-7.40%-9.03%-8.00%$34,716$29,758$26,614-7.40%-9.03%-8.00%
2018112.06%0.65%-1.96%$35,432$29,951$26,0922.06%0.65%-1.96%
201812-9.29%-8.62%-8.36%$32,139$27,369$23,910-9.29%-8.62%-8.36%
201918.59%9.31%6.94%$34,898$29,916$25,5688.59%9.31%6.94%
201923.50%3.64%6.91%$36,120$31,005$27,3353.50%3.64%6.91%
201931.44%3.15%4.76%$36,639$31,982$28,6381.44%3.15%4.76%
201943.98%4.71%6.36%$38,096$33,487$30,4603.98%4.71%6.36%
20195-6.45%-6.34%-8.66%$35,639$31,363$27,821-6.45%-6.34%-8.66%
201966.97%6.78%8.94%$38,123$33,488$30,3086.97%6.78%8.94%
201971.44%2.26%3.50%$38,671$34,244$31,3691.44%2.26%3.50%
20198-2.03%-0.50%-1.54%$37,888$34,073$30,887-2.03%-0.50%-1.54%
201991.70%0.22%1.58%$38,534$34,149$31,3741.70%0.22%1.58%
2019102.10%2.49%3.90%$39,341$34,998$32,5972.10%2.49%3.90%
2019113.77%3.98%5.37%$40,825$36,389$34,3473.77%3.98%5.37%
2019122.85%3.10%4.32%$41,989$37,518$35,8302.85%3.10%4.32%
20201-0.08%3.08%3.99%$41,957$38,673$37,260-0.08%3.08%3.99%
20202-8.18%-6.49%-7.30%$38,526$36,163$34,540-8.18%-6.49%-7.30%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value37.52%0.00%0.00%
Large-cap Growth43.91%80.38%98.30%
Mid-cap Value4.51%0.00%0.00%
Mid-cap Growth7.60%18.16%0.00%
Small-cap Value2.13%0.00%0.00%
Small-cap Growth3.43%0.00%0.00%
Global ex-US Developed Markets0.41%0.00%0.00%
Emerging Markets0.48%1.46%1.70%
REITs0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.87%98.29%86.34%
Style analysis is based on monthly returns from Apr 2005 to Feb 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$28,526100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VIGRXVanguard Growth Index InvestorLarge Growth0.17%100.00%$26,163100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
XLKTechnology Select Sector SPDR ETFTechnology0.13%100.00%$24,540100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/04/2020. (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 3
Arithmetic Mean (monthly)0.63%0.61%0.71%
Arithmetic Mean (annualized)7.78%7.57%8.89%
Geometric Mean (monthly)0.53%0.51%0.49%
Geometric Mean (annualized)6.58%6.26%6.03%
Volatility (monthly)4.31%4.51%6.63%
Volatility (annualized)14.93%15.63%22.98%
Downside Deviation (monthly)3.00%3.12%4.59%
Max. Drawdown-50.89%-53.58%-80.47%
US Market Correlation1.000.960.85
Beta(*)1.001.001.31
Alpha (annualized)0.00%-0.22%-1.29%
R2100.00%91.99%72.42%
Sharpe Ratio0.380.350.29
Sortino Ratio0.540.500.42
Treynor Ratio (%)5.725.515.16
Calmar Ratio0.640.891.20
Active Return0.00%-0.32%-0.55%
Tracking Error0.00%4.42%12.92%
Information Ratio0.01-0.07-0.04
Skewness-0.64-0.57-0.38
Excess Kurtosis1.040.881.74
Historical Value-at-Risk (5%)-8.01%-7.97%-12.12%
Analytical Value-at-Risk (5%)-6.46%-6.81%-10.20%
Conditional Value-at-Risk (5%)-9.81%-10.28%-15.80%
Upside Capture Ratio (%)100.0099.16129.85
Downside Capture Ratio (%)100.00100.49133.92
Safe Withdrawal Rate5.56%4.57%3.52%
Perpetual Withdrawal Rate4.16%3.87%3.66%
Positive Periods162 out of 254 (63.78%)151 out of 254 (59.45%)150 out of 254 (59.06%)
Gain/Loss Ratio0.810.970.92
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Dotcom CrashMar 2000Oct 2002-44.11%-53.58%-80.47%
Subprime CrisisNov 2007Mar 2009-50.89%-47.19%-49.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Jan 2020Feb 20202 months-8.25%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8May 2019May 20191 monthJun 20191 month2 months-6.45%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsAug 20129 years 11 months12 years 5 months-53.58%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-16.34%
3Aug 2015Feb 20167 monthsJul 20165 months1 year-9.21%
4Jan 2000Jan 20001 monthMar 20002 months3 months-6.67%
5Feb 2020Feb 20201 month-6.49%
6May 2019May 20191 monthJun 20191 month2 months-6.34%
7Feb 2018Mar 20182 monthsJun 20183 months5 months-5.35%
8Feb 1999Feb 19991 monthMar 19991 month2 months-3.93%
9Jul 1999Sep 19993 monthsOct 19991 month4 months-3.52%
10Apr 1999May 19992 monthsJun 19991 month3 months-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsJan 201714 years 4 months16 years 10 months-80.47%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-17.37%
3Feb 1999Feb 19991 monthJun 19994 months5 months-9.92%
4May 2019May 20191 monthJul 20192 months3 months-8.66%
5Feb 2020Feb 20201 month-7.30%
6Jan 2000Jan 20001 monthFeb 20001 month2 months-6.15%
7Feb 2018Mar 20182 monthsMay 20182 months4 months-4.13%
8Jun 2017Jun 20171 monthJul 20171 month2 months-2.81%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.54%
10Jul 1999Jul 19991 monthAug 19991 month2 months-1.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv6.58%14.93%33.35%-37.04%-50.89%0.380.541.00
VIGRXVanguard Growth Index Investor6.26%15.63%37.08%-38.32%-53.58%0.350.500.96
XLKTechnology Select Sector SPDR ETF6.03%22.98%65.14%-41.88%-80.47%0.290.420.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVIGRXXLKPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.000.960.851.000.960.85
VIGRXVanguard Growth Index Investor0.961.000.900.961.000.90
XLKTechnology Select Sector SPDR ETF0.850.901.000.850.901.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$28,526
VIGRXVanguard Growth Index Investor$26,163
XLKTechnology Select Sector SPDR ETF$24,540

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VIGRXVanguard Growth Index Investor100.00%
XLKTechnology Select Sector SPDR ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.72%33.35%-37.04%8.54%37.08%-38.32%10.45%65.14%-41.88%
3 years6.77%20.34%-14.31%6.17%20.57%-19.74%5.75%25.54%-34.94%
5 years7.16%18.72%-1.76%6.59%20.16%-6.94%6.27%20.28%-16.60%
7 years7.26%15.00%-0.73%6.85%16.61%-3.15%6.49%19.94%-10.75%
10 years6.55%13.30%-0.66%6.36%14.44%-3.30%6.09%16.87%-7.45%
15 years7.17%10.30%4.75%6.69%10.14%3.09%6.21%11.87%-0.67%
Result statistics are based on annualized rolling returns over full calendar year periods