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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Portfolio Analysis Results (Jan 2004 - Aug 2021)

Portfolio Allocations

Invesco S&P 500 Equal Weight ETF
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 100.00%
Save portfolio »
Vanguard 500 Index Investor
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Invesco S&P 500 Equal Weight ETF$10,000$59,976 10.67% 16.72%44.64%-40.07%-55.58% 0.620.920.98
Vanguard 500 Index Investor$10,000$56,899 10.34% 14.24%32.18%-37.02%-50.97% 0.681.001.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Invesco S&P 500 Equal Weight ETF3.72%23.46%41.85%15.48%15.18%14.93%10.67%21.67%17.31%
Vanguard 500 Index Investor7.91%21.47%31.00%17.92%17.86%16.18%10.34%18.48%14.97%
Trailing annualized return and volatility are for full months ending in August 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to August
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationInvesco S&P 500 Equal Weight ETFVanguard 500 Index InvestorInvesco S&P 500 Equal Weight ETF (RSP)Vanguard 500 Index Investor (VFINX)
ReturnBalanceYieldIncomeReturnBalanceYieldIncome
20043.26%16.48%$11,6481.09%$10910.74%$11,0741.91%$19116.48%10.74%
20053.42%7.41%$12,5111.12%$1314.77%$11,6031.79%$1987.41%4.77%
20062.54%15.46%$14,4451.27%$15815.64%$13,4181.87%$21815.46%15.64%
20074.08%0.90%$14,5751.30%$1875.39%$14,1401.92%$2580.90%5.39%
20080.09%-40.07%$8,7351.38%$201-37.02%$8,9061.87%$264-40.07%-37.02%
20092.72%44.64%$12,6341.90%$16626.49%$11,2642.56%$22844.64%26.49%
20101.50%21.37%$15,3341.52%$19214.91%$12,9441.93%$21721.37%14.91%
20112.96%-0.67%$15,2311.52%$2331.97%$13,1991.95%$253-0.67%1.97%
20121.74%17.16%$17,8451.90%$28915.82%$15,2872.35%$31017.16%15.82%
20131.50%35.54%$24,1861.71%$30632.18%$20,2062.26%$34635.54%32.18%
20140.76%14.06%$27,5881.64%$39813.51%$22,9351.95%$39414.06%13.51%
20150.73%-2.66%$26,8541.64%$4521.25%$23,2221.99%$456-2.66%1.25%
20162.07%14.50%$30,7491.36%$36511.82%$25,9662.13%$49414.50%11.82%
20172.11%18.51%$36,4411.79%$55021.67%$31,5922.04%$52918.51%21.67%
20181.91%-7.82%$33,5911.84%$671-4.52%$30,1631.84%$580-7.82%-4.52%
20192.29%28.91%$43,3002.16%$72531.33%$39,6122.30%$69528.91%31.33%
20201.36%12.19%$48,5791.39%$60218.25%$46,8401.69%$67012.19%18.25%
20215.03%23.46%$59,9760.84%$40721.47%$56,8990.69%$32523.46%21.47%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthInvesco S&P 500 Equal Weight ETFVanguard 500 Index InvestorInvesco S&P 500 Equal Weight ETF (RSP)Vanguard 500 Index Investor (VFINX)
ReturnBalanceReturnBalance
200412.37%$10,2371.82%$10,1822.37%1.82%
200421.90%$10,4321.38%$10,3221.90%1.38%
20043-0.68%$10,361-1.51%$10,166-0.68%-1.51%
20044-2.36%$10,117-1.58%$10,006-2.36%-1.58%
200451.75%$10,2941.36%$10,1421.75%1.36%
200463.04%$10,6061.93%$10,3373.04%1.93%
20047-4.58%$10,121-3.31%$9,995-4.58%-3.31%
20048-0.10%$10,1110.38%$10,033-0.10%0.38%
200492.57%$10,3701.07%$10,1402.57%1.07%
2004102.37%$10,6161.51%$10,2942.37%1.51%
2004115.79%$11,2324.05%$10,7115.79%4.05%
2004123.71%$11,6483.39%$11,0743.71%3.39%
20051-3.08%$11,289-2.45%$10,802-3.08%-2.45%
200522.13%$11,5292.09%$11,0282.13%2.09%
20053-1.36%$11,372-1.76%$10,834-1.36%-1.76%
20054-3.20%$11,009-1.91%$10,627-3.20%-1.91%
200554.50%$11,5043.17%$10,9644.50%3.17%
200561.54%$11,6810.13%$10,9781.54%0.13%
200575.11%$12,2773.71%$11,3855.11%3.71%
20058-0.87%$12,170-0.91%$11,281-0.87%-0.91%
200590.50%$12,2300.79%$11,3700.50%0.79%
200510-2.68%$11,903-1.68%$11,179-2.68%-1.68%
2005114.55%$12,4443.76%$11,6004.55%3.76%
2005120.53%$12,5110.02%$11,6030.53%0.02%
200614.03%$13,0142.65%$11,9104.03%2.65%
200620.34%$13,0580.26%$11,9410.34%0.26%
200632.10%$13,3321.23%$12,0882.10%1.23%
200640.86%$13,4471.33%$12,2490.86%1.33%
20065-2.97%$13,048-2.90%$11,894-2.97%-2.90%
20066-0.28%$13,0110.13%$11,910-0.28%0.13%
20067-1.33%$12,8390.61%$11,982-1.33%0.61%
200682.74%$13,1902.36%$12,2652.74%2.36%
200692.39%$13,5062.56%$12,5792.39%2.56%
2006103.76%$14,0143.25%$12,9883.76%3.25%
2006112.50%$14,3641.89%$13,2332.50%1.89%
2006120.57%$14,4451.39%$13,4180.57%1.39%
200712.41%$14,7931.49%$13,6182.41%1.49%
20072-0.47%$14,723-1.97%$13,350-0.47%-1.97%
200730.82%$14,8441.11%$13,4980.82%1.11%
200744.41%$15,4984.42%$14,0954.41%4.42%
200753.24%$16,0003.48%$14,5853.24%3.48%
20076-1.86%$15,703-1.68%$14,340-1.86%-1.68%
20077-4.51%$14,994-3.08%$13,898-4.51%-3.08%
200780.08%$15,0071.50%$14,1060.08%1.50%
200792.49%$15,3803.72%$14,6312.49%3.72%
2007101.12%$15,5521.58%$14,8621.12%1.58%
200711-4.65%$14,829-4.19%$14,240-4.65%-4.19%
200712-1.72%$14,575-0.70%$14,140-1.72%-0.70%
20081-4.30%$13,948-6.02%$13,290-4.30%-6.02%
20082-3.01%$13,528-3.25%$12,858-3.01%-3.25%
20083-1.86%$13,276-0.44%$12,801-1.86%-0.44%
200845.72%$14,0364.85%$13,4225.72%4.85%
200852.65%$14,4081.29%$13,5962.65%1.29%
20086-9.84%$12,991-8.44%$12,449-9.84%-8.44%
20087-0.50%$12,925-0.83%$12,345-0.50%-0.83%
200882.96%$13,3081.45%$12,5242.96%1.45%
20089-10.91%$11,856-8.91%$11,408-10.91%-8.91%
200810-20.91%$9,377-16.79%$9,493-20.91%-16.79%
200811-9.63%$8,474-7.17%$8,811-9.63%-7.17%
2008123.08%$8,7351.07%$8,9063.08%1.07%
20091-8.35%$8,006-8.41%$8,156-8.35%-8.41%
20092-11.22%$7,108-10.66%$7,287-11.22%-10.66%
2009310.26%$7,8378.76%$7,92510.26%8.76%
2009418.69%$9,3029.56%$8,68318.69%9.56%
200956.46%$9,9035.62%$9,1716.46%5.62%
20096-1.20%$9,7840.22%$9,191-1.20%0.22%
200979.19%$10,6837.58%$9,8879.19%7.58%
200985.65%$11,2863.60%$10,2435.65%3.60%
200995.29%$11,8833.72%$10,6245.29%3.72%
200910-3.70%$11,443-1.87%$10,426-3.70%-1.87%
2009115.54%$12,0775.98%$11,0495.54%5.98%
2009124.61%$12,6341.95%$11,2644.61%1.95%
20101-3.31%$12,216-3.60%$10,858-3.31%-3.60%
201024.19%$12,7273.09%$11,1944.19%3.09%
201037.22%$13,6466.01%$11,8677.22%6.01%
201042.65%$14,0081.58%$12,0542.65%1.58%
20105-7.37%$12,976-8.01%$11,089-7.37%-8.01%
20106-6.31%$12,158-5.24%$10,508-6.31%-5.24%
201077.35%$13,0527.00%$11,2447.35%7.00%
20108-4.76%$12,431-4.53%$10,734-4.76%-4.53%
2010910.19%$13,6988.92%$11,69210.19%8.92%
2010103.56%$14,1863.79%$12,1353.56%3.79%
2010110.82%$14,3020.00%$12,1350.82%0.00%
2010127.21%$15,3346.67%$12,9447.21%6.67%
201112.11%$15,6582.36%$13,2492.11%2.36%
201124.02%$16,2873.42%$13,7024.02%3.42%
201130.83%$16,4220.03%$13,7050.83%0.03%
201143.13%$16,9362.95%$14,1093.13%2.95%
20115-0.61%$16,832-1.15%$13,948-0.61%-1.15%
20116-1.80%$16,529-1.67%$13,715-1.80%-1.67%
20117-3.62%$15,931-2.05%$13,434-3.62%-2.05%
20118-6.35%$14,919-5.45%$12,702-6.35%-5.45%
20119-9.05%$13,569-7.04%$11,808-9.05%-7.04%
20111013.07%$15,34210.91%$13,09613.07%10.91%
201111-0.88%$15,208-0.23%$13,066-0.88%-0.23%
2011120.16%$15,2311.02%$13,1990.16%1.02%
201215.68%$16,0974.46%$13,7885.68%4.46%
201224.01%$16,7424.31%$14,3824.01%4.31%
201232.32%$17,1303.28%$14,8542.32%3.28%
20124-0.75%$17,002-0.64%$14,759-0.75%-0.64%
20125-6.99%$15,813-6.02%$13,870-6.99%-6.02%
201263.86%$16,4224.11%$14,4403.86%4.11%
201270.12%$16,4421.37%$14,6380.12%1.37%
201283.07%$16,9462.24%$14,9663.07%2.24%
201292.51%$17,3722.58%$15,3522.51%2.58%
201210-0.82%$17,229-1.86%$15,066-0.82%-1.86%
2012111.28%$17,4490.56%$15,1511.28%0.56%
2012122.27%$17,8450.90%$15,2872.27%0.90%
201316.51%$19,0065.18%$16,0796.51%5.18%
201320.97%$19,1901.34%$16,2940.97%1.34%
201334.36%$20,0283.74%$16,9034.36%3.74%
201341.69%$20,3671.91%$17,2261.69%1.91%
201352.69%$20,9152.33%$17,6262.69%2.33%
20136-1.23%$20,657-1.35%$17,388-1.23%-1.35%
201375.63%$21,8205.07%$18,2705.63%5.07%
20138-2.92%$21,183-2.91%$17,738-2.92%-2.91%
201394.11%$22,0543.12%$18,2924.11%3.12%
2013104.28%$22,9984.59%$19,1314.28%4.59%
2013112.22%$23,5093.03%$19,7102.22%3.03%
2013122.88%$24,1862.51%$20,2062.88%2.51%
20141-2.96%$23,470-3.47%$19,505-2.96%-3.47%
201425.34%$24,7234.56%$20,3955.34%4.56%
201430.61%$24,8730.82%$20,5630.61%0.82%
201440.38%$24,9680.72%$20,7110.38%0.72%
201452.16%$25,5072.33%$21,1952.16%2.33%
201462.86%$26,2362.05%$21,6302.86%2.05%
20147-2.33%$25,624-1.39%$21,330-2.33%-1.39%
201484.20%$26,7013.98%$22,1794.20%3.98%
20149-2.58%$26,011-1.41%$21,866-2.58%-1.41%
2014103.02%$26,7972.42%$22,3963.02%2.42%
2014112.66%$27,5112.68%$22,9962.66%2.68%
2014120.28%$27,588-0.26%$22,9350.28%-0.26%
20151-2.92%$26,781-3.02%$22,243-2.92%-3.02%
201525.73%$28,3155.74%$23,5205.73%5.74%
20153-0.96%$28,043-1.59%$23,145-0.96%-1.59%
201540.41%$28,1570.95%$23,3650.41%0.95%
201550.72%$28,3611.27%$23,6620.72%1.27%
20156-2.27%$27,718-1.93%$23,205-2.27%-1.93%
201570.96%$27,9852.08%$23,6880.96%2.08%
20158-5.46%$26,457-6.05%$22,255-5.46%-6.05%
20159-3.01%$25,660-2.48%$21,702-3.01%-2.48%
2015106.99%$27,4538.42%$23,5306.99%8.42%
2015110.30%$27,5360.29%$23,5980.30%0.29%
201512-2.48%$26,854-1.59%$23,222-2.48%-1.59%
20161-5.56%$25,362-4.98%$22,066-5.56%-4.98%
201620.99%$25,614-0.15%$22,0340.99%-0.15%
201637.98%$27,6586.78%$23,5277.98%6.78%
201641.25%$28,0030.37%$23,6151.25%0.37%
201651.36%$28,3841.78%$24,0361.36%1.78%
20166-0.06%$28,3650.25%$24,096-0.06%0.25%
201674.14%$29,5413.68%$24,9824.14%3.68%
201680.16%$29,5870.13%$25,0140.16%0.13%
201690.10%$29,6170.01%$25,0160.10%0.01%
201610-2.44%$28,894-1.83%$24,558-2.44%-1.83%
2016115.24%$30,4073.70%$25,4665.24%3.70%
2016121.13%$30,7491.96%$25,9661.13%1.96%
201712.01%$31,3671.88%$26,4552.01%1.88%
201723.13%$32,3503.96%$27,5033.13%3.96%
201730.02%$32,3570.10%$27,5310.02%0.10%
201740.66%$32,5711.02%$27,8110.66%1.02%
201750.56%$32,7521.39%$28,1990.56%1.39%
201761.16%$33,1340.61%$28,3711.16%0.61%
201771.60%$33,6632.04%$28,9511.60%2.04%
20178-1.00%$33,3270.29%$29,036-1.00%0.29%
201792.93%$34,3052.06%$29,6332.93%2.06%
2017101.09%$34,6782.32%$30,3201.09%2.32%
2017113.80%$35,9963.06%$31,2483.80%3.06%
2017121.24%$36,4411.10%$31,5921.24%1.10%
201814.38%$38,0395.71%$33,3974.38%5.71%
20182-4.39%$36,369-3.69%$32,163-4.39%-3.69%
20183-0.93%$36,033-2.56%$31,341-0.93%-2.56%
201840.37%$36,1670.37%$31,4580.37%0.37%
201851.45%$36,6922.39%$32,2111.45%2.39%
201860.97%$37,0480.61%$32,4060.97%0.61%
201873.10%$38,1973.71%$33,6083.10%3.71%
201881.96%$38,9463.25%$34,6991.96%3.25%
201890.17%$39,0130.55%$34,8920.17%0.55%
201810-7.25%$36,186-6.85%$32,502-7.25%-6.85%
2018112.61%$37,1322.03%$33,1612.61%2.03%
201812-9.54%$33,591-9.04%$30,163-9.54%-9.04%
201919.81%$36,8878.00%$32,5769.81%8.00%
201923.67%$38,2403.20%$33,6193.67%3.20%
201930.84%$38,5591.94%$34,2700.84%1.94%
201943.59%$39,9434.04%$35,6553.59%4.04%
20195-6.93%$37,174-6.36%$33,386-6.93%-6.36%
201967.55%$39,9827.03%$35,7347.55%7.03%
201970.84%$40,3191.43%$36,2430.84%1.43%
20198-3.27%$39,003-1.59%$35,667-3.27%-1.59%
201993.27%$40,2781.86%$36,3303.27%1.86%
2019101.23%$40,7732.15%$37,1131.23%2.15%
2019113.40%$42,1603.62%$38,4563.40%3.62%
2019122.70%$43,3003.01%$39,6122.70%3.01%
20201-1.88%$42,484-0.05%$39,592-1.88%-0.05%
20202-8.87%$38,716-8.24%$36,329-8.87%-8.24%
20203-17.97%$31,759-12.37%$31,834-17.97%-12.37%
2020414.43%$36,34012.81%$35,91414.43%12.81%
202054.75%$38,0674.76%$37,6224.75%4.76%
202061.46%$38,6231.98%$38,3661.46%1.98%
202074.99%$40,5525.63%$40,5254.99%5.63%
202084.27%$42,2827.18%$43,4334.27%7.18%
20209-2.95%$41,034-3.81%$41,778-2.95%-3.81%
202010-0.55%$40,806-2.67%$40,662-0.55%-2.67%
20201114.30%$46,64010.94%$45,10914.30%10.94%
2020124.16%$48,5793.84%$46,8404.16%3.84%
20211-0.82%$48,183-1.02%$46,362-0.82%-1.02%
202126.09%$51,1152.75%$47,6396.09%2.75%
202136.05%$54,2064.37%$49,7216.05%4.37%
202144.67%$56,7395.32%$52,3674.67%5.32%
202151.92%$57,8260.69%$52,7271.92%0.69%
202160.02%$57,8392.31%$53,9430.02%2.31%
202171.29%$58,5872.38%$55,2261.29%2.38%
202182.37%$59,9763.03%$56,8992.37%3.03%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
Large-cap Value37.65%46.28%
Large-cap Growth10.92%53.72%
Mid-cap Value28.68%0.00%
Mid-cap Growth18.03%0.00%
Small-cap Value0.22%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets2.04%0.00%
Emerging Markets2.47%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.02%99.91%
Style analysis is based on monthly returns from April 2005 to August 2021 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 Invesco S&P 500 Equal Weight ETF

Holdings Based Style Analysis for Invesco S&P 500 Equal Weight ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend100.00%1.28%0.20%22.23$49,976100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard 500 Index Investor

Holdings Based Style Analysis for Vanguard 500 Index Investor
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%1.18%0.14%25.31$46,899100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
Arithmetic Mean (monthly)0.97%0.91%
Arithmetic Mean (annualized)12.23%11.47%
Geometric Mean (monthly)0.85%0.82%
Geometric Mean (annualized)10.67%10.34%
Volatility (monthly)4.83%4.11%
Volatility (annualized)16.72%14.24%
Downside Deviation (monthly)3.21%2.75%
Max. Drawdown-55.58%-50.97%
US Market Correlation0.981.00
Beta(*)1.110.96
Alpha (annualized)-0.89%0.09%
R296.01%99.29%
Sharpe Ratio0.620.68
Sortino Ratio0.921.00
Treynor Ratio (%)9.3710.10
Calmar Ratio0.580.91
Active Return0.02%-0.31%
Tracking Error3.71%1.34%
Information Ratio0.01-0.23
Skewness-0.58-0.70
Excess Kurtosis3.552.13
Historical Value-at-Risk (5%)-7.30%-6.94%
Analytical Value-at-Risk (5%)-6.97%-5.85%
Conditional Value-at-Risk (5%)-11.24%-9.55%
Upside Capture Ratio (%)106.7596.18
Downside Capture Ratio (%)109.2196.51
Safe Withdrawal Rate9.04%8.18%
Perpetual Withdrawal Rate7.88%7.60%
Positive Periods143 out of 212 (67.45%)146 out of 212 (68.87%)
Gain/Loss Ratio0.840.80
* 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 PeriodStartEndInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-54.30%-50.97%
COVID-19 StartJan 2020Mar 2020-26.65%-19.63%

Drawdowns for Invesco S&P 500 Equal Weight ETF

Drawdowns for Invesco S&P 500 Equal Weight ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.58%
2Jan 2020Mar 20203 monthsNov 20208 months11 months-26.65%
3May 2011Sep 20115 monthsMar 20126 months11 months-19.88%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.90%
5Jun 2015Jan 20168 monthsMay 20164 months1 year-10.58%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.69%
7May 2019May 20191 monthJun 20191 month2 months-6.93%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-5.49%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.28%
10Jul 2004Aug 20042 monthsOct 20042 months4 months-4.67%
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%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
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
RSPInvesco S&P 500 Equal Weight ETF10.67%16.72%44.64%-40.07%-55.58%0.620.920.98
VFINXVanguard 500 Index Investor10.34%14.24%32.18%-37.02%-50.97%0.681.001.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameRSPVFINXInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
RSPInvesco S&P 500 Equal Weight ETF1.000.971.000.97
VFINXVanguard 500 Index Investor0.971.000.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
RSPInvesco S&P 500 Equal Weight ETF$49,976
VFINXVanguard 500 Index Investor$46,899

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
RSPInvesco S&P 500 Equal Weight ETF100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodInvesco S&P 500 Equal Weight ETFVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year11.74%79.06%-47.46%11.05%56.19%-43.32%
3 years9.50%33.05%-18.35%9.36%25.43%-15.18%
5 years9.51%28.31%-7.39%9.12%22.85%-6.73%
7 years10.47%20.10%3.91%9.94%17.12%2.20%
10 years10.59%18.33%6.90%10.06%16.52%6.32%
15 years9.17%10.65%7.09%9.07%10.77%7.45%