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 
Asset 1
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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 1992 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 125.00%
VFITX Vanguard Interm-Term Treasury Inv 250.00%
CASHX Cash -275.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 125.00%
VFITX Vanguard Interm-Term Treasury Inv 500.00%
CASHX Cash -525.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$2,573,686 20.51% 19.83%95.60%-22.87%-46.59% 0.931.540.79
Portfolio 2$10,000$14,088,036 27.60% 27.26%154.94%-37.28%-45.12% 0.951.630.50
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.34%15.03%31.73%32.86%24.91%25.77%20.51%21.47%17.94%
Portfolio 2-0.02%9.78%25.02%46.24%28.17%30.31%27.60%22.90%20.74%
Trailing annualized return and volatility are for full months ending in September 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 September
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
ReturnBalanceReturnBalance
19922.90%17.68%$11,76823.96%$12,3967.42%7.78%3.57%
19932.75%34.18%$15,79158.50%$19,6489.89%11.43%3.05%
19942.67%-19.80%$12,665-37.28%$12,3231.18%-4.33%4.20%
19952.54%95.60%$24,771154.94%$31,41737.45%20.44%5.71%
19963.32%17.78%$29,1767.33%$33,72122.88%1.92%5.17%
19971.70%51.22%$44,11961.01%$54,29433.19%8.96%5.22%
19981.61%55.91%$68,78877.23%$96,22528.62%10.61%4.97%
19992.68%2.81%$70,725-16.40%$80,44521.07%-3.52%4.77%
20003.39%5.79%$74,82026.45%$101,725-9.06%14.03%5.99%
20011.55%-4.76%$71,2615.43%$107,249-12.02%7.55%3.70%
20022.38%1.57%$72,38134.89%$144,672-22.15%14.15%1.65%
20031.88%39.43%$100,92042.72%$206,47028.50%2.37%1.04%
20043.26%18.63%$119,72322.27%$252,45610.74%3.40%1.32%
20053.42%2.78%$123,055-0.32%$251,6374.77%2.32%3.14%
20062.54%13.24%$139,3477.41%$270,28515.64%3.14%4.82%
20074.08%19.97%$167,17034.29%$362,9675.39%9.98%4.56%
20080.09%-22.87%$128,9420.51%$364,830-37.02%13.32%1.53%
20092.72%27.39%$164,25621.14%$441,94926.49%-1.69%0.16%
20101.50%41.74%$232,82465.27%$730,42914.91%7.35%0.14%
20112.96%30.51%$303,86562.70%$1,188,4241.97%9.80%0.07%
20121.74%27.90%$388,65135.96%$1,615,73215.82%2.67%0.08%
20131.50%30.74%$508,13620.33%$1,944,21532.18%-3.09%0.05%
20140.76%29.21%$656,57442.17%$2,764,10513.51%4.32%0.03%
20150.73%5.61%$693,3919.31%$3,021,3531.25%1.50%0.05%
20162.07%17.11%$812,02117.56%$3,551,76311.82%1.19%0.30%
20172.11%29.40%$1,050,78331.42%$4,667,81521.67%1.57%0.88%
20181.91%-7.51%$971,835-9.13%$4,241,428-4.52%1.00%1.90%
20192.29%52.80%$1,484,97566.70%$7,070,54131.33%6.29%2.13%
20201.36%50.66%$2,237,30981.50%$12,832,95318.25%8.21%0.44%
20215.31%15.03%$2,573,6869.78%$14,088,03615.81%-1.66%0.03%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
ReturnBalanceReturnBalance
19921-8.62%$9,138-14.81%$8,519-1.88%-2.15%0.33%
199222.08%$9,3282.76%$8,7541.24%0.52%0.32%
19923-5.91%$8,776-9.79%$7,898-1.93%-0.91%0.33%
199244.12%$9,1384.69%$8,2682.91%0.57%0.34%
199255.02%$9,5969.46%$9,0500.48%2.18%0.31%
199261.73%$9,7635.04%$9,506-1.49%1.82%0.31%
1992711.92%$10,92618.86%$11,2994.04%3.07%0.30%
19928-0.29%$10,8941.76%$11,498-2.07%1.20%0.27%
199294.71%$11,4087.52%$12,3631.17%1.73%0.26%
199210-4.49%$10,895-9.33%$11,2090.33%-1.71%0.23%
1992112.57%$11,1750.78%$11,2963.40%-0.46%0.25%
1992125.31%$11,7689.74%$12,3961.21%1.80%0.27%
199317.10%$12,60413.26%$14,0400.81%2.72%0.26%
199327.03%$13,49011.84%$15,7021.36%2.53%0.24%
199332.66%$13,8492.75%$16,1332.11%0.40%0.25%
19934-1.37%$13,6590.35%$16,190-2.42%0.93%0.24%
199352.22%$13,9621.20%$16,3842.65%-0.15%0.24%
199365.11%$14,6769.87%$18,0020.27%2.20%0.26%
19937-1.17%$14,504-1.75%$17,687-0.42%0.02%0.25%
199389.56%$15,89014.51%$20,2533.79%2.18%0.25%
19939-0.12%$15,8710.73%$20,400-0.79%0.62%0.25%
1993102.16%$16,2131.78%$20,7632.08%0.09%0.24%
199311-4.76%$15,442-8.24%$19,053-1.00%-1.16%0.25%
1993122.26%$15,7913.12%$19,6481.22%0.56%0.26%
199417.24%$16,93510.32%$21,6773.38%1.49%0.25%
19942-9.72%$15,289-15.65%$18,284-2.71%-2.46%0.25%
19943-13.14%$13,280-21.36%$14,379-4.39%-2.62%0.28%
19944-1.49%$13,082-4.53%$13,7281.29%-0.92%0.29%
199451.62%$13,2941.28%$13,9041.63%0.18%0.32%
19946-4.94%$12,637-6.87%$12,948-2.47%-0.33%0.35%
199477.40%$13,57110.78%$14,3453.28%1.70%0.35%
199484.68%$14,2064.41%$14,9774.08%0.30%0.36%
19949-7.87%$13,087-12.39%$13,121-2.45%-1.79%0.38%
1994101.07%$13,228-0.56%$13,0472.25%-0.26%0.39%
199411-6.69%$12,342-8.82%$11,897-3.65%-0.38%0.42%
1994122.61%$12,6653.58%$12,3231.46%0.79%0.47%
199516.80%$13,52610.49%$13,6162.58%1.94%0.47%
199529.52%$14,81414.02%$15,5253.88%2.58%0.49%
199533.47%$15,3283.44%$16,0582.95%0.57%0.48%
199546.25%$16,2868.94%$17,4942.94%1.56%0.48%
1995514.82%$18,69924.35%$21,7543.95%4.74%0.48%
199563.20%$19,2983.58%$22,5332.31%0.81%0.47%
199571.36%$19,560-1.30%$22,2403.30%-0.61%0.46%
199582.28%$20,0064.47%$23,2350.25%1.31%0.46%
199596.24%$21,2547.37%$24,9464.23%0.90%0.44%
1995102.75%$21,8386.06%$26,457-0.36%1.76%0.44%
1995118.59%$23,71311.61%$29,5304.38%1.82%0.45%
1995124.46%$24,7716.39%$31,4171.93%1.44%0.45%
199614.81%$25,9635.49%$33,1433.39%0.69%0.42%
19962-5.64%$24,499-12.23%$29,0900.92%-2.38%0.41%
19963-2.56%$23,873-6.72%$27,1360.98%-1.09%0.41%
19964-1.91%$23,417-5.53%$25,6341.46%-1.03%0.42%
199650.99%$23,649-1.23%$25,3192.54%-0.44%0.42%
199663.05%$24,3716.05%$26,8510.38%1.51%0.42%
19967-6.33%$22,827-7.04%$24,961-4.42%0.14%0.42%
199680.47%$22,933-1.63%$24,5552.10%-0.35%0.44%
1996910.97%$25,45015.26%$28,3015.61%1.91%0.43%
1996108.51%$27,61613.67%$32,1722.76%2.48%0.41%
19961112.66%$31,11215.73%$37,2347.56%2.04%0.42%
199612-6.22%$29,176-9.43%$33,721-1.96%-1.45%0.42%
199716.74%$31,1425.82%$35,6826.22%0.06%0.43%
199720.12%$31,179-0.65%$35,4500.79%0.10%0.42%
19973-9.28%$28,285-13.53%$30,654-4.14%-1.30%0.43%
1997410.27%$31,19013.21%$34,7035.96%1.61%0.44%
199758.13%$33,7248.82%$37,7636.09%0.83%0.43%
199766.43%$35,8927.47%$40,5834.45%1.00%0.40%
1997715.91%$41,60321.97%$49,5017.97%2.85%0.43%
19978-9.73%$37,555-12.21%$43,457-5.61%-0.99%0.43%
199799.04%$40,95111.29%$48,3635.47%1.47%0.43%
199710-1.18%$40,4691.94%$49,300-3.35%1.66%0.41%
1997115.22%$42,5824.79%$51,6634.60%0.31%0.43%
1997123.61%$44,1195.09%$54,2941.72%1.09%0.43%
199814.50%$46,1037.72%$58,4831.11%1.73%0.44%
199826.62%$49,1554.53%$61,1317.19%-0.38%0.43%
199835.40%$51,8094.67%$63,9885.10%0.14%0.44%
199841.33%$52,4971.50%$64,9481.01%0.49%0.42%
19985-0.86%$52,0440.54%$65,298-1.74%0.98%0.41%
199866.27%$55,3067.51%$70,2044.07%0.95%0.41%
19987-1.92%$54,247-2.41%$68,512-1.05%0.22%0.42%
19988-11.23%$48,157-4.17%$65,655-14.47%3.20%0.42%
1998917.21%$56,44724.93%$82,0256.41%3.64%0.40%
1998107.30%$60,5684.49%$85,7068.16%-0.77%0.36%
1998115.92%$64,1544.41%$89,4836.07%-0.35%0.36%
1998127.22%$68,7887.53%$96,2255.81%0.38%0.37%
199915.88%$72,8346.60%$102,5764.20%0.65%0.37%
19992-12.06%$64,051-20.05%$82,006-3.12%-3.07%0.37%
199935.78%$67,7516.84%$87,6144.00%0.58%0.38%
199944.52%$70,8124.31%$91,3933.85%0.28%0.37%
19995-7.21%$65,705-11.39%$80,982-2.39%-1.37%0.37%
199965.47%$69,3024.01%$84,2285.56%-0.26%0.38%
19997-6.12%$65,064-8.22%$77,305-3.13%-0.45%0.39%
19998-1.96%$63,789-3.25%$74,791-0.50%-0.07%0.39%
19999-1.88%$62,591-0.08%$74,728-2.74%1.08%0.41%
1999107.12%$67,0506.44%$79,5406.33%0.12%0.40%
1999111.25%$67,8870.09%$79,6122.02%-0.08%0.42%
1999124.18%$70,7251.05%$80,4455.98%-0.94%0.43%
20001-8.63%$64,619-10.87%$71,703-5.03%-0.46%0.43%
20002-1.15%$63,8750.30%$71,918-1.91%1.00%0.47%
2000316.68%$74,52921.19%$87,1599.75%2.04%0.47%
20004-5.71%$70,274-7.55%$80,578-3.00%-0.26%0.48%
20005-3.58%$67,756-4.51%$76,941-2.04%0.16%0.48%
200067.85%$73,07412.95%$86,9022.49%2.20%0.46%
20007-1.64%$71,879-1.28%$85,792-1.50%0.62%0.48%
2000810.42%$79,36713.19%$97,1066.19%1.62%0.51%
20009-5.54%$74,969-4.51%$92,726-5.29%0.89%0.52%
2000100.32%$75,2071.30%$93,932-0.43%0.90%0.51%
200011-5.81%$70,838-1.72%$92,312-7.89%2.14%0.52%
2000125.62%$74,82010.20%$101,7250.51%2.39%0.51%
200116.42%$79,6228.53%$110,3993.55%1.33%0.48%
20012-9.14%$72,346-6.96%$102,710-9.14%1.26%0.41%
20013-7.48%$66,933-6.87%$95,651-6.36%0.50%0.40%
200145.85%$70,8492.07%$97,6357.77%-1.16%0.35%
200150.49%$71,1960.24%$97,8700.65%0.22%0.32%
20016-3.17%$68,937-3.30%$94,641-2.45%0.30%0.30%
200174.74%$72,20710.81%$104,874-1.00%2.73%0.30%
20018-5.44%$68,279-3.23%$101,489-6.27%1.11%0.29%
20019-3.91%$65,6091.55%$103,066-8.09%2.41%0.28%
2001107.37%$70,44412.42%$115,8651.90%2.22%0.20%
2001113.11%$72,637-2.67%$112,7677.65%-2.32%0.17%
200112-1.90%$71,261-4.89%$107,2490.87%-1.16%0.15%
20021-1.11%$70,473-0.33%$106,891-1.47%0.45%0.14%
200220.46%$70,8003.35%$110,468-1.94%1.29%0.14%
20023-1.74%$69,566-7.70%$101,9573.74%-2.30%0.15%
20024-1.45%$68,5564.73%$106,776-6.07%2.62%0.15%
200251.40%$69,5143.51%$110,524-0.75%1.04%0.15%
20026-4.24%$66,563-0.14%$110,368-7.13%1.72%0.14%
20027-3.40%$64,3032.89%$113,562-7.72%2.66%0.14%
200286.80%$68,67712.07%$127,2720.65%2.42%0.14%
20029-4.89%$65,3202.21%$130,084-10.87%3.03%0.14%
2002108.87%$71,1146.79%$138,9228.78%-0.70%0.13%
2002114.02%$73,9720.75%$139,9615.88%-1.32%0.12%
200212-2.15%$72,3813.37%$144,672-5.89%2.58%0.10%
20031-4.79%$68,911-6.28%$135,585-2.62%-0.49%0.10%
200322.40%$70,5686.88%$144,914-1.52%1.77%0.10%
200330.42%$70,861-0.31%$144,4650.96%-0.19%0.10%
2003410.66%$78,41611.03%$160,3998.25%0.24%0.09%
2003512.39%$88,13518.31%$189,7715.26%2.74%0.09%
200360.35%$88,441-0.69%$188,4631.26%-0.43%0.09%
20037-7.71%$81,625-17.58%$155,3391.74%-3.87%0.07%
200382.91%$84,0013.56%$160,8751.93%0.19%0.08%
200396.12%$89,14615.28%$185,450-1.07%3.09%0.08%
2003103.45%$92,219-0.14%$185,1955.64%-1.36%0.08%
2003110.91%$93,0580.76%$186,6070.86%0.01%0.08%
2003128.45%$100,92010.64%$206,4705.22%0.85%0.08%
200414.10%$105,0565.94%$218,7321.82%0.81%0.08%
200424.45%$109,7327.11%$234,2851.38%1.23%0.08%
200430.50%$110,2852.70%$240,613-1.51%1.06%0.08%
20044-10.31%$98,911-18.64%$195,774-1.58%-3.25%0.08%
200450.25%$99,154-1.49%$192,8661.36%-0.51%0.08%
200463.85%$102,9705.66%$203,7831.93%0.54%0.09%
20047-2.17%$100,739-0.17%$203,444-3.31%0.91%0.11%
200485.48%$106,26210.31%$224,4190.38%2.07%0.12%
200491.37%$107,7211.43%$227,6261.07%0.19%0.13%
2004103.78%$111,7935.70%$240,6051.51%0.91%0.14%
2004110.94%$112,846-2.97%$233,4694.05%-1.48%0.16%
2004126.09%$119,7238.13%$252,4563.39%0.97%0.18%
20051-2.17%$117,123-1.23%$249,350-2.45%0.56%0.18%
20052-0.49%$116,544-3.51%$240,6042.09%-0.98%0.21%
20053-4.19%$111,664-6.20%$225,688-1.76%-0.51%0.23%
200541.36%$113,1785.16%$237,329-1.91%1.75%0.23%
200556.18%$120,1678.27%$256,9603.17%1.20%0.24%
200560.83%$121,1701.49%$260,7870.13%0.55%0.25%
200570.41%$121,671-3.74%$251,0323.71%-1.41%0.26%
200582.09%$124,2125.65%$265,225-0.91%1.65%0.28%
20059-2.57%$121,025-6.10%$249,0540.79%-1.14%0.29%
200510-4.88%$115,122-7.58%$230,165-1.68%-0.79%0.29%
2005115.15%$121,0525.69%$243,2693.76%0.48%0.33%
2005121.65%$123,0553.44%$251,6370.02%1.01%0.32%
200611.55%$124,957-0.13%$251,3082.65%-0.34%0.33%
20062-0.45%$124,395-1.16%$248,3930.26%0.09%0.37%
20063-1.90%$122,038-5.38%$235,0331.23%-0.99%0.38%
20064-0.31%$121,664-2.18%$229,8991.33%-0.37%0.38%
20065-4.71%$115,938-5.75%$216,676-2.90%0.02%0.39%
20066-0.72%$115,098-1.56%$213,3060.13%0.10%0.40%
200673.02%$118,5695.37%$224,7700.61%1.35%0.41%
200685.74%$125,3728.50%$243,8802.36%1.62%0.42%
200694.17%$130,6025.16%$256,4732.56%0.94%0.41%
2006104.40%$136,3464.83%$268,8703.25%0.57%0.40%
2006113.92%$141,6945.59%$283,8991.89%1.12%0.42%
200612-1.66%$139,347-4.80%$270,2851.39%-0.98%0.41%
200710.10%$139,482-1.57%$266,0411.49%-0.26%0.41%
200720.98%$140,8434.62%$278,327-1.97%1.86%0.42%
200730.28%$141,236-0.69%$276,4191.11%0.03%0.42%
200745.80%$149,4326.19%$293,5214.42%0.57%0.41%
200750.42%$150,066-3.32%$283,7743.48%-1.18%0.40%
20076-3.54%$144,748-5.05%$269,456-1.68%-0.18%0.39%
20077-0.41%$144,1533.13%$277,895-3.08%1.81%0.39%
200785.72%$152,3969.38%$303,9681.50%1.97%0.40%
200794.59%$159,3964.61%$317,9703.72%0.46%0.33%
2007103.21%$164,5084.52%$332,3351.58%0.84%0.31%
2007112.44%$168,5189.96%$365,442-4.19%3.46%0.32%
200712-0.80%$167,170-0.68%$362,967-0.70%0.27%0.26%
20081-0.53%$166,2816.52%$386,649-6.02%3.10%0.28%
20082-0.78%$164,9852.16%$394,998-3.25%1.35%0.16%
200831.52%$167,4923.25%$407,827-0.44%0.93%0.15%
200840.41%$168,184-5.21%$386,5694.85%-2.14%0.11%
20085-1.85%$165,068-5.68%$364,6121.29%-1.32%0.12%
20086-9.90%$148,720-9.28%$330,777-8.44%0.77%0.15%
200870.47%$149,4162.01%$337,440-0.83%0.77%0.16%
200883.85%$155,1675.86%$357,2101.45%0.98%0.14%
20089-9.84%$139,897-8.63%$326,379-8.91%0.51%0.14%
200810-24.59%$105,495-28.17%$234,429-16.79%-1.36%0.08%
2008118.23%$114,17427.67%$299,289-7.17%5.58%0.04%
20081212.93%$128,94221.90%$364,8301.07%3.66%0.00%
20091-16.52%$107,644-22.52%$282,682-8.41%-2.39%0.01%
20092-16.38%$90,012-19.54%$227,436-10.66%-0.58%0.02%
2009323.88%$111,51039.13%$316,4218.76%3.20%0.02%
200947.51%$119,8873.08%$326,1689.56%-1.76%0.02%
200954.60%$125,4052.14%$333,1565.62%-1.10%0.01%
20096-0.55%$124,717-1.47%$328,2550.22%-0.37%0.01%
2009710.92%$138,33312.37%$368,8497.58%0.60%0.02%
200986.35%$147,1118.22%$399,1843.60%0.89%0.02%
200996.34%$156,4398.05%$431,3013.72%0.92%0.01%
200910-1.74%$153,723-1.13%$426,408-1.87%0.25%0.01%
20091112.44%$172,85217.32%$500,2435.98%1.96%0.00%
200912-4.97%$164,256-11.65%$441,9491.95%-3.13%0.01%
201010.40%$164,9175.31%$465,417-3.60%1.97%0.01%
201024.72%$172,6985.46%$490,8323.09%0.40%0.01%
201034.87%$181,1022.49%$503,0556.01%-0.91%0.01%
201045.02%$190,1948.07%$543,6601.58%1.23%0.01%
20105-5.26%$180,191-0.81%$539,235-8.01%1.85%0.01%
20106-0.84%$178,6864.16%$561,670-5.24%2.07%0.01%
2010711.39%$199,03214.03%$640,4827.00%1.07%0.02%
20108-0.93%$197,1773.49%$662,860-4.53%2.00%0.01%
2010911.14%$219,14511.19%$737,0278.92%0.36%0.01%
2010105.82%$231,8946.90%$787,9043.79%0.45%0.01%
201011-2.36%$226,431-4.66%$751,1790.00%-0.98%0.01%
2010122.82%$232,824-2.76%$730,4296.67%-2.29%0.01%
201113.65%$241,3204.35%$762,2302.36%0.29%0.01%
201123.14%$248,9002.05%$777,8913.42%-0.43%0.01%
20113-0.28%$248,204-0.59%$773,2980.03%-0.12%0.01%
201147.67%$267,25211.67%$863,5102.95%1.60%0.01%
201152.79%$274,7006.70%$921,324-1.15%1.77%0.00%
20116-2.32%$268,332-2.52%$898,101-1.67%-0.16%0.01%
201172.88%$276,0628.32%$972,830-2.05%2.18%0.00%
201180.21%$276,6416.56%$1,036,619-5.45%2.70%0.01%
20119-6.05%$259,903-3.75%$997,796-7.04%0.73%0.00%
20111012.60%$292,64011.55%$1,113,03810.91%-0.42%0.00%
2011110.36%$293,6951.02%$1,124,375-0.23%0.29%0.00%
2011123.46%$303,8655.70%$1,188,4241.02%1.00%0.00%
201217.59%$326,9439.61%$1,302,6184.46%0.81%0.00%
201223.68%$338,9762.10%$1,329,9234.31%-0.65%0.01%
201232.21%$346,4670.41%$1,335,4233.28%-0.79%0.01%
201242.94%$356,6486.68%$1,424,605-0.64%1.50%0.01%
20125-4.22%$341,585-1.14%$1,408,321-6.02%1.24%0.01%
201264.27%$356,1763.44%$1,456,7774.11%-0.22%0.01%
201273.85%$369,8825.99%$1,543,9701.37%0.86%0.01%
201282.96%$380,8143.12%$1,592,0922.24%0.10%0.01%
201292.95%$392,0632.73%$1,635,5202.58%-0.06%0.01%
201210-3.14%$379,763-3.95%$1,570,947-1.86%-0.32%0.01%
2012112.27%$388,3863.87%$1,631,6950.56%0.62%0.01%
2012120.07%$388,651-0.98%$1,615,7320.90%-0.41%0.01%
201314.61%$406,5772.76%$1,660,2545.18%-0.74%0.00%
201323.36%$420,2195.12%$1,745,2591.34%0.71%0.01%
201335.22%$442,1345.83%$1,847,0343.74%0.27%0.01%
201344.15%$460,4825.92%$1,956,2931.91%0.71%0.01%
20135-1.62%$453,041-5.98%$1,839,3862.33%-1.84%0.00%
20136-5.64%$427,495-9.84%$1,658,481-1.35%-1.62%0.00%
201376.65%$455,9166.96%$1,773,8635.07%0.13%0.00%
20138-5.98%$428,631-8.36%$1,625,598-2.91%-1.02%0.00%
201397.59%$461,16111.47%$1,811,9953.12%1.47%0.00%
2013106.94%$493,1808.15%$1,959,7334.59%0.49%0.00%
2013113.37%$509,8213.01%$2,018,7823.03%-0.14%0.00%
201312-0.33%$508,136-3.69%$1,944,2152.51%-1.49%0.01%
20141-0.19%$507,1713.96%$2,021,170-3.47%1.67%0.01%
201426.04%$537,8236.31%$2,148,7484.56%0.21%0.00%
20143-0.47%$535,293-1.84%$2,109,1960.82%-0.60%0.00%
201442.12%$546,6583.34%$2,179,6960.72%0.49%0.00%
201455.40%$576,2037.84%$2,350,5362.33%1.03%0.00%
201462.14%$588,5371.76%$2,391,9892.05%-0.13%0.00%
20147-2.72%$572,530-3.70%$2,303,398-1.39%-0.39%0.00%
201487.68%$616,50910.42%$2,543,4993.98%1.03%0.00%
20149-3.31%$596,101-4.82%$2,420,935-1.41%-0.66%0.00%
2014105.83%$630,8548.63%$2,629,9052.42%1.12%0.00%
2014115.26%$664,0367.09%$2,816,2872.68%0.84%0.00%
201412-1.12%$656,574-1.85%$2,764,105-0.26%-0.35%0.00%
201512.96%$676,0259.70%$3,032,154-3.02%2.70%0.00%
201522.80%$694,925-1.09%$2,998,9835.74%-1.59%0.00%
20153-0.11%$694,1431.66%$3,048,869-1.59%0.76%0.00%
201540.65%$698,6550.11%$3,052,3580.95%-0.21%0.00%
201551.29%$707,6850.99%$3,082,7281.27%-0.12%0.00%
20156-4.23%$677,752-6.09%$2,895,094-1.93%-0.74%0.00%
201574.71%$709,6956.83%$3,092,7202.08%0.85%0.00%
20158-7.47%$656,684-7.42%$2,863,254-6.05%-0.03%0.01%
20159-0.01%$656,6483.00%$2,949,226-2.48%1.19%0.01%
2015109.35%$718,0338.17%$3,190,1338.42%-0.47%0.00%
201511-0.55%$714,085-1.47%$3,143,2710.29%-0.39%0.01%
201512-2.90%$693,391-3.88%$3,021,353-1.59%-0.38%0.02%
20161-0.36%$690,8715.50%$3,187,446-4.98%2.36%0.01%
201621.85%$703,6813.67%$3,304,491-0.15%0.82%0.03%
201638.40%$762,7848.25%$3,577,0276.78%0.22%0.03%
201640.10%$763,518-0.27%$3,567,3540.37%-0.13%0.02%
201651.67%$776,2441.11%$3,606,8721.78%-0.21%0.02%
201665.24%$816,95710.28%$3,977,5370.25%2.05%0.03%
201674.65%$854,9244.70%$4,164,6653.68%0.04%0.02%
20168-1.63%$840,992-3.41%$4,022,5590.13%-0.72%0.02%
201690.63%$846,2731.27%$4,073,8240.01%0.29%0.03%
201610-4.19%$810,800-6.09%$3,825,892-1.83%-0.73%0.02%
201611-2.21%$792,892-9.33%$3,468,8953.70%-2.65%0.03%
2016122.41%$812,0212.39%$3,551,7631.96%-0.05%0.04%
201713.00%$836,3503.65%$3,681,3551.88%0.30%0.04%
201725.74%$884,3646.55%$3,922,5643.96%0.39%0.04%
201730.16%$885,7950.21%$3,930,7710.10%0.07%0.04%
201743.04%$912,6964.82%$4,120,1141.02%0.77%0.06%
201752.98%$939,9014.20%$4,293,0501.39%0.59%0.07%
20176-0.60%$934,239-1.87%$4,212,8420.61%-0.47%0.08%
201773.36%$965,6584.19%$4,389,5382.04%0.42%0.08%
201782.22%$987,0864.06%$4,567,9370.29%0.86%0.09%
201790.28%$989,828-1.87%$4,482,7132.06%-0.83%0.08%
2017102.15%$1,011,0601.41%$4,546,1342.32%-0.21%0.09%
2017112.63%$1,037,6131.46%$4,612,3963.06%-0.39%0.09%
2017121.27%$1,050,7831.20%$4,667,8151.10%0.07%0.10%
201812.94%$1,081,660-1.24%$4,610,1515.71%-1.56%0.11%
20182-6.22%$1,014,341-8.00%$4,241,210-3.69%-0.49%0.12%
20183-1.86%$995,463-0.34%$4,226,602-2.56%0.75%0.14%
20184-2.21%$973,420-4.86%$4,021,2050.37%-0.92%0.14%
201854.55%$1,017,7476.25%$4,272,3432.39%0.76%0.15%
201860.59%$1,023,7470.46%$4,292,1700.61%0.11%0.16%
201873.33%$1,057,8102.06%$4,380,4723.71%-0.35%0.16%
201885.47%$1,115,7197.01%$4,687,3573.25%0.77%0.17%
20189-1.63%$1,097,526-3.89%$4,504,9430.55%-0.82%0.17%
201810-9.22%$996,356-9.83%$4,062,117-6.85%-0.06%0.18%
2018114.67%$1,042,8366.83%$4,339,6212.03%0.96%0.19%
201812-6.81%$971,835-2.26%$4,241,428-9.04%1.90%0.19%
2019110.91%$1,077,88411.87%$4,744,9768.00%0.58%0.20%
201922.80%$1,108,0851.74%$4,827,6533.20%-0.26%0.20%
201935.78%$1,172,0799.25%$5,274,0311.94%1.78%0.20%
201944.39%$1,223,5793.79%$5,473,6814.04%-0.05%0.20%
20195-3.54%$1,180,2200.88%$5,522,001-6.36%2.05%0.20%
2019610.53%$1,304,55412.15%$6,192,7807.03%1.02%0.19%
201970.90%$1,316,3410.07%$6,197,0081.43%-0.16%0.17%
201983.66%$1,364,4819.43%$6,781,336-1.59%2.48%0.17%
201990.08%$1,365,638-1.91%$6,651,6101.86%-0.70%0.16%
2019102.68%$1,402,2482.71%$6,831,6272.15%0.16%0.15%
2019113.27%$1,448,0732.07%$6,972,9263.62%-0.37%0.13%
2019122.55%$1,484,9751.40%$7,070,5413.01%-0.36%0.13%
202015.06%$1,560,09210.21%$7,792,563-0.05%2.19%0.13%
20202-4.96%$1,482,643-0.10%$7,784,616-8.24%2.12%0.13%
20203-8.54%$1,355,953-2.61%$7,581,060-12.37%2.27%0.10%
2020417.15%$1,588,54618.29%$8,967,77912.81%0.46%0.01%
202056.61%$1,693,5617.43%$9,633,7824.76%0.42%0.01%
202062.92%$1,742,9733.44%$9,965,0511.98%0.30%0.01%
202078.21%$1,886,1099.39%$10,901,1675.63%0.49%0.01%
202088.23%$2,041,3637.63%$11,732,4057.18%-0.22%0.01%
20209-4.29%$1,953,798-3.95%$11,268,643-3.81%0.16%0.01%
202010-4.85%$1,859,110-6.35%$10,552,928-2.67%-0.59%0.01%
20201114.55%$2,129,64015.37%$12,174,59110.94%0.23%0.01%
2020125.06%$2,237,3095.41%$12,832,9533.84%0.14%0.01%
20211-2.44%$2,182,655-3.61%$12,370,049-1.02%-0.46%0.01%
202120.11%$2,185,018-3.31%$11,959,9832.75%-1.32%0.01%
202133.46%$2,260,6101.29%$12,114,3334.37%-0.88%0.00%
202148.44%$2,451,43510.23%$13,353,6135.32%0.72%0.00%
202152.03%$2,501,1213.17%$13,776,7370.69%0.52%0.00%
202162.55%$2,565,0152.28%$14,090,9792.31%-0.09%0.00%
202175.79%$2,713,5588.61%$15,304,4142.38%1.13%0.00%
202182.99%$2,794,6552.25%$15,649,4173.03%-0.28%0.01%
20219-7.91%$2,573,686-9.98%$14,088,036-4.66%-0.97%0.00%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.73%2.36%
Arithmetic Mean (annualized)22.86%32.27%
Geometric Mean (monthly)1.57%2.05%
Geometric Mean (annualized)20.51%27.60%
Volatility (monthly)5.73%7.87%
Volatility (annualized)19.83%27.26%
Downside Deviation (monthly)3.37%4.51%
Max. Drawdown-46.59%-45.12%
US Market Correlation0.790.50
Beta(*)1.050.92
Alpha (annualized)9.19%18.22%
R261.91%24.79%
Sharpe Ratio0.930.95
Sortino Ratio1.541.63
Treynor Ratio (%)17.4928.32
Calmar Ratio2.514.60
Active Return10.17%17.26%
Tracking Error12.27%23.68%
Information Ratio0.830.73
Skewness-0.280.00
Excess Kurtosis1.842.33
Historical Value-at-Risk (5%)-7.88%-9.83%
Analytical Value-at-Risk (5%)-7.70%-10.44%
Conditional Value-at-Risk (5%)-11.38%-15.69%
Upside Capture Ratio (%)133.36141.61
Downside Capture Ratio (%)90.2165.28
Safe Withdrawal Rate18.23%23.79%
Perpetual Withdrawal Rate15.44%20.25%
Positive Periods236 out of 357 (66.11%)232 out of 357 (64.99%)
Gain/Loss Ratio1.131.20
* 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 2
Asian CrisisJul 1997Jan 1998-9.73%-12.21%
Russian Debt DefaultJul 1998Oct 1998-12.93%-6.48%
Dotcom CrashMar 2000Oct 2002-19.24%-14.27%
Subprime CrisisNov 2007Mar 2009-46.59%-44.23%
COVID-19 StartJan 2020Mar 2020-13.09%-2.71%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-46.59%
2Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-27.12%
3Feb 2001Jul 20021 year 6 monthsMay 200310 months2 years 4 months-19.24%
4Feb 1999Sep 19998 monthsMar 20006 months1 year 2 months-14.06%
5Feb 2020Mar 20202 monthsApr 20201 month3 months-13.09%
6Jul 1998Aug 19982 monthsSep 19981 month3 months-12.93%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-12.90%
8Jan 1992Mar 19923 monthsJul 19924 months7 months-12.24%
9Feb 1996Jul 19966 monthsOct 19963 months9 months-12.08%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-10.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-45.12%
2Apr 2008Feb 200911 monthsSep 20097 months1 year 6 months-44.23%
3Feb 1999Jan 20001 yearJan 20011 year2 years-30.10%
4Feb 1996Aug 19967 monthsNov 19963 months10 months-25.91%
5Jan 1992Mar 19923 monthsJul 19924 months7 months-21.02%
6Apr 2004May 20042 monthsDec 20047 months9 months-19.84%
7Sep 2005Jun 200610 monthsOct 20064 months1 year 2 months-19.58%
8Jun 2003Jul 20032 monthsDec 20035 months7 months-18.14%
9Dec 1996Mar 19974 monthsMay 19972 months6 months-17.67%
10May 2013Aug 20134 monthsOct 20132 months6 months-16.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.24%14.42%37.45%-37.02%-50.97%0.590.860.99
VFITXVanguard Interm-Term Treasury Inv5.25%4.62%20.44%-4.33%-6.47%0.631.05-0.18
CASHXCash2.36%0.59%5.99%0.03%0.00%N/AN/A-0.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFITXCASHXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.00-0.15-0.010.810.52
VFITXVanguard Interm-Term Treasury Inv-0.151.000.140.440.74
CASHXCash-0.010.141.00-0.01-0.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$2,033,636$10,220,775
VFITXVanguard Interm-Term Treasury Inv$814,916$5,717,801
CASHXCash-$284,866-$1,860,540

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor73.97%35.48%
VFITXVanguard Interm-Term Treasury Inv25.95%64.44%
CASHXCash0.09%0.09%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year22.92%95.60%-45.44%32.10%154.94%-42.42%
3 years20.55%55.58%-10.22%27.90%80.16%-2.90%
5 years19.99%42.98%-3.88%27.32%56.70%-0.59%
7 years19.26%34.52%3.49%26.94%46.57%10.59%
10 years18.43%28.54%3.46%26.68%35.73%10.59%
15 years17.61%23.21%12.55%25.69%32.50%17.54%