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 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 1990 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VPMCX Vanguard PRIMECAP Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$50,000$761,248 9.50% 9.34%32.92%-22.30%-32.53% 0.731.110.89
Portfolio 2$50,000$834,987 9.84% 14.21%37.45%-37.02%-50.97% 0.540.790.99
Portfolio 3$50,000$1,931,721 12.95% 16.32%41.34%-32.41%-49.06% 0.661.010.93
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 15.19%22.51%10.72%8.56%9.90%9.50%
Portfolio 29.03%31.33%15.12%11.55%13.40%9.84%
Portfolio 312.04%27.78%17.49%12.98%14.58%12.95%
Trailing returns are for full months ending in December 2019 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.
  • 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 Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)Vanguard PRIMECAP Inv (VPMCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19906.11%-2.81%-3.32%-2.81%$48,596$48,338$48,595-2.81%-3.32%-2.81%
19913.06%23.65%30.22%33.14%$60,089$62,946$64,70123.65%30.22%33.14%
19922.90%7.93%7.42%8.99%$64,851$67,619$70,5207.93%7.42%8.99%
19932.75%13.52%9.89%18.03%$73,617$74,308$83,23213.52%9.89%18.03%
19942.67%-0.49%1.18%11.41%$73,258$75,182$92,730-0.49%1.18%11.41%
19952.54%32.92%37.45%35.48%$97,377$103,334$125,63432.92%37.45%35.48%
19963.32%16.19%22.88%18.31%$113,140$126,974$148,63616.19%22.88%18.31%
19971.70%23.23%33.19%36.83%$139,427$169,117$203,37323.23%33.19%36.83%
19981.61%12.06%28.62%25.41%$156,240$217,513$255,05612.06%28.62%25.41%
19992.68%4.41%21.07%41.34%$163,124$263,340$360,5014.41%21.07%41.34%
20003.39%10.40%-9.06%4.47%$180,092$239,491$376,61410.40%-9.06%4.47%
20011.55%4.19%-12.02%-13.35%$187,631$210,697$326,3404.19%-12.02%-13.35%
20022.38%-6.90%-22.15%-24.56%$174,690$164,038$246,187-6.90%-22.15%-24.56%
20031.88%20.75%28.50%37.75%$210,934$210,792$339,13420.75%28.50%37.75%
20043.26%11.16%10.74%18.31%$234,481$233,431$401,23811.16%10.74%18.31%
20053.42%6.82%4.77%8.49%$250,482$244,576$435,3226.82%4.77%8.49%
20062.54%14.97%15.64%12.32%$287,977$282,832$488,95714.97%15.64%12.32%
20074.08%8.34%5.39%11.48%$311,982$298,067$545,0748.34%5.39%11.48%
20080.09%-22.30%-37.02%-32.41%$242,425$187,721$368,424-22.30%-37.02%-32.41%
20092.72%22.20%26.49%34.45%$296,233$237,439$495,33622.20%26.49%34.45%
20101.50%10.94%14.91%12.89%$328,632$272,851$559,19510.94%14.91%12.89%
20112.96%3.85%1.97%-1.84%$341,290$278,215$548,8863.85%1.97%-1.84%
20121.74%12.57%15.82%15.27%$384,198$322,241$632,69112.57%15.82%15.27%
20131.50%19.66%32.18%39.73%$459,746$425,924$884,06219.66%32.18%39.73%
20140.76%9.82%13.51%18.72%$504,903$483,460$1,049,5829.82%13.51%18.72%
20150.73%0.06%1.25%2.58%$505,189$489,496$1,076,6990.06%1.25%2.58%
20162.07%11.01%11.82%10.63%$560,830$547,339$1,191,20211.01%11.82%10.63%
20172.11%14.72%21.67%29.51%$643,407$665,935$1,542,72014.72%21.67%29.51%
20181.91%-3.42%-4.52%-2.01%$621,383$635,807$1,511,750-3.42%-4.52%-2.01%
20192.29%22.51%31.33%27.78%$761,248$834,987$1,931,72122.51%31.33%27.78%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)Vanguard PRIMECAP Inv (VPMCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19901-5.12%-6.72%-6.47%$47,441$46,641$46,763-5.12%-6.72%-6.47%
199020.91%1.27%3.00%$47,871$47,235$48,1670.91%1.27%3.00%
199030.89%2.61%4.62%$48,298$48,467$50,3900.89%2.61%4.62%
19904-3.06%-2.50%-1.63%$46,818$47,255$49,571-3.06%-2.50%-1.63%
199057.13%9.69%9.83%$50,155$51,835$54,4467.13%9.69%9.83%
19906-0.80%-0.66%-0.36%$49,752$51,493$54,251-0.80%-0.66%-0.36%
199070.29%-0.35%-3.59%$49,896$51,312$52,3010.29%-0.35%-3.59%
19908-6.41%-9.03%-11.86%$46,698$46,678$46,100-6.41%-9.03%-11.86%
19909-3.56%-4.89%-7.70%$45,036$44,395$42,551-3.56%-4.89%-7.70%
199010-0.52%-0.41%-0.64%$44,803$44,213$42,278-0.52%-0.41%-0.64%
1990115.99%6.44%9.59%$47,485$47,060$46,3345.99%6.44%9.59%
1990122.34%2.72%4.88%$48,596$48,338$48,5952.34%2.72%4.88%
199113.38%4.35%11.47%$50,240$50,442$54,1673.38%4.35%11.47%
199124.88%7.12%7.05%$52,693$54,032$57,9884.88%7.12%7.05%
199130.92%2.41%3.23%$53,176$55,331$59,8580.92%2.41%3.23%
199140.68%0.20%0.00%$53,539$55,440$59,8580.68%0.20%0.00%
199153.86%4.27%3.26%$55,604$57,809$61,8093.86%4.27%3.26%
19916-3.19%-4.56%-6.12%$53,831$55,173$58,028-3.19%-4.56%-6.12%
199173.24%4.63%4.26%$55,574$57,726$60,4983.24%4.63%4.26%
199182.09%2.33%1.78%$56,733$59,073$61,5772.09%2.33%1.78%
19919-0.05%-1.67%-2.21%$56,702$58,087$60,219-0.05%-1.67%-2.21%
1991101.69%1.33%3.92%$57,660$58,858$62,5761.69%1.33%3.92%
199111-3.80%-4.01%-5.75%$55,466$56,498$58,980-3.80%-4.01%-5.75%
1991128.33%11.41%9.70%$60,089$62,946$64,7018.33%11.41%9.70%
19921-1.75%-1.88%3.58%$59,034$61,761$67,018-1.75%-1.88%3.58%
199221.03%1.24%1.82%$59,640$62,530$68,2391.03%1.24%1.82%
19923-0.87%-1.93%-5.99%$59,123$61,326$64,153-0.87%-1.93%-5.99%
199242.79%2.91%-2.10%$60,770$63,113$62,8052.79%2.91%-2.10%
199251.34%0.48%1.88%$61,582$63,419$63,9851.34%0.48%1.88%
19926-0.32%-1.49%-2.63%$61,386$62,473$62,300-0.32%-1.49%-2.63%
199272.87%4.04%1.09%$63,148$64,999$62,9812.87%4.04%1.09%
19928-1.08%-2.07%-3.58%$62,463$63,655$60,729-1.08%-2.07%-3.58%
199291.16%1.17%3.64%$63,189$64,399$62,9391.16%1.17%3.64%
199210-0.99%0.33%3.71%$62,562$64,611$65,276-0.99%0.33%3.71%
1992111.95%3.40%5.40%$63,782$66,809$68,8031.95%3.40%5.40%
1992121.68%1.21%2.50%$64,851$67,619$70,5201.68%1.21%2.50%
199311.15%0.81%2.04%$65,596$68,163$71,9571.15%0.81%2.04%
199321.92%1.36%1.15%$66,854$69,088$72,7851.92%1.36%1.15%
199332.05%2.11%1.86%$68,222$70,544$74,1402.05%2.11%1.86%
199340.40%-2.42%-2.71%$68,495$68,834$72,1280.40%-2.42%-2.71%
199351.30%2.65%6.31%$69,384$70,660$76,6771.30%2.65%6.31%
199361.10%0.27%-0.80%$70,145$70,849$76,0651.10%0.27%-0.80%
199370.25%-0.42%-1.21%$70,317$70,548$75,1460.25%-0.42%-1.21%
199383.29%3.79%5.82%$72,631$73,219$79,5203.29%3.79%5.82%
19939-0.66%-0.79%0.72%$72,154$72,637$80,089-0.66%-0.79%0.72%
1993100.92%2.08%3.50%$72,817$74,147$82,8880.92%2.08%3.50%
199311-0.48%-1.00%-2.64%$72,468$73,409$80,701-0.48%-1.00%-2.64%
1993121.59%1.22%3.14%$73,617$74,308$83,2321.59%1.22%3.14%
199413.28%3.38%5.05%$76,035$76,817$87,4343.28%3.38%5.05%
19942-3.04%-2.71%-0.83%$73,725$74,732$86,711-3.04%-2.71%-0.83%
19943-4.00%-4.39%-4.35%$70,773$71,452$82,943-4.00%-4.39%-4.35%
199441.34%1.29%1.53%$71,721$72,374$84,2121.34%1.29%1.53%
199451.58%1.60%2.05%$72,850$73,535$85,9361.58%1.60%2.05%
19946-1.42%-2.45%-2.69%$71,819$71,735$83,623-1.42%-2.45%-2.69%
199473.43%3.28%4.28%$74,286$74,086$87,2053.43%3.28%4.28%
199482.43%4.08%6.03%$76,089$77,106$92,4662.43%4.08%6.03%
19949-2.42%-2.45%-1.86%$74,251$75,220$90,743-2.42%-2.45%-1.86%
1994100.10%2.25%4.35%$74,325$76,910$94,6880.10%2.25%4.35%
199411-3.30%-3.65%-3.21%$71,871$74,099$91,650-3.30%-3.65%-3.21%
1994121.93%1.46%1.18%$73,258$75,182$92,7301.93%1.46%1.18%
199511.96%2.58%0.00%$74,694$77,124$92,7301.96%2.58%0.00%
199524.05%3.88%4.65%$77,716$80,116$97,0464.05%3.88%4.65%
199532.15%2.95%5.08%$79,391$82,482$101,9742.15%2.95%5.08%
199542.26%2.94%5.48%$81,184$84,908$107,5622.26%2.94%5.48%
199554.98%3.95%0.91%$85,228$88,265$108,5394.98%3.95%0.91%
199561.21%2.31%7.04%$86,256$90,305$116,1761.21%2.31%7.04%
199572.14%3.30%4.93%$88,104$93,289$121,9032.14%3.30%4.93%
199581.27%0.26%0.38%$89,220$93,536$122,3691.27%0.26%0.38%
199593.07%4.21%3.04%$91,960$97,475$126,0943.07%4.21%3.04%
199510-1.06%-0.36%-1.26%$90,990$97,121$124,511-1.06%-0.36%-1.26%
1995114.82%4.38%2.54%$95,376$101,375$127,6774.82%4.38%2.54%
1995122.10%1.93%-1.60%$97,377$103,334$125,6342.10%1.93%-1.60%
199612.21%3.39%-0.38%$99,529$106,832$125,1552.21%3.39%-0.38%
19962-0.76%0.92%3.37%$98,772$107,819$129,370-0.76%0.92%3.37%
199631.81%0.98%0.41%$100,559$108,872$129,9001.81%0.98%0.41%
19964-0.20%1.46%5.22%$100,359$110,458$136,686-0.20%1.46%5.22%
199650.76%2.54%1.73%$101,122$113,268$139,0440.76%2.54%1.73%
199660.88%0.38%-1.87%$102,009$113,702$136,4450.88%0.38%-1.87%
19967-1.71%-4.42%-6.38%$100,268$108,676$127,734-1.71%-4.42%-6.38%
199681.98%2.10%3.28%$102,252$110,954$131,9211.98%2.10%3.28%
199693.77%5.61%5.14%$106,104$117,174$138,7073.77%5.61%5.14%
1996103.58%2.76%-1.42%$109,899$120,403$136,7343.58%2.76%-1.42%
1996115.24%7.56%10.17%$115,653$129,510$150,6435.24%7.56%10.17%
199612-2.17%-1.96%-1.33%$113,140$126,974$148,636-2.17%-1.96%-1.33%
199713.25%6.22%7.41%$116,818$134,867$159,6553.25%6.22%7.41%
199720.81%0.79%-0.96%$117,770$135,932$158,1240.81%0.79%-0.96%
19973-3.48%-4.14%-1.54%$113,675$130,310$155,685-3.48%-4.14%-1.54%
199743.99%5.96%5.65%$118,208$138,071$164,4753.99%5.96%5.65%
199754.24%6.09%6.91%$123,221$146,477$175,8474.24%6.09%6.91%
199763.50%4.45%2.34%$127,534$153,000$179,9693.50%4.45%2.34%
199776.19%7.97%11.73%$135,433$165,188$201,0756.19%7.97%11.73%
19978-3.86%-5.61%-1.26%$130,211$155,922$198,542-3.86%-5.61%-1.26%
199794.08%5.47%8.53%$135,524$164,450$215,4764.08%5.47%8.53%
199710-0.91%-3.35%-5.62%$134,287$158,940$203,359-0.91%-3.35%-5.62%
1997112.11%4.60%1.03%$137,115$166,249$205,4452.11%4.60%1.03%
1997121.69%1.72%-1.01%$139,427$169,117$203,3731.69%1.72%-1.01%
199810.95%1.11%3.16%$140,753$170,994$209,7980.95%1.11%3.16%
199823.40%7.19%5.98%$145,535$183,293$222,3383.40%7.19%5.98%
199833.29%5.10%1.02%$150,318$192,647$224,6093.29%5.10%1.02%
199841.08%1.01%2.10%$151,939$194,589$229,3171.08%1.01%2.10%
19985-0.56%-1.74%-3.75%$151,081$191,196$220,728-0.56%-1.74%-3.75%
199860.50%4.07%3.12%$151,844$198,981$227,6100.50%4.07%3.12%
19987-1.58%-1.05%-1.77%$149,444$196,883$223,574-1.58%-1.05%-1.77%
19988-7.65%-14.47%-15.67%$138,018$168,387$188,545-7.65%-14.47%-15.67%
199895.35%6.41%4.99%$145,401$179,183$197,9625.35%6.41%4.99%
1998104.26%8.16%10.95%$151,590$193,811$219,6424.26%8.16%10.95%
1998113.00%6.07%7.21%$156,136$205,579$235,4743.00%6.07%7.21%
1998120.07%5.81%8.32%$156,240$217,513$255,0560.07%5.81%8.32%
199910.51%4.20%7.28%$157,038$226,656$273,6260.51%4.20%7.28%
19992-2.92%-3.12%-5.48%$152,460$219,574$258,642-2.92%-3.12%-5.48%
199932.55%4.00%4.48%$156,344$228,350$270,2282.55%4.00%4.48%
199947.38%3.85%4.07%$167,887$237,146$281,2287.38%3.85%4.07%
19995-1.85%-2.39%-0.62%$164,773$231,480$279,494-1.85%-2.39%-0.62%
199961.94%5.56%7.54%$167,973$244,341$300,5731.94%5.56%7.54%
19997-1.93%-3.13%1.21%$164,725$236,693$304,203-1.93%-3.13%1.21%
19998-0.85%-0.50%1.12%$163,318$235,518$307,617-0.85%-0.50%1.12%
19999-2.55%-2.74%-2.25%$159,152$229,067$300,681-2.55%-2.74%-2.25%
1999101.85%6.33%6.24%$162,100$243,559$319,4301.85%6.33%6.24%
199911-0.24%2.02%3.92%$161,718$248,486$331,947-0.24%2.02%3.92%
1999120.87%5.98%8.60%$163,124$263,340$360,5010.87%5.98%8.60%
20001-3.83%-5.03%-1.03%$156,881$250,088$356,783-3.83%-5.03%-1.03%
20002-4.54%-1.91%15.38%$149,763$245,320$411,669-4.54%-1.91%15.38%
200037.34%9.76%4.68%$160,754$269,263$430,9467.34%9.76%4.68%
200040.84%-3.01%-1.71%$162,108$261,171$423,5910.84%-3.01%-1.71%
200051.27%-2.04%-4.78%$164,169$255,847$403,3501.27%-2.04%-4.78%
20006-1.83%2.49%3.97%$161,158$262,210$419,355-1.83%2.49%3.97%
200071.40%-1.49%-1.61%$163,416$258,301$412,5881.40%-1.49%-1.61%
200083.56%6.19%7.42%$169,240$274,289$443,1853.56%6.19%7.42%
20009-0.34%-5.29%-8.71%$168,666$259,781$404,586-0.34%-5.29%-8.71%
2000102.38%-0.43%-2.39%$172,684$258,664$394,9362.38%-0.43%-2.39%
2000110.14%-7.88%-7.85%$172,924$238,288$363,9270.14%-7.88%-7.85%
2000124.15%0.50%3.49%$180,092$239,491$376,6144.15%0.50%3.49%
200112.02%3.55%3.91%$183,731$247,981$391,3342.02%3.55%3.91%
20012-0.38%-9.14%-12.08%$183,029$225,321$344,054-0.38%-9.14%-12.08%
20013-1.87%-6.36%-2.49%$179,615$210,999$335,494-1.87%-6.36%-2.49%
200143.51%7.77%7.79%$185,927$227,395$361,6393.51%7.77%7.79%
200151.73%0.65%-1.18%$189,147$228,873$357,3651.73%0.65%-1.18%
20016-1.67%-2.45%-2.16%$185,988$223,276$349,635-1.67%-2.45%-2.16%
200171.36%-1.00%-2.01%$188,520$221,044$342,5961.36%-1.00%-2.01%
20018-1.76%-6.27%-4.79%$185,209$207,175$326,192-1.76%-6.27%-4.79%
20019-5.29%-8.09%-16.05%$175,417$190,413$273,838-5.29%-8.09%-16.05%
2001101.42%1.90%4.73%$177,906$194,021$286,7851.42%1.90%4.73%
2001114.60%7.65%11.40%$186,093$208,871$319,4674.60%7.65%11.40%
2001120.83%0.87%2.15%$187,631$210,697$326,3400.83%0.87%2.15%
200210.26%-1.47%-0.80%$188,113$207,593$323,7430.26%-1.47%-0.80%
200220.91%-1.94%-1.70%$189,834$203,573$318,2320.91%-1.94%-1.70%
200232.11%3.74%3.92%$193,830$211,194$330,7102.11%3.74%3.92%
20024-2.07%-6.07%-6.80%$189,809$198,364$308,224-2.07%-6.07%-6.80%
200250.69%-0.75%-1.50%$191,126$196,868$303,6000.69%-0.75%-1.50%
20026-3.23%-7.13%-9.99%$184,957$182,822$273,259-3.23%-7.13%-9.99%
20027-4.99%-7.72%-7.67%$175,733$168,710$252,292-4.99%-7.72%-7.67%
200280.32%0.65%-0.80%$176,292$169,811$250,2660.32%0.65%-0.80%
20029-6.66%-10.87%-9.79%$164,545$151,344$225,752-6.66%-10.87%-9.79%
2002103.43%8.78%7.91%$170,185$164,637$243,6153.43%8.78%7.91%
2002114.68%5.88%9.26%$178,152$174,309$266,1644.68%5.88%9.26%
200212-1.94%-5.89%-7.51%$174,690$164,038$246,187-1.94%-5.89%-7.51%
20031-2.16%-2.62%-1.86%$170,920$159,732$241,602-2.16%-2.62%-1.86%
20032-1.17%-1.52%-1.00%$168,928$157,306$239,182-1.17%-1.52%-1.00%
20033-0.05%0.96%2.05%$168,844$158,812$244,086-0.05%0.96%2.05%
200345.90%8.25%7.98%$178,806$171,919$263,5725.90%8.25%7.98%
200355.61%5.26%7.25%$188,839$180,969$282,6765.61%5.26%7.25%
200360.63%1.26%0.92%$190,037$183,249$285,2870.63%1.26%0.92%
20037-0.84%1.74%3.64%$188,450$186,445$295,667-0.84%1.74%3.64%
200381.95%1.93%4.46%$192,130$190,048$308,8491.95%1.93%4.46%
200390.26%-1.07%-1.88%$192,638$188,011$303,0540.26%-1.07%-1.88%
2003103.24%5.64%7.63%$198,888$198,618$326,1703.24%5.64%7.63%
2003111.17%0.86%0.90%$201,213$200,334$329,0991.17%0.86%0.90%
2003124.83%5.22%3.05%$210,934$210,792$339,1344.83%5.22%3.05%
200410.73%1.82%3.60%$212,472$214,631$351,3460.73%1.82%3.60%
200422.07%1.38%2.46%$216,865$217,587$359,9782.07%1.38%2.46%
20043-0.61%-1.51%-0.92%$215,548$214,294$356,653-0.61%-1.51%-0.92%
20044-1.74%-1.58%-1.25%$211,791$210,915$352,177-1.74%-1.58%-1.25%
200450.03%1.36%1.60%$211,865$213,779$357,8040.03%1.36%1.60%
200462.16%1.93%3.09%$216,433$217,904$368,8652.16%1.93%3.09%
20047-1.30%-3.31%-4.45%$213,613$210,690$352,433-1.30%-3.31%-4.45%
200481.46%0.38%-0.34%$216,730$211,496$351,2181.46%0.38%-0.34%
200491.51%1.07%4.10%$220,002$213,753$365,6041.51%1.07%4.10%
2004101.09%1.51%2.03%$222,394$216,990$373,0211.09%1.51%2.03%
2004112.62%4.05%3.58%$228,222$225,770$386,3852.62%4.05%3.58%
2004122.74%3.39%3.84%$234,481$233,431$401,2382.74%3.39%3.84%
20051-1.23%-2.45%-4.51%$231,608$227,702$383,141-1.23%-2.45%-4.51%
200522.28%2.09%2.22%$236,889$232,469$391,6422.28%2.09%2.22%
20053-1.54%-1.76%-1.58%$233,246$228,378$385,459-1.54%-1.76%-1.58%
20054-0.64%-1.91%-3.04%$231,761$224,011$373,738-0.64%-1.91%-3.04%
200551.65%3.17%5.38%$235,592$231,107$393,8321.65%3.17%5.38%
200560.70%0.13%-1.11%$237,233$231,401$389,4520.70%0.13%-1.11%
200572.22%3.71%6.18%$242,509$239,977$413,5392.22%3.71%6.18%
200580.88%-0.91%-0.25%$244,634$237,786$412,5090.88%-0.91%-0.25%
200591.07%0.79%1.16%$247,246$239,674$417,2751.07%0.79%1.16%
200510-1.80%-1.68%-1.33%$242,807$235,651$411,736-1.80%-1.68%-1.33%
2005112.32%3.76%3.86%$248,435$244,522$427,6442.32%3.76%3.86%
2005120.82%0.02%1.80%$250,482$244,576$435,3220.82%0.02%1.80%
200612.57%2.65%4.98%$256,920$251,046$456,9852.57%2.65%4.98%
20062-0.19%0.26%-0.13%$256,424$251,706$456,385-0.19%0.26%-0.13%
200630.61%1.23%1.91%$257,979$254,803$465,1160.61%1.23%1.91%
200641.93%1.33%1.78%$262,964$258,201$473,3821.93%1.33%1.78%
20065-1.36%-2.90%-4.55%$259,392$250,722$451,852-1.36%-2.90%-4.55%
200660.14%0.13%0.00%$259,763$251,042$451,8520.14%0.13%0.00%
200671.64%0.61%-1.40%$264,035$252,566$445,5201.64%0.61%-1.40%
200681.94%2.36%2.09%$269,145$258,531$454,8521.94%2.36%2.09%
200691.41%2.56%3.02%$272,937$265,159$468,5821.41%2.56%3.02%
2006102.60%3.25%2.46%$280,026$273,779$480,1142.60%3.25%2.46%
2006111.75%1.89%2.51%$284,921$278,951$492,1781.75%1.89%2.51%
2006121.07%1.39%-0.65%$287,977$282,832$488,9571.07%1.39%-0.65%
200710.68%1.49%2.16%$289,930$287,055$499,5230.68%1.49%2.16%
20072-0.49%-1.97%-1.85%$288,509$281,402$490,305-0.49%-1.97%-1.85%
200730.95%1.11%-0.14%$291,255$284,530$489,5950.95%1.11%-0.14%
200743.44%4.42%4.65%$301,265$297,101$512,3593.44%4.42%4.65%
200752.28%3.48%3.94%$308,146$307,431$532,5702.28%3.48%3.94%
20076-0.84%-1.68%-0.11%$305,570$302,278$532,002-0.84%-1.68%-0.11%
20077-1.47%-3.08%-1.64%$301,065$292,953$523,280-1.47%-3.08%-1.64%
200781.38%1.50%0.92%$305,209$297,342$528,1021.38%1.50%0.92%
200793.13%3.72%4.50%$314,764$308,415$551,8593.13%3.72%4.50%
2007100.98%1.58%2.69%$317,850$313,285$566,6800.98%1.58%2.69%
200711-1.31%-4.19%-3.57%$313,675$300,168$546,469-1.31%-4.19%-3.57%
200712-0.54%-0.70%-0.26%$311,982$298,067$545,074-0.54%-0.70%-0.26%
20081-2.85%-6.02%-4.86%$303,087$280,137$518,595-2.85%-6.02%-4.86%
20082-0.76%-3.25%-1.06%$300,792$271,028$513,073-0.76%-3.25%-1.06%
20083-0.35%-0.44%-1.00%$299,741$269,834$507,929-0.35%-0.44%-1.00%
200842.60%4.85%4.94%$307,546$282,933$533,0452.60%4.85%4.94%
200850.91%1.29%4.40%$310,340$286,590$556,4970.91%1.29%4.40%
20086-5.02%-8.44%-5.29%$294,765$262,407$527,068-5.02%-8.44%-5.29%
20087-1.32%-0.83%-0.50%$290,875$260,224$524,421-1.32%-0.83%-0.50%
200880.74%1.45%0.33%$293,014$263,988$526,1610.74%1.45%0.33%
20089-7.39%-8.91%-9.76%$271,357$240,477$474,793-7.39%-8.91%-9.76%
200810-12.18%-16.79%-16.28%$238,296$200,095$397,476-12.18%-16.79%-16.28%
200811-2.06%-7.17%-9.99%$233,390$185,739$357,759-2.06%-7.17%-9.99%
2008123.87%1.07%2.98%$242,425$187,721$368,4243.87%1.07%2.98%
20091-5.44%-8.41%-6.26%$229,227$171,928$345,346-5.44%-8.41%-6.26%
20092-6.45%-10.66%-8.69%$214,441$153,606$315,319-6.45%-10.66%-8.69%
200935.04%8.76%10.49%$225,241$167,062$348,4065.04%8.76%10.49%
200945.87%9.56%8.74%$238,455$183,031$378,8465.87%9.56%8.74%
200956.30%5.62%4.15%$253,471$193,313$394,5636.30%5.62%4.15%
200960.52%0.22%0.78%$254,785$193,738$397,6230.52%0.22%0.78%
200975.71%7.58%8.59%$269,338$208,420$431,7865.71%7.58%8.59%
200982.70%3.60%1.53%$276,615$215,920$438,4032.70%3.60%1.53%
200992.54%3.72%3.96%$283,650$223,946$455,7742.54%3.72%3.96%
200910-0.47%-1.87%-2.34%$282,327$219,763$445,103-0.47%-1.87%-2.34%
2009114.54%5.98%6.99%$295,155$232,908$476,2054.54%5.98%6.99%
2009120.37%1.95%4.02%$296,233$237,439$495,3360.37%1.95%4.02%
20101-1.70%-3.60%-4.78%$291,202$228,883$471,669-1.70%-3.60%-4.78%
201021.48%3.09%3.53%$295,514$235,959$488,3361.48%3.09%3.53%
201033.93%6.01%5.03%$307,125$250,149$512,9193.93%6.01%5.03%
201040.74%1.58%0.28%$309,399$254,096$514,3360.74%1.58%0.28%
20105-5.38%-8.01%-8.49%$292,761$233,756$470,669-5.38%-8.01%-8.49%
20106-2.17%-5.24%-5.77%$286,406$221,508$443,502-2.17%-5.24%-5.77%
201075.42%7.00%7.63%$301,930$237,005$477,3365.42%7.00%7.63%
20108-2.21%-4.53%-3.46%$295,262$226,269$460,836-2.21%-4.53%-3.46%
201095.26%8.92%9.15%$310,784$246,450$503,0035.26%8.92%9.15%
2010102.13%3.79%5.05%$317,394$255,786$528,4192.13%3.79%5.05%
201011-1.02%0.00%-0.76%$314,141$255,786$524,419-1.02%0.00%-0.76%
2010124.61%6.67%6.63%$328,632$272,851$559,1954.61%6.67%6.63%
201111.99%2.36%2.71%$335,184$279,282$574,3221.99%2.36%2.71%
201122.30%3.42%2.60%$342,897$288,823$589,2792.30%3.42%2.60%
20113-0.18%0.03%-0.14%$342,292$288,897$588,429-0.18%0.03%-0.14%
201142.80%2.95%3.45%$351,862$297,413$608,7402.80%2.95%3.45%
20115-0.51%-1.15%-0.71%$350,054$294,007$604,406-0.51%-1.15%-0.71%
20116-1.32%-1.67%-2.40%$345,426$289,090$589,874-1.32%-1.67%-2.40%
20117-1.30%-2.05%-2.97%$340,926$283,173$572,367-1.30%-2.05%-2.97%
20118-3.52%-5.45%-5.84%$328,926$267,750$538,969-3.52%-5.45%-5.84%
20119-4.12%-7.04%-7.82%$315,369$248,893$496,817-4.12%-7.04%-7.82%
2011107.12%10.91%11.50%$337,834$276,057$553,9267.12%10.91%11.50%
201111-0.64%-0.23%-0.54%$335,674$275,412$550,951-0.64%-0.23%-0.54%
2011121.67%1.02%-0.37%$341,290$278,215$548,8861.67%1.02%-0.37%
201213.29%4.46%5.36%$352,507$290,636$578,3133.29%4.46%5.36%
201222.56%4.31%2.57%$361,545$303,153$593,1592.56%4.31%2.57%
201231.53%3.28%2.13%$367,063$313,101$605,7841.53%3.28%2.13%
20124-0.09%-0.64%-1.31%$366,734$311,099$597,871-0.09%-0.64%-1.31%
20125-3.98%-6.02%-6.10%$352,153$292,377$561,421-3.98%-6.02%-6.10%
201263.22%4.11%4.13%$363,487$304,391$584,6253.22%4.11%4.13%
201271.46%1.37%1.66%$368,789$308,561$594,3151.46%1.37%1.66%
201281.23%2.24%2.24%$373,317$315,471$607,6511.23%2.24%2.24%
201291.93%2.58%1.52%$380,534$323,599$616,8961.93%2.58%1.52%
2012100.00%-1.86%-0.94%$380,534$317,581$611,1180.00%-1.86%-0.94%
2012110.18%0.56%1.98%$381,201$319,360$623,2090.18%0.56%1.98%
2012120.79%0.90%1.52%$384,198$322,241$632,6910.79%0.90%1.52%
201313.49%5.18%6.81%$397,595$338,921$675,7563.49%5.18%6.81%
201320.89%1.34%1.83%$401,114$343,459$688,1390.89%1.34%1.83%
201332.53%3.74%4.96%$411,270$356,300$722,2822.53%3.74%4.96%
201342.28%1.91%2.45%$420,635$363,100$739,9452.28%1.91%2.45%
201350.65%2.33%2.28%$423,376$371,551$756,7890.65%2.33%2.28%
20136-1.35%-1.35%-1.52%$417,660$366,533$745,317-1.35%-1.35%-1.52%
201373.55%5.07%3.92%$432,490$385,125$774,5433.55%5.07%3.92%
20138-2.23%-2.91%-1.67%$422,833$373,911$761,614-2.23%-2.91%-1.67%
201392.28%3.12%5.00%$432,486$385,583$799,6722.28%3.12%5.00%
2013102.78%4.59%4.49%$444,516$403,267$835,5452.78%4.59%4.49%
2013111.93%3.03%4.04%$453,075$415,480$869,3241.93%3.03%4.04%
2013121.47%2.51%1.70%$459,746$425,924$884,0621.47%2.51%1.70%
20141-1.53%-3.47%-0.78%$452,718$411,148$877,168-1.53%-3.47%-0.78%
201423.00%4.56%5.86%$466,289$429,900$928,5863.00%4.56%5.86%
201430.92%0.82%-0.01%$470,583$433,441$928,4900.92%0.82%-0.01%
201441.09%0.72%-1.47%$475,705$436,580$914,7981.09%0.72%-1.47%
201451.46%2.33%3.66%$482,656$446,773$948,3101.46%2.33%3.66%
201461.40%2.05%2.44%$489,410$455,941$971,4821.40%2.05%2.44%
20147-1.03%-1.39%-0.84%$484,381$449,612$963,343-1.03%-1.39%-0.84%
201482.46%3.98%3.89%$496,279$467,514$1,000,7812.46%3.98%3.89%
20149-1.36%-1.41%-0.34%$489,516$460,910$997,334-1.36%-1.41%-0.34%
2014101.56%2.42%2.22%$497,166$472,079$1,019,4531.56%2.42%2.22%
2014111.81%2.68%3.32%$506,174$484,742$1,053,2521.81%2.68%3.32%
201412-0.25%-0.26%-0.35%$504,903$483,460$1,049,582-0.25%-0.26%-0.35%
20151-1.38%-3.02%-1.56%$497,939$468,872$1,033,254-1.38%-3.02%-1.56%
201523.26%5.74%5.20%$514,189$495,783$1,086,9323.26%5.74%5.20%
20153-0.98%-1.59%-1.27%$509,171$487,882$1,073,156-0.98%-1.59%-1.27%
201541.10%0.95%-0.29%$514,750$492,512$1,069,9921.10%0.95%-0.29%
201550.33%1.27%1.59%$516,436$498,780$1,087,0340.33%1.27%1.59%
20156-1.94%-1.93%-2.77%$506,433$489,139$1,056,930-1.94%-1.93%-2.77%
201571.78%2.08%1.51%$515,439$499,314$1,072,8491.78%2.08%1.51%
20158-4.51%-6.04%-5.81%$492,205$469,148$1,010,497-4.51%-6.04%-5.81%
20159-1.35%-2.49%-2.05%$485,558$457,466$989,781-1.35%-2.49%-2.05%
2015105.44%8.42%8.84%$511,964$495,997$1,077,2385.44%8.42%8.84%
2015110.08%0.29%0.37%$512,358$497,417$1,081,2180.08%0.29%0.37%
201512-1.40%-1.59%-0.42%$505,189$489,496$1,076,699-1.40%-1.59%-0.42%
20161-2.77%-4.98%-6.57%$491,182$465,135$1,005,963-2.77%-4.98%-6.57%
20162-0.25%-0.15%-1.16%$489,946$464,460$994,300-0.25%-0.15%-1.16%
201635.08%6.78%6.16%$514,812$495,929$1,055,5325.08%6.78%6.16%
201641.45%0.37%-0.41%$522,273$497,782$1,051,2121.45%0.37%-0.41%
201650.79%1.78%3.10%$526,419$506,657$1,083,8270.79%1.78%3.10%
201660.78%0.25%-2.35%$530,509$507,924$1,058,3400.78%0.25%-2.35%
201672.39%3.68%6.54%$543,166$526,597$1,127,5642.39%3.68%6.54%
201680.20%0.13%1.27%$544,279$527,279$1,141,9270.20%0.13%1.27%
20169-0.13%0.01%1.76%$543,569$527,322$1,162,014-0.13%0.01%1.76%
201610-1.16%-1.83%-2.98%$537,269$517,656$1,127,348-1.16%-1.83%-2.98%
2016112.21%3.70%3.88%$549,168$536,804$1,171,0862.21%3.70%3.88%
2016122.12%1.96%1.72%$560,830$547,339$1,191,2022.12%1.96%1.72%
201710.92%1.88%3.10%$565,999$557,646$1,228,1620.92%1.88%3.10%
201722.66%3.96%4.25%$581,075$579,744$1,280,3132.66%3.96%4.25%
20173-0.18%0.10%0.72%$580,041$580,324$1,289,496-0.18%0.10%0.72%
201740.77%1.02%1.48%$584,518$586,233$1,308,5430.77%1.02%1.48%
201751.16%1.39%2.95%$591,306$594,403$1,347,2031.16%1.39%2.95%
201760.69%0.61%1.25%$595,391$598,039$1,364,0950.69%0.61%1.25%
201771.20%2.04%0.88%$602,515$610,253$1,376,1131.20%2.04%0.88%
201780.14%0.29%0.72%$603,388$612,044$1,385,9760.14%0.29%0.72%
201792.02%2.06%3.75%$615,580$624,647$1,438,0142.02%2.06%3.75%
2017101.38%2.32%2.64%$624,063$639,123$1,475,9941.38%2.32%2.64%
2017111.83%3.06%3.26%$635,471$658,676$1,524,1771.83%3.06%3.26%
2017121.25%1.10%1.22%$643,407$665,935$1,542,7201.25%1.10%1.22%
201812.88%5.71%6.83%$661,930$703,977$1,648,0502.88%5.71%6.83%
20182-3.58%-3.69%-2.51%$638,202$677,968$1,606,756-3.58%-3.69%-2.51%
20183-1.10%-2.56%-2.44%$631,185$660,643$1,567,497-1.10%-2.56%-2.44%
201840.29%0.37%-0.46%$633,033$663,109$1,560,3150.29%0.37%-0.46%
201850.61%2.39%4.37%$636,881$678,988$1,628,5400.61%2.39%4.37%
20186-0.14%0.61%-1.00%$635,974$683,096$1,612,262-0.14%0.61%-1.00%
201873.37%3.71%5.76%$657,375$708,434$1,705,1433.37%3.71%5.76%
201881.13%3.25%3.12%$664,818$731,432$1,758,4061.13%3.25%3.12%
201890.26%0.55%0.48%$666,545$735,486$1,766,7850.26%0.55%0.48%
201810-3.93%-6.85%-8.36%$640,327$685,113$1,619,084-3.93%-6.85%-8.36%
2018112.02%2.03%3.58%$653,280$698,998$1,677,0152.02%2.03%3.58%
201812-4.88%-9.04%-9.85%$621,383$635,807$1,511,750-4.88%-9.04%-9.85%
201914.42%8.00%8.10%$648,837$686,685$1,634,1464.42%8.00%8.10%
201922.45%3.20%3.77%$664,739$708,662$1,695,7972.45%3.20%3.77%
201931.56%1.94%-1.26%$675,086$722,387$1,674,4271.56%1.94%-1.26%
201942.42%4.04%3.68%$691,428$751,579$1,736,0782.42%4.04%3.68%
20195-2.83%-6.36%-8.28%$671,885$703,744$1,592,311-2.83%-6.36%-8.28%
201964.39%7.03%7.44%$701,365$753,238$1,710,8224.39%7.03%7.44%
201971.14%1.43%2.22%$709,337$763,978$1,748,7711.14%1.43%2.22%
201980.38%-1.59%-2.75%$712,051$751,823$1,700,7190.38%-1.59%-2.75%
201991.63%1.86%1.38%$723,658$765,798$1,724,1621.63%1.86%1.38%
2019101.42%2.15%4.01%$733,899$782,301$1,793,3261.42%2.15%4.01%
2019111.67%3.62%4.34%$746,187$810,624$1,871,1671.67%3.62%4.34%
2019122.02%3.01%3.24%$761,248$834,987$1,931,7212.02%3.01%3.24%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value27.64%47.15%14.04%
Large-cap Growth23.23%52.66%59.75%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%14.00%
Small-cap Value0.00%0.00%6.58%
Small-cap Growth0.00%0.00%1.37%
Global ex-US Developed Markets10.01%0.00%2.72%
Emerging Markets0.83%0.00%1.54%
Corporate Bonds14.58%0.00%0.00%
Long-Term Treasuries0.65%0.00%0.00%
Intermediate-Term Treasuries2.44%0.20%0.00%
Short-Term Treasuries20.63%0.00%0.00%
R Squared97.12%99.92%93.74%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 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
VWELXVanguard Wellington Inv50% to 70% Equity100.00%0.25%20.928.04$711,248100.00%

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/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%25.91$784,987100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VPMCXVanguard PRIMECAP InvLarge Growth100.00%0.38%19.84$1,881,721100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (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)0.80%0.87%1.13%
Arithmetic Mean (annualized)9.98%10.95%14.46%
Geometric Mean (monthly)0.76%0.79%1.02%
Geometric Mean (annualized)9.50%9.84%12.95%
Volatility (monthly)2.70%4.10%4.71%
Volatility (annualized)9.34%14.21%16.32%
Downside Deviation (monthly)1.66%2.71%2.99%
Max. Drawdown-32.53%-50.97%-49.06%
US Market Correlation0.890.990.93
Beta(*)0.580.971.05
Alpha (annualized)3.51%0.29%2.57%
R280.07%97.72%87.09%
Sharpe Ratio0.730.540.66
Sortino Ratio1.110.791.01
Treynor Ratio (%)11.827.9510.33
Calmar Ratio1.581.121.21
Active Return-0.33%0.00%3.12%
Tracking Error7.42%2.19%5.91%
Information Ratio-0.050.000.53
Skewness-0.57-0.62-0.53
Excess Kurtosis1.721.291.14
Historical Value-at-Risk (5%)-3.97%-6.84%-7.70%
Analytical Value-at-Risk (5%)-3.64%-5.88%-6.62%
Conditional Value-at-Risk (5%)-5.78%-9.20%-10.40%
Upside Capture Ratio (%)64.7896.65113.61
Downside Capture Ratio (%)51.7695.60100.89
Safe Withdrawal Rate8.19%8.39%11.47%
Perpetual Withdrawal Rate6.48%6.77%9.34%
Positive Periods241 out of 360 (66.94%)238 out of 360 (66.11%)214 out of 360 (59.44%)
Gain/Loss Ratio1.040.881.24
* 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
Asian CrisisJul 1997Jan 1998-3.86%-5.61%-5.62%
Russian Debt DefaultJul 1998Oct 1998-9.11%-15.38%-17.16%
Dotcom CrashMar 2000Oct 2002-15.11%-44.82%-49.06%
Subprime CrisisNov 2007Mar 2009-32.53%-50.97%-44.36%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.53%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-15.11%
3Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.84%
4Jun 1990Oct 19905 monthsJan 19913 months8 months-10.67%
5May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
6May 1998Aug 19984 monthsNov 19983 months7 months-9.16%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-7.26%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-6.92%
9Oct 2018Dec 20183 monthsMar 20193 months6 months-6.78%
10Jan 1990Apr 19904 monthsMay 19901 month5 months-6.36%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
10May 2019May 20191 monthJun 20191 month2 months-6.36%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Sep 20022 years 1 monthJan 20063 years 4 months5 years 5 months-49.06%
2Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-44.36%
3Jun 1990Oct 19905 monthsFeb 19914 months9 months-22.35%
4May 2011Sep 20115 monthsSep 20121 year1 year 5 months-18.39%
5May 1998Aug 19984 monthsNov 19983 months7 months-17.78%
6Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-14.43%
7Mar 1992Aug 19926 monthsNov 19923 months9 months-11.01%
8Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-8.95%
9Jun 1996Jul 19962 monthsNov 19964 months6 months-8.13%
10Jan 1990Jan 19901 monthMar 19902 months3 months-6.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWELXVanguard Wellington Inv9.50%9.34%32.92%-22.30%-32.53%0.731.110.89
VFINXVanguard 500 Index Investor9.84%14.21%37.45%-37.02%-50.97%0.540.790.99
VPMCXVanguard PRIMECAP Inv12.95%16.32%41.34%-32.41%-49.06%0.661.010.93

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWELXVFINXVPMCXPortfolio 1Portfolio 2Portfolio 3
VWELXVanguard Wellington Inv1.000.920.801.000.920.80
VFINXVanguard 500 Index Investor0.921.000.910.921.000.91
VPMCXVanguard PRIMECAP Inv0.800.911.000.800.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWELXVanguard Wellington Inv$711,248
VFINXVanguard 500 Index Investor$784,987
VPMCXVanguard PRIMECAP Inv$1,881,721

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWELXVanguard Wellington Inv100.00%
VFINXVanguard 500 Index Investor100.00%
VPMCXVanguard PRIMECAP Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.07%32.92%-22.30%11.33%37.45%-37.02%14.55%41.34%-32.41%
3 years9.65%23.93%-1.08%10.20%31.03%-14.60%13.50%34.36%-11.94%
5 years9.52%17.36%2.82%9.77%28.49%-2.38%13.10%31.20%1.67%
7 years9.52%16.25%3.73%9.54%21.44%-1.64%12.86%26.25%1.75%
10 years9.01%14.00%4.49%8.38%18.07%-1.46%11.83%22.72%3.23%
15 years8.77%11.55%6.99%7.53%11.41%4.13%11.01%15.74%7.25%
Result statistics are based on annualized rolling returns over full calendar year periods