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 2000 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QQQ Invesco QQQ Trust 100.00%
Save portfolio »
Portfolio 2
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
Portfolio 1$10,000$33,815 6.02% 23.60%54.68%-41.73%-81.08% 0.300.420.86
Portfolio 2$10,000$32,548 5.83% 15.05%32.18%-37.02%-50.97% 0.340.490.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 11.35%27.19%37.51%21.89%19.95%19.04%6.02%
Portfolio 20.34%2.65%9.56%10.28%11.56%12.85%5.83%
Trailing returns are for full months ending in October 2020 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 2020 are based on monthly returns from January to October
  • 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.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeInvesco QQQ Trust (QQQ)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20003.39%-36.11%-9.06%$6,389$9,0940.00% [$0.00]0.96% [$96.40]-36.11%-9.06%
20011.55%-33.34%-12.02%$4,258$8,0010.00% [$0.00]1.05% [$95.59]-33.34%-12.02%
20022.38%-37.37%-22.15%$2,667$6,2290.00% [$0.00]1.29% [$103]-37.37%-22.15%
20031.88%49.67%28.50%$3,992$8,0050.06% [$1.53]1.77% [$110]49.67%28.50%
20043.26%10.54%10.74%$4,412$8,8641.04% [$41.49]1.91% [$153]10.54%10.74%
20053.42%1.57%4.77%$4,482$9,2870.34% [$15.04]1.79% [$158]1.57%4.77%
20062.54%7.14%15.64%$4,802$10,7400.33% [$14.66]1.87% [$174]7.14%15.64%
20074.08%19.02%5.39%$5,715$11,3190.33% [$15.93]1.92% [$206]19.02%5.39%
20080.09%-41.73%-37.02%$3,330$7,1280.27% [$15.42]1.87% [$211]-41.73%-37.02%
20092.72%54.68%26.49%$5,151$9,0160.70% [$23.23]2.56% [$182]54.68%26.49%
20101.50%20.14%14.91%$6,189$10,3610.98% [$50.73]1.93% [$174]20.14%14.91%
20112.96%3.47%1.97%$6,404$10,5650.94% [$58.38]1.95% [$202]3.47%1.97%
20121.74%18.12%15.82%$7,564$12,2371.48% [$94.81]2.35% [$248]18.12%15.82%
20131.50%36.63%32.18%$10,335$16,1741.38% [$104]2.26% [$277]36.63%32.18%
20140.76%19.18%13.51%$12,318$18,3591.66% [$172]1.95% [$316]19.18%13.51%
20150.73%9.45%1.25%$13,481$18,5881.07% [$132]1.99% [$365]9.45%1.25%
20162.07%7.10%11.82%$14,439$20,7851.13% [$152]2.13% [$395]7.10%11.82%
20172.11%32.66%21.67%$19,155$25,2881.10% [$159]2.04% [$423]32.66%21.67%
20181.91%-0.12%-4.52%$19,133$24,1440.91% [$173]1.84% [$464]-0.12%-4.52%
20192.29%38.96%31.33%$26,587$31,7081.03% [$197]2.30% [$556]38.96%31.33%
20201.29%27.19%2.65%$33,815$32,5480.37% [$98.53]1.25% [$395]27.19%2.65%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceInvesco QQQ Trust (QQQ)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20001-1.85%-5.03%$9,815$9,497-1.85%-5.03%
2000219.02%-1.91%$11,683$9,31619.02%-1.91%
200032.58%9.76%$11,984$10,2252.58%9.76%
20004-13.47%-3.01%$10,369$9,918-13.47%-3.01%
20005-12.27%-2.04%$9,097$9,715-12.27%-2.04%
2000612.41%2.49%$10,226$9,95712.41%2.49%
20007-4.28%-1.49%$9,788$9,809-4.28%-1.49%
2000813.63%6.19%$11,122$10,41613.63%6.19%
20009-12.67%-5.29%$9,713$9,865-12.67%-5.29%
200010-7.94%-0.43%$8,942$9,822-7.94%-0.43%
200011-22.91%-7.88%$6,893$9,049-22.91%-7.88%
200012-7.32%0.50%$6,389$9,094-7.32%0.50%
2001110.15%3.55%$7,037$9,41710.15%3.55%
20012-26.21%-9.14%$5,193$8,556-26.21%-9.14%
20013-17.49%-6.36%$4,285$8,012-17.49%-6.36%
2001417.88%7.77%$5,051$8,63517.88%7.77%
20015-3.08%0.65%$4,895$8,691-3.08%0.65%
200162.17%-2.45%$5,001$8,4792.17%-2.45%
20017-8.62%-1.00%$4,570$8,394-8.62%-1.00%
20018-12.28%-6.27%$4,009$7,867-12.28%-6.27%
20019-20.88%-8.09%$3,172$7,231-20.88%-8.09%
20011016.98%1.90%$3,710$7,36816.98%1.90%
20011116.96%7.65%$4,339$7,93216.96%7.65%
200112-1.87%0.87%$4,258$8,001-1.87%0.87%
20021-1.03%-1.47%$4,215$7,883-1.03%-1.47%
20022-12.28%-1.94%$3,697$7,730-12.28%-1.94%
200236.75%3.74%$3,946$8,0206.75%3.74%
20024-12.01%-6.07%$3,473$7,533-12.01%-6.07%
20025-5.33%-0.75%$3,288$7,476-5.33%-0.75%
20026-13.12%-7.13%$2,856$6,942-13.12%-7.13%
20027-8.62%-7.72%$2,610$6,407-8.62%-7.72%
20028-1.51%0.65%$2,571$6,448-1.51%0.65%
20029-11.79%-10.87%$2,268$5,747-11.79%-10.87%
20021018.48%8.78%$2,687$6,25218.48%8.78%
20021112.91%5.88%$3,034$6,61912.91%5.88%
200212-12.09%-5.89%$2,667$6,229-12.09%-5.89%
200310.29%-2.62%$2,675$6,0660.29%-2.62%
200322.95%-1.52%$2,753$5,9742.95%-1.52%
200330.36%0.96%$2,763$6,0310.36%0.96%
200348.71%8.25%$3,004$6,5288.71%8.25%
200358.52%5.26%$3,260$6,8728.52%5.26%
200360.54%1.26%$3,278$6,9590.54%1.26%
200376.18%1.74%$3,480$7,0806.18%1.74%
200385.00%1.93%$3,654$7,2175.00%1.93%
20039-2.91%-1.07%$3,548$7,140-2.91%-1.07%
2003108.51%5.64%$3,850$7,5428.51%5.64%
2003110.57%0.86%$3,872$7,6070.57%0.86%
2003123.09%5.22%$3,992$8,0053.09%5.22%
200411.67%1.82%$4,058$8,1501.67%1.82%
20042-1.35%1.38%$4,004$8,263-1.35%1.38%
20043-2.00%-1.51%$3,924$8,138-2.00%-1.51%
20044-2.99%-1.58%$3,807$8,009-2.99%-1.58%
200455.12%1.36%$4,002$8,1185.12%1.36%
200463.26%1.93%$4,132$8,2753.26%1.93%
20047-7.55%-3.31%$3,820$8,001-7.55%-3.31%
20048-2.49%0.38%$3,725$8,031-2.49%0.38%
200493.29%1.07%$3,847$8,1173.29%1.07%
2004105.01%1.51%$4,040$8,2405.01%1.51%
2004116.02%4.05%$4,283$8,5736.02%4.05%
2004123.02%3.39%$4,412$8,8643.02%3.39%
20051-6.31%-2.45%$4,134$8,647-6.31%-2.45%
20052-0.48%2.09%$4,114$8,828-0.48%2.09%
20053-1.75%-1.76%$4,042$8,672-1.75%-1.76%
20054-4.35%-1.91%$3,866$8,507-4.35%-1.91%
200558.86%3.17%$4,209$8,7768.86%3.17%
20056-3.32%0.13%$4,069$8,787-3.32%0.13%
200577.61%3.71%$4,379$9,1137.61%3.71%
20058-1.52%-0.91%$4,313$9,030-1.52%-0.91%
200591.23%0.79%$4,366$9,1011.23%0.79%
200510-1.50%-1.68%$4,300$8,949-1.50%-1.68%
2005116.10%3.76%$4,563$9,2856.10%3.76%
200512-1.77%0.02%$4,482$9,287-1.77%0.02%
200613.93%2.65%$4,658$9,5333.93%2.65%
20062-2.14%0.26%$4,558$9,558-2.14%0.26%
200632.09%1.23%$4,653$9,6762.09%1.23%
20064-0.19%1.33%$4,645$9,805-0.19%1.33%
20065-7.24%-2.90%$4,308$9,521-7.24%-2.90%
20066-0.06%0.13%$4,306$9,533-0.06%0.13%
20067-4.31%0.61%$4,120$9,591-4.31%0.61%
200684.77%2.36%$4,317$9,8174.77%2.36%
200694.64%2.56%$4,517$10,0694.64%2.56%
2006104.75%3.25%$4,732$10,3964.75%3.25%
2006113.43%1.89%$4,894$10,5933.43%1.89%
200612-1.88%1.39%$4,802$10,740-1.88%1.39%
200712.11%1.49%$4,903$10,9012.11%1.49%
20072-1.68%-1.97%$4,821$10,686-1.68%-1.97%
200730.52%1.11%$4,846$10,8050.52%1.11%
200745.58%4.42%$5,117$11,2825.58%4.42%
200753.15%3.48%$5,278$11,6743.15%3.48%
200760.48%-1.68%$5,303$11,4790.48%-1.68%
20077-0.15%-3.08%$5,295$11,125-0.15%-3.08%
200782.82%1.50%$5,445$11,2912.82%1.50%
200795.25%3.72%$5,731$11,7125.25%3.72%
2007107.04%1.58%$6,134$11,8977.04%1.58%
200711-6.76%-4.19%$5,719$11,399-6.76%-4.19%
200712-0.07%-0.70%$5,715$11,319-0.07%-0.70%
20081-11.89%-6.02%$5,036$10,638-11.89%-6.02%
20082-4.83%-3.25%$4,793$10,292-4.83%-3.25%
200831.87%-0.44%$4,882$10,2471.87%-0.44%
200847.98%4.85%$5,272$10,7447.98%4.85%
200855.93%1.29%$5,585$10,8835.93%1.29%
20086-9.61%-8.44%$5,048$9,965-9.61%-8.44%
200870.64%-0.83%$5,080$9,8820.64%-0.83%
200881.45%1.45%$5,154$10,0251.45%1.45%
20089-15.58%-8.91%$4,351$9,132-15.58%-8.91%
200810-15.47%-16.79%$3,678$7,598-15.47%-16.79%
200811-11.46%-7.17%$3,256$7,053-11.46%-7.17%
2008122.28%1.07%$3,330$7,1282.28%1.07%
20091-2.29%-8.41%$3,254$6,529-2.29%-8.41%
20092-5.26%-10.66%$3,083$5,833-5.26%-10.66%
2009310.32%8.76%$3,401$6,34410.32%8.76%
2009413.06%9.56%$3,845$6,95013.06%9.56%
200953.21%5.62%$3,969$7,3413.21%5.62%
200962.95%0.22%$4,086$7,3572.95%0.22%
200978.44%7.58%$4,431$7,9148.44%7.58%
200981.47%3.60%$4,496$8,1991.47%3.60%
200995.65%3.72%$4,750$8,5045.65%3.72%
200910-3.05%-1.87%$4,605$8,345-3.05%-1.87%
2009116.35%5.98%$4,897$8,8446.35%5.98%
2009125.20%1.95%$5,151$9,0165.20%1.95%
20101-6.47%-3.60%$4,818$8,692-6.47%-3.60%
201024.60%3.09%$5,040$8,9604.60%3.09%
201037.71%6.01%$5,429$9,4997.71%6.01%
201042.24%1.58%$5,550$9,6492.24%1.58%
20105-7.39%-8.01%$5,140$8,877-7.39%-8.01%
20106-5.98%-5.24%$4,833$8,412-5.98%-5.24%
201077.26%7.00%$5,184$9,0007.26%7.00%
20108-5.13%-4.53%$4,918$8,592-5.13%-4.53%
2010913.17%8.92%$5,566$9,35913.17%8.92%
2010106.34%3.79%$5,918$9,7136.34%3.79%
201011-0.17%0.00%$5,908$9,713-0.17%0.00%
2010124.76%6.67%$6,189$10,3614.76%6.67%
201112.83%2.36%$6,364$10,6052.83%2.36%
201123.16%3.42%$6,565$10,9683.16%3.42%
20113-0.45%0.03%$6,536$10,971-0.45%0.03%
201142.87%2.95%$6,724$11,2942.87%2.95%
20115-1.22%-1.15%$6,642$11,165-1.22%-1.15%
20116-2.02%-1.67%$6,507$10,978-2.02%-1.67%
201171.67%-2.05%$6,616$10,7531.67%-2.05%
20118-5.07%-5.45%$6,280$10,167-5.07%-5.45%
20119-4.49%-7.04%$5,998$9,451-4.49%-7.04%
20111010.40%10.91%$6,622$10,48310.40%10.91%
201111-2.69%-0.23%$6,444$10,458-2.69%-0.23%
201112-0.62%1.02%$6,404$10,565-0.62%1.02%
201218.42%4.46%$6,943$11,0378.42%4.46%
201226.41%4.31%$7,388$11,5126.41%4.31%
201235.05%3.28%$7,762$11,8905.05%3.28%
20124-1.17%-0.64%$7,671$11,814-1.17%-0.64%
20125-7.04%-6.02%$7,131$11,103-7.04%-6.02%
201263.62%4.11%$7,389$11,5593.62%4.11%
201271.00%1.37%$7,463$11,7171.00%1.37%
201285.19%2.24%$7,850$11,9805.19%2.24%
201290.89%2.58%$7,919$12,2880.89%2.58%
201210-5.28%-1.86%$7,501$12,060-5.28%-1.86%
2012111.31%0.56%$7,599$12,1271.31%0.56%
201212-0.46%0.90%$7,564$12,237-0.46%0.90%
201312.67%5.18%$7,766$12,8702.67%5.18%
201320.34%1.34%$7,793$13,0420.34%1.34%
201333.03%3.74%$8,029$13,5303.03%3.74%
201342.54%1.91%$8,233$13,7882.54%1.91%
201353.58%2.33%$8,527$14,1093.58%2.33%
20136-2.39%-1.35%$8,323$13,919-2.39%-1.35%
201376.31%5.07%$8,849$14,6256.31%5.07%
20138-0.40%-2.91%$8,813$14,199-0.40%-2.91%
201394.83%3.12%$9,239$14,6424.83%3.12%
2013104.96%4.59%$9,697$15,3144.96%4.59%
2013113.55%3.03%$10,042$15,7773.55%3.03%
2013122.92%2.51%$10,335$16,1742.92%2.51%
20141-1.92%-3.47%$10,137$15,613-1.92%-3.47%
201425.15%4.56%$10,659$16,3255.15%4.56%
20143-2.73%0.82%$10,368$16,459-2.73%0.82%
20144-0.32%0.72%$10,335$16,579-0.32%0.72%
201454.49%2.33%$10,798$16,9664.49%2.33%
201463.12%2.05%$11,136$17,3143.12%2.05%
201471.18%-1.39%$11,267$17,0731.18%-1.39%
201485.01%3.98%$11,832$17,7535.01%3.98%
20149-0.76%-1.41%$11,742$17,502-0.76%-1.41%
2014102.64%2.42%$12,052$17,9272.64%2.42%
2014114.55%2.68%$12,600$18,4074.55%2.68%
201412-2.24%-0.26%$12,318$18,359-2.24%-0.26%
20151-2.08%-3.02%$12,061$17,805-2.08%-3.02%
201527.22%5.74%$12,932$18,8277.22%5.74%
20153-2.36%-1.59%$12,627$18,527-2.36%-1.59%
201541.92%0.95%$12,870$18,7031.92%0.95%
201552.25%1.27%$13,159$18,9412.25%1.27%
20156-2.48%-1.93%$12,832$18,574-2.48%-1.93%
201574.56%2.08%$13,417$18,9614.56%2.08%
20158-6.82%-6.04%$12,501$17,815-6.82%-6.04%
20159-2.20%-2.49%$12,226$17,372-2.20%-2.49%
20151011.37%8.42%$13,616$18,83511.37%8.42%
2015110.61%0.29%$13,699$18,8890.61%0.29%
201512-1.59%-1.59%$13,481$18,588-1.59%-1.59%
20161-6.91%-4.98%$12,550$17,663-6.91%-4.98%
20162-1.57%-0.15%$12,353$17,637-1.57%-0.15%
201636.85%6.78%$13,200$18,8326.85%6.78%
20164-3.19%0.37%$12,779$18,903-3.19%0.37%
201654.37%1.78%$13,337$19,2404.37%1.78%
20166-2.27%0.25%$13,034$19,288-2.27%0.25%
201677.15%3.68%$13,966$19,9977.15%3.68%
201681.05%0.13%$14,113$20,0231.05%0.13%
201692.21%0.01%$14,425$20,0242.21%0.01%
201610-1.46%-1.83%$14,215$19,657-1.46%-1.83%
2016110.44%3.70%$14,277$20,3840.44%3.70%
2016121.13%1.96%$14,439$20,7851.13%1.96%
201715.14%1.88%$15,181$21,1765.14%1.88%
201724.38%3.96%$15,845$22,0154.38%3.96%
201732.03%0.10%$16,166$22,0372.03%0.10%
201742.73%1.02%$16,607$22,2612.73%1.02%
201753.90%1.39%$17,254$22,5723.90%1.39%
20176-2.32%0.61%$16,854$22,710-2.32%0.61%
201774.06%2.04%$17,539$23,1744.06%2.04%
201782.07%0.29%$17,903$23,2422.07%0.29%
20179-0.29%2.06%$17,850$23,720-0.29%2.06%
2017104.61%2.32%$18,672$24,2704.61%2.32%
2017111.97%3.06%$19,040$25,0121.97%3.06%
2017120.60%1.10%$19,155$25,2880.60%1.10%
201818.76%5.71%$20,832$26,7338.76%5.71%
20182-1.29%-3.69%$20,563$25,745-1.29%-3.69%
20183-4.08%-2.56%$19,725$25,087-4.08%-2.56%
201840.51%0.37%$19,825$25,1810.51%0.37%
201855.67%2.39%$20,949$25,7845.67%2.39%
201861.15%0.61%$21,189$25,9401.15%0.61%
201872.80%3.71%$21,782$26,9022.80%3.71%
201885.78%3.25%$23,041$27,7755.78%3.25%
20189-0.28%0.55%$22,976$27,929-0.28%0.55%
201810-8.60%-6.85%$21,001$26,016-8.60%-6.85%
201811-0.26%2.03%$20,945$26,544-0.26%2.03%
201812-8.65%-9.04%$19,133$24,144-8.65%-9.04%
201919.01%8.00%$20,857$26,0769.01%8.00%
201922.99%3.20%$21,480$26,9112.99%3.20%
201933.92%1.94%$22,323$27,4323.92%1.94%
201945.50%4.04%$23,551$28,5405.50%4.04%
20195-8.23%-6.36%$21,614$26,724-8.23%-6.36%
201967.59%7.03%$23,254$28,6037.59%7.03%
201972.33%1.43%$23,797$29,0112.33%1.43%
20198-1.90%-1.59%$23,345$28,550-1.90%-1.59%
201990.92%1.86%$23,560$29,0800.92%1.86%
2019104.38%2.15%$24,591$29,7074.38%2.15%
2019114.07%3.62%$25,592$30,7824.07%3.62%
2019123.89%3.01%$26,587$31,7083.89%3.01%
202013.04%-0.05%$27,394$31,6923.04%-0.05%
20202-6.06%-8.24%$25,735$29,080-6.06%-8.24%
20203-7.29%-12.37%$23,860$25,482-7.29%-12.37%
2020414.97%12.81%$27,433$28,74714.97%12.81%
202056.60%4.76%$29,244$30,1146.60%4.76%
202066.28%1.98%$31,081$30,7106.28%1.98%
202077.35%5.63%$33,365$32,4387.35%5.63%
2020810.94%7.18%$37,016$34,76610.94%7.18%
20209-5.78%-3.81%$34,877$33,441-5.78%-3.81%
202010-3.04%-2.67%$33,815$32,548-3.04%-2.67%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%46.13%
Large-cap Growth90.68%53.87%
Mid-cap Value0.00%0.00%
Mid-cap Growth6.03%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets3.30%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 Squared87.52%99.91%
Style analysis is based on monthly returns from Apr 2005 to Oct 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
QQQInvesco QQQ TrustLarge Growth100.00%0.20%32.69$23,815100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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%25.27$22,548100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (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 2
Arithmetic Mean (monthly)0.73%0.57%
Arithmetic Mean (annualized)9.07%7.04%
Geometric Mean (monthly)0.49%0.47%
Geometric Mean (annualized)6.02%5.83%
Volatility (monthly)6.81%4.35%
Volatility (annualized)23.60%15.05%
Downside Deviation (monthly)4.78%3.02%
Max. Drawdown-81.08%-50.97%
US Market Correlation0.860.99
Beta(*)1.310.96
Alpha (annualized)-0.77%-0.14%
R273.98%98.12%
Sharpe Ratio0.300.34
Sortino Ratio0.420.49
Treynor Ratio (%)5.435.42
Calmar Ratio1.290.52
Active Return-0.17%-0.37%
Tracking Error12.96%2.15%
Information Ratio-0.01-0.17
Skewness-0.54-0.55
Excess Kurtosis1.651.10
Historical Value-at-Risk (5%)-12.17%-7.93%
Analytical Value-at-Risk (5%)-10.48%-6.58%
Conditional Value-at-Risk (5%)-16.22%-9.91%
Upside Capture Ratio (%)135.5594.64
Downside Capture Ratio (%)136.0395.97
Safe Withdrawal Rate2.52%4.57%
Perpetual Withdrawal Rate3.84%3.65%
Positive Periods145 out of 250 (58.00%)160 out of 250 (64.00%)
Gain/Loss Ratio0.960.78
* 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
Dotcom CrashMar 2000Oct 2002-81.08%-44.82%
Subprime CrisisNov 2007Mar 2009-49.74%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsOct 201412 years 1 month14 years 7 months-81.08%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-16.96%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-12.90%
4Dec 2015Feb 20163 monthsJul 20165 months8 months-9.82%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-8.88%
6Sep 2020Oct 20202 months-8.65%
7May 2019May 20191 monthJul 20192 months3 months-8.23%
8Feb 2018Mar 20182 monthsMay 20182 months4 months-5.32%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-4.28%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.48%
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%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Sep 2020Oct 20202 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QQQInvesco QQQ Trust6.02%23.60%54.68%-41.73%-81.08%0.300.420.86
VFINXVanguard 500 Index Investor5.83%15.05%32.18%-37.02%-50.97%0.340.490.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameQQQVFINXPortfolio 1Portfolio 2
QQQInvesco QQQ Trust1.000.831.000.83
VFINXVanguard 500 Index Investor0.831.000.831.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
QQQInvesco QQQ Trust$23,815
VFINXVanguard 500 Index Investor$22,548

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
QQQInvesco QQQ Trust100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.98%54.68%-41.73%7.56%32.18%-37.02%
3 years8.10%24.36%-35.63%6.71%20.22%-14.60%
5 years9.00%25.42%-15.09%7.11%17.81%-2.38%
7 years9.27%22.11%-9.95%7.11%14.67%-1.64%
10 years9.30%19.10%-6.42%6.70%13.40%-1.03%
15 years8.79%14.05%1.40%6.98%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods