Rolling Portfolio Optimization

This portfolio optimization tool performs rolling portfolio optimization where at the start of each period the portfolio asset weights are optimized for the given performance goal based on the specified timing window of past returns. The following rolling optimization strategies are supported:

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional.

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Portfolio Optimization Results (Jan 1997 - Oct 2020) Save

Rolling portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility using 24-month lookback period and quarterly optimization.

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRExpected ReturnStdevBest YearWorst YearMax. DrawdownSharpe Ratio (ex-ante)Sharpe Ratio (ex-post)Sortino RatioUS Mkt Correlation
Provided Portfolio$10,000$51,354 7.11% 7.36% 6.88%19.94%-15.83%-24.39% 0.770.741.130.92
Maximum Return at 10.00% Volatility$10,000$57,350 7.60% 7.92% 7.66%25.51%-9.98%-16.41% 0.770.731.090.82
Equal Weighted$10,000$51,354 7.11% 7.36% 6.88%19.94%-15.83%-24.39% 0.770.741.130.92
Vanguard 500 Index Investor$10,000$67,504 8.34% 9.63% 15.36%33.19%-37.02%-50.97% 0.490.470.670.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Provided Portfolio-0.70%3.42%6.09%6.85%7.20%7.55%7.11%
Maximum Return at 10.00% Volatility-0.53%-6.70%-2.64%4.85%6.81%7.64%7.60%
Equal Weighted-0.70%3.42%6.09%6.85%7.20%7.55%7.11%
Vanguard 500 Index Investor0.34%2.65%9.56%10.28%11.56%12.85%8.34%
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.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • 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.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • The annual results for 2020 are based on full calendar months from January to October
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
  • The optimized allocation will use the risk free cash asset (3-month treasury bill) for periods when all expected asset returns over the risk free rate are negative.
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
Arithmetic Mean (monthly)0.59%0.64%0.59%0.77%
Arithmetic Mean (annualized)7.36%7.92%7.36%9.63%
Geometric Mean (monthly)0.57%0.61%0.57%0.67%
Geometric Mean (annualized)7.11%7.60%7.11%8.34%
Volatility (monthly)1.99%2.21%1.99%4.43%
Volatility (annualized)6.88%7.66%6.88%15.36%
Downside Deviation (monthly)1.24%1.40%1.24%3.01%
Max. Drawdown-24.39%-16.41%-24.39%-50.97%
US Market Correlation0.920.820.920.99
Beta(*)0.420.420.421.00
Alpha (annualized)3.25%3.81%3.25%-0.00%
R287.66%69.26%87.66%100.00%
Sharpe Ratio0.740.730.740.47
Sortino Ratio1.131.091.130.67
Treynor Ratio (%)12.1713.5612.177.21
Calmar Ratio0.740.350.740.52
Active Return-1.24%-0.74%-1.24%N/A
Tracking Error9.24%9.94%9.24%N/A
Information Ratio-0.13-0.07-0.13N/A
Skewness-0.69-0.72-0.69-0.62
Excess Kurtosis2.422.142.421.07
Historical Value-at-Risk (5%)-2.87%-3.24%-2.87%-7.82%
Analytical Value-at-Risk (5%)-2.67%-3.00%-2.67%-6.52%
Conditional Value-at-Risk (5%)-4.38%-4.95%-4.38%-10.09%
Upside Capture Ratio (%)47.1951.0647.19100.00
Downside Capture Ratio (%)35.4138.3935.41100.00
Safe Withdrawal Rate7.60%8.35%7.60%7.66%
Perpetual Withdrawal Rate4.84%5.29%4.84%5.97%
Positive Periods192 out of 286 (67.13%)196 out of 286 (68.53%)192 out of 286 (67.13%)185 out of 286 (64.69%)
Gain/Loss Ratio1.070.961.070.84
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Allocation Drift

Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)
Provided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index InvestorProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
19971.70%19.94%25.51%19.94%33.19%$11,994$12,551$11,994$13,3199.44%14.23%20.19%23.23%33.19%
19981.61%15.04%16.57%15.04%28.62%$13,798$14,631$13,798$17,1318.58%13.17%11.84%12.06%28.62%
19992.68%4.49%9.66%4.49%21.07%$14,418$16,044$14,418$20,740-0.76%2.82%-4.14%4.41%21.07%
20003.39%7.29%1.54%7.29%-9.06%$15,468$16,291$15,468$18,86111.39%8.06%16.17%10.40%-9.06%
20011.55%2.44%4.27%2.44%-12.02%$15,846$16,987$15,846$16,5948.43%4.06%7.39%4.19%-12.02%
20022.38%-3.50%2.94%-3.50%-22.15%$15,291$17,486$15,291$12,9198.26%0.12%4.64%-6.90%-22.15%
20031.88%14.54%6.92%14.54%28.50%$17,515$18,696$17,515$16,6013.97%10.77%9.66%20.75%28.50%
20043.26%7.95%7.89%7.95%10.74%$18,907$20,172$18,907$18,3844.24%6.00%7.55%11.16%10.74%
20053.42%4.18%4.48%4.18%4.77%$19,698$21,075$19,698$19,2622.40%3.23%3.48%6.82%4.77%
20062.54%10.76%13.29%10.76%15.64%$21,818$23,877$21,818$22,2754.27%7.93%11.28%14.97%15.64%
20074.08%6.66%6.52%6.66%5.39%$23,271$25,432$23,271$23,4756.92%6.70%5.61%8.34%5.39%
20080.09%-15.83%-9.98%-15.83%-37.02%$19,587$22,893$19,587$14,7845.05%-10.53%-9.84%-22.30%-37.02%
20092.72%16.60%9.97%16.60%26.49%$22,839$25,176$22,839$18,7005.93%12.08%16.02%22.20%26.49%
20101.50%10.68%8.74%10.68%14.91%$25,278$27,376$25,278$21,4896.42%9.22%10.65%10.94%14.91%
20112.96%5.49%2.45%5.49%1.97%$26,665$28,046$26,665$21,9117.56%3.77%9.63%3.85%1.97%
20121.74%9.82%10.37%9.82%15.82%$29,284$30,954$29,284$25,3794.05%6.54%10.06%12.57%15.82%
20131.50%11.88%17.81%11.88%32.18%$32,762$36,467$32,762$33,544-2.26%3.40%9.19%19.66%32.18%
20140.76%8.79%10.78%8.79%13.51%$35,642$40,400$35,642$38,0765.76%6.76%8.07%9.82%13.51%
20150.73%0.75%0.95%0.75%1.25%$35,908$40,782$35,908$38,5510.30%0.22%1.28%0.06%1.25%
20162.07%7.63%8.70%7.63%11.82%$38,649$44,332$38,649$43,1072.50%4.58%8.08%11.01%11.82%
20172.11%11.26%15.68%11.26%21.67%$43,000$51,283$43,000$52,4473.46%6.98%10.20%14.72%21.67%
20181.91%-2.19%-3.16%-2.19%-4.52%$42,057$49,664$42,057$50,074-0.13%-1.05%-2.57%-3.42%-4.52%
20192.29%18.07%23.77%18.07%31.33%$49,656$61,467$49,656$65,7618.61%12.05%16.39%22.51%31.33%
20201.29%3.42%-6.70%3.42%2.65%$51,354$57,350$51,354$67,5046.27%4.58%1.41%0.71%2.65%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Bond Market Index Inv (VBMFX)Vanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)Vanguard 500 Index Investor (VFINX)
Provided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index InvestorProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
199712.50%4.06%2.50%6.22%$10,250$10,406$10,250$10,6220.25%1.47%1.32%3.25%6.22%
199720.53%0.66%0.53%0.79%$10,304$10,475$10,304$10,7060.11%0.26%0.67%0.81%0.79%
19973-2.55%-3.28%-2.55%-4.14%$10,041$10,132$10,041$10,263-0.97%-1.63%-2.55%-3.48%-4.14%
199743.17%4.37%3.17%5.96%$10,360$10,574$10,360$10,8741.49%2.27%2.16%3.99%5.96%
199753.16%4.44%3.16%6.09%$10,687$11,044$10,687$11,5360.87%1.97%2.65%4.24%6.09%
199762.61%3.44%2.61%4.45%$10,967$11,423$10,967$12,0501.16%1.76%2.20%3.50%4.45%
199775.36%6.48%5.36%7.97%$11,554$12,164$11,554$13,0102.80%3.84%5.97%6.19%7.97%
19978-2.86%-4.06%-2.86%-5.61%$11,224$11,670$11,224$12,280-0.85%-1.69%-2.28%-3.86%-5.61%
199793.38%4.29%3.38%5.47%$11,604$12,171$11,604$12,9511.45%2.21%3.71%4.08%5.47%
199710-0.28%-1.57%-0.28%-3.35%$11,571$11,979$11,571$12,5181.45%0.73%0.67%-0.91%-3.35%
1997112.11%3.11%2.11%4.60%$11,815$12,351$11,815$13,0930.33%1.12%2.40%2.11%4.60%
1997121.52%1.62%1.52%1.72%$11,994$12,551$11,994$13,3191.04%1.20%1.93%1.69%1.72%
199811.12%1.10%1.12%1.11%$12,128$12,689$12,128$13,4671.32%1.45%0.78%0.95%1.11%
199822.63%4.53%2.63%7.19%$12,447$13,264$12,447$14,435-0.10%1.43%1.23%3.40%7.19%
199832.52%3.63%2.52%5.10%$12,761$13,746$12,761$15,1720.33%1.33%2.56%3.29%5.10%
199840.66%0.81%0.66%1.01%$12,845$13,856$12,845$15,3250.51%0.70%0.00%1.08%1.01%
19985-0.00%-0.71%-0.00%-1.74%$12,845$13,758$12,845$15,0581.02%0.46%0.81%-0.56%-1.74%
199861.59%2.49%1.59%4.07%$13,050$14,101$13,050$15,6710.81%1.47%1.11%0.50%4.07%
19987-0.76%-0.94%-0.76%-1.05%$12,951$13,969$12,951$15,5060.23%-0.08%-1.29%-1.58%-1.05%
19988-4.89%-8.62%-4.89%-14.47%$12,318$12,765$12,318$13,2621.90%-1.85%-2.39%-7.65%-14.47%
199894.41%5.31%4.41%6.41%$12,860$13,444$12,860$14,1121.96%2.82%5.49%5.35%6.41%
1998102.74%2.93%2.74%8.16%$13,213$13,837$13,213$15,264-0.55%1.54%0.31%4.26%8.16%
1998112.74%3.34%2.74%6.07%$13,575$14,300$13,575$16,1910.49%1.74%2.38%3.00%6.07%
1998121.64%2.32%1.64%5.81%$13,798$14,631$13,798$17,1310.38%1.49%0.46%0.07%5.81%
199911.28%2.13%1.28%4.20%$13,975$14,943$13,975$17,8510.79%1.44%-0.54%0.51%4.20%
19992-2.57%-2.64%-2.57%-3.12%$13,616$14,549$13,616$17,293-1.77%-2.16%-2.86%-2.92%-3.12%
199931.83%2.20%1.83%4.00%$13,865$14,869$13,865$17,9840.56%1.22%0.81%2.55%4.00%
199943.22%2.42%3.22%3.85%$14,310$15,230$14,310$18,6770.40%1.22%3.22%7.38%3.85%
19995-1.39%-1.61%-1.39%-2.39%$14,112$14,984$14,112$18,231-0.88%-1.13%-0.69%-1.85%-2.39%
199961.51%2.57%1.51%5.56%$14,325$15,369$14,325$19,243-0.50%0.63%-0.07%1.94%5.56%
19997-1.59%-1.84%-1.59%-3.13%$14,098$15,087$14,098$18,641-0.39%-0.84%-1.64%-1.93%-3.13%
19998-0.51%-0.37%-0.51%-0.50%$14,026$15,031$14,026$18,549-0.08%-0.15%-0.95%-0.85%-0.50%
19999-0.82%-0.90%-0.82%-2.74%$13,911$14,896$13,911$18,0411.26%0.46%-0.53%-2.55%-2.74%
1999102.14%3.61%2.14%6.33%$14,209$15,433$14,209$19,1820.33%1.32%0.88%1.85%6.33%
1999110.29%1.01%0.29%2.02%$14,250$15,589$14,250$19,5700.02%0.31%-0.68%-0.24%2.02%
1999121.18%2.92%1.18%5.98%$14,418$16,044$14,418$20,740-0.48%0.55%-1.04%0.87%5.98%
20001-2.12%-2.77%-2.12%-5.03%$14,112$15,599$14,112$19,696-0.17%-0.55%-1.01%-3.83%-5.03%
20002-1.43%-0.80%-1.43%-1.91%$13,910$15,474$13,910$19,3211.18%1.10%-3.00%-4.54%-1.91%
200035.33%6.28%5.33%9.76%$14,652$16,445$14,652$21,2061.40%2.56%5.61%7.34%9.76%
20004-0.70%-1.69%-0.70%-3.01%$14,550$16,167$14,550$20,569-0.49%-1.00%0.16%0.84%-3.01%
20005-0.03%-0.93%-0.03%-2.04%$14,546$16,016$14,546$20,150-0.16%-0.47%1.27%1.27%-2.04%
200060.86%2.01%0.86%2.49%$14,671$16,338$14,671$20,6512.15%2.12%-0.63%-1.83%2.49%
200070.68%-0.09%0.68%-1.49%$14,770$16,322$14,770$20,3430.88%0.62%1.98%1.40%-1.49%
200083.26%3.86%3.26%6.19%$15,252$16,953$15,252$21,6021.40%2.24%2.93%3.56%6.19%
20009-0.70%-2.11%-0.70%-5.29%$15,145$16,594$15,145$20,4590.76%-0.45%1.80%-0.34%-5.29%
2000100.82%0.32%0.82%-0.43%$15,269$16,647$15,269$20,3720.57%0.31%1.27%2.38%-0.43%
200011-1.02%-3.67%-1.02%-7.88%$15,113$16,036$15,113$18,7671.58%-0.15%1.20%0.14%-7.88%
2000122.35%1.59%2.35%0.50%$15,468$16,291$15,468$18,8611.79%1.53%3.80%4.15%0.50%
200111.91%2.12%1.91%3.55%$15,765$16,637$15,765$19,5301.76%2.00%0.25%2.02%3.55%
20012-1.79%-1.96%-1.79%-9.14%$15,482$16,310$15,482$17,7460.91%-1.58%1.23%-0.38%-9.14%
20013-1.78%-2.27%-1.78%-6.36%$15,206$15,939$15,206$16,6180.54%-1.14%-0.07%-1.87%-6.36%
200142.85%2.10%2.85%7.77%$15,640$16,275$15,640$17,909-0.46%1.57%1.88%3.51%7.77%
200150.98%1.18%0.98%0.65%$15,794$16,467$15,794$18,0250.73%0.77%1.02%1.73%0.65%
20016-0.76%-0.54%-0.76%-2.45%$15,674$16,378$15,674$17,5840.52%-0.01%-0.18%-1.67%-2.45%
200171.20%2.00%1.20%-1.00%$15,863$16,705$15,863$17,4092.23%1.63%1.80%1.36%-1.00%
20018-1.36%0.77%-1.36%-6.27%$15,648$16,834$15,648$16,3161.11%-0.53%0.67%-1.76%-6.27%
20019-2.85%0.10%-2.85%-8.09%$15,202$16,851$15,202$14,9960.89%-1.20%-0.56%-5.29%-8.09%
2001101.52%1.16%1.52%1.90%$15,432$17,047$15,432$15,2801.86%1.97%0.43%1.42%1.90%
2001112.38%-0.38%2.38%7.65%$15,800$16,982$15,800$16,450-1.34%0.85%0.14%4.60%7.65%
2001120.29%0.03%0.29%0.87%$15,846$16,987$15,846$16,594-0.58%-0.23%0.57%0.83%0.87%
200210.05%0.53%0.05%-1.47%$15,854$17,078$15,854$16,3490.69%0.31%0.45%0.26%-1.47%
200220.33%1.18%0.33%-1.94%$15,905$17,279$15,905$16,0330.85%0.16%1.65%0.91%-1.94%
200230.80%-0.66%0.80%3.74%$16,032$17,165$16,032$16,633-1.46%-0.31%-0.10%2.11%3.74%
20024-1.17%-0.11%-1.17%-6.07%$15,845$17,146$15,845$15,6221.69%-0.08%0.70%-2.07%-6.07%
200250.49%0.99%0.49%-0.75%$15,923$17,316$15,923$15,5050.80%0.39%1.33%0.69%-0.75%
20026-2.50%-1.55%-2.50%-7.13%$15,525$17,047$15,525$14,3980.29%-1.49%-0.93%-3.23%-7.13%
20027-3.15%-1.00%-3.15%-7.72%$15,036$16,877$15,036$13,2870.48%-1.44%-2.09%-4.99%-7.72%
200280.94%1.22%0.94%0.65%$15,178$17,083$15,178$13,3741.66%1.22%0.86%0.32%0.65%
20029-4.19%-0.95%-4.19%-10.87%$14,542$16,921$14,542$11,9191.53%-2.25%-2.67%-6.66%-10.87%
2002103.21%0.83%3.21%8.78%$15,010$17,061$15,010$12,966-0.61%2.16%2.31%3.43%8.78%
2002112.95%1.13%2.95%5.88%$15,452$17,255$15,452$13,7280.02%1.79%2.36%4.68%5.88%
200212-1.04%1.34%-1.04%-5.89%$15,291$17,486$15,291$12,9192.07%-0.24%0.82%-1.94%-5.89%
20031-1.39%-0.66%-1.39%-2.62%$15,079$17,370$15,079$12,5800.05%-0.65%-1.56%-2.16%-2.62%
20032-0.16%0.77%-0.16%-1.52%$15,055$17,504$15,055$12,3891.38%0.41%0.10%-1.17%-1.52%
200330.20%-0.07%0.20%0.96%$15,085$17,491$15,085$12,507-0.13%0.32%-0.11%-0.05%0.96%
200344.29%2.10%4.29%8.25%$15,732$17,858$15,732$13,5400.87%3.02%3.40%5.90%8.25%
200353.93%2.88%3.93%5.26%$16,350$18,372$16,350$14,2521.82%2.70%4.24%5.61%5.26%
200360.46%0.04%0.46%1.26%$16,426$18,379$16,426$14,432-0.13%0.38%0.18%0.63%1.26%
20037-1.44%-3.16%-1.44%1.74%$16,189$17,799$16,189$14,684-3.34%-1.40%-3.38%-0.84%1.74%
200381.14%0.54%1.14%1.93%$16,373$17,896$16,373$14,9670.61%0.79%0.40%1.95%1.93%
200391.05%2.20%1.05%-1.07%$16,546$18,290$16,546$14,8072.71%1.64%1.72%0.26%-1.07%
2003101.84%-0.22%1.84%5.64%$16,851$18,251$16,851$15,642-0.96%0.85%0.44%3.24%5.64%
2003110.66%0.40%0.66%0.86%$16,962$18,323$16,962$15,7780.27%0.46%0.54%1.17%0.86%
2003123.26%2.03%3.26%5.22%$17,515$18,696$17,515$16,6010.88%1.84%3.52%4.83%5.22%
200411.01%0.66%1.01%1.82%$17,691$18,819$17,691$16,9040.86%1.14%0.48%0.73%1.82%
200421.38%1.52%1.38%1.38%$17,935$19,104$17,935$17,1361.03%1.05%1.38%2.07%1.38%
20043-0.16%0.08%-0.16%-1.51%$17,907$19,120$17,907$16,8770.80%0.22%0.32%-0.61%-1.51%
20044-2.07%-2.40%-2.07%-1.58%$17,537$18,661$17,537$16,611-2.61%-2.23%-2.17%-1.74%-1.58%
200450.14%-0.34%0.14%1.36%$17,562$18,598$17,562$16,836-0.43%0.08%-0.34%0.03%1.36%
200461.30%0.80%1.30%1.93%$17,790$18,746$17,790$17,1610.56%0.76%1.11%2.16%1.93%
20047-0.69%-1.40%-0.69%-3.31%$17,667$18,484$17,667$16,5930.96%-0.15%0.34%-1.30%-3.31%
200481.46%1.25%1.46%0.38%$17,925$18,714$17,925$16,6571.94%1.45%2.07%1.46%0.38%
200490.77%1.05%0.77%1.07%$18,063$18,911$18,063$16,8340.16%0.45%0.66%1.51%1.07%
2004101.02%1.22%1.02%1.51%$18,247$19,143$18,247$17,0890.85%0.98%0.66%1.09%1.51%
2004111.47%2.62%1.47%4.05%$18,516$19,643$18,516$17,781-0.81%0.60%0.89%2.62%4.05%
2004122.11%2.69%2.11%3.39%$18,907$20,172$18,907$18,3840.92%1.56%1.96%2.74%3.39%
20051-0.68%-1.45%-0.68%-2.45%$18,778$19,880$18,778$17,9330.65%-0.30%-0.09%-1.23%-2.45%
200521.06%1.60%1.06%2.09%$18,977$20,197$18,977$18,308-0.63%0.30%1.25%2.28%2.09%
20053-1.22%-1.47%-1.22%-1.76%$18,746$19,901$18,746$17,986-0.49%-0.88%-1.41%-1.54%-1.76%
20054-0.01%-0.83%-0.01%-1.91%$18,745$19,735$18,745$17,6421.35%0.23%0.94%-0.64%-1.91%
200551.72%2.29%1.72%3.17%$19,067$20,188$19,067$18,2011.05%1.65%1.07%1.65%3.17%
200560.52%0.38%0.52%0.13%$19,167$20,265$19,167$18,2240.55%0.37%0.87%0.70%0.13%
200571.12%2.27%1.12%3.71%$19,382$20,724$19,382$18,900-0.99%0.59%0.09%2.22%3.71%
200580.52%-0.02%0.52%-0.91%$19,484$20,721$19,484$18,7271.36%0.52%0.78%0.88%-0.91%
200590.03%0.44%0.03%0.79%$19,489$20,812$19,489$18,876-1.10%-0.37%-0.25%1.07%0.79%
200510-1.30%-1.54%-1.30%-1.68%$19,235$20,492$19,235$18,559-0.81%-0.89%-1.34%-1.80%-1.68%
2005111.80%2.20%1.80%3.76%$19,582$20,944$19,582$19,2580.48%1.42%1.03%2.32%3.76%
2005120.59%0.63%0.59%0.02%$19,698$21,075$19,698$19,2620.99%0.59%0.53%0.82%0.02%
200611.37%1.98%1.37%2.65%$19,968$21,492$19,968$19,771-0.11%0.89%0.85%2.57%2.65%
200620.31%0.10%0.31%0.26%$20,029$21,514$20,029$19,8230.37%0.29%0.80%-0.19%0.26%
200630.02%0.38%0.02%1.23%$20,033$21,595$20,033$20,067-1.00%-0.08%-0.66%0.61%1.23%
200640.89%1.35%0.89%1.33%$20,211$21,887$20,211$20,335-0.21%0.30%1.09%1.93%1.33%
20065-1.15%-1.41%-1.15%-2.90%$19,979$21,578$19,979$19,746-0.09%-0.74%-0.66%-1.36%-2.90%
200660.22%0.18%0.22%0.13%$20,024$21,618$20,024$19,7710.10%0.16%0.58%0.14%0.13%
200671.34%1.39%1.34%0.61%$20,292$21,918$20,292$19,8911.35%0.97%2.14%1.64%0.61%
200681.89%1.96%1.89%2.36%$20,676$22,347$20,676$20,3611.64%1.71%1.81%1.94%2.36%
200691.45%1.55%1.45%2.56%$20,977$22,692$20,977$20,8830.81%1.24%1.23%1.41%2.56%
2006101.93%2.53%1.93%3.25%$21,382$23,265$21,382$21,5620.72%1.45%1.64%2.60%3.25%
2006111.47%1.66%1.47%1.89%$21,695$23,653$21,695$21,9691.11%1.29%1.30%1.75%1.89%
2006120.57%0.95%0.57%1.39%$21,818$23,877$21,818$22,275-0.48%0.20%0.65%1.07%1.39%
200710.57%0.70%0.57%1.49%$21,942$24,045$21,942$22,607-0.08%0.43%0.32%0.68%1.49%
200720.08%-0.35%0.08%-1.97%$21,959$23,960$21,959$22,1621.50%0.43%0.91%-0.49%-1.97%
200730.63%0.81%0.63%1.11%$22,097$24,153$22,097$22,4090.02%0.42%0.63%0.95%1.11%
200742.33%3.27%2.33%4.42%$22,613$24,943$22,613$23,3990.51%1.57%1.73%3.44%4.42%
200751.18%2.21%1.18%3.48%$22,881$25,494$22,881$24,212-0.78%0.49%0.45%2.28%3.48%
20076-0.93%-1.22%-0.93%-1.68%$22,668$25,184$22,668$23,806-0.39%-0.56%-1.19%-0.84%-1.68%
20077-0.93%-1.85%-0.93%-3.08%$22,457$24,719$22,457$23,0720.84%-0.21%-0.73%-1.47%-3.08%
200781.36%1.41%1.36%1.50%$22,761$25,068$22,761$23,4181.34%1.14%1.42%1.38%1.50%
200792.15%2.88%2.15%3.72%$23,251$25,790$23,251$24,2900.72%1.48%1.72%3.13%3.72%
2007101.12%1.29%1.12%1.58%$23,513$26,123$23,513$24,6730.93%1.19%0.94%0.98%1.58%
200711-0.73%-2.17%-0.73%-4.19%$23,342$25,557$23,342$23,6401.91%0.14%-0.18%-1.31%-4.19%
200712-0.31%-0.49%-0.31%-0.70%$23,271$25,432$23,271$23,4750.22%-0.00%-0.50%-0.54%-0.70%
20081-1.71%-2.60%-1.71%-6.02%$22,872$24,772$22,872$22,0631.69%-0.56%-0.82%-2.85%-6.02%
20082-1.19%-1.22%-1.19%-3.25%$22,599$24,468$22,599$21,3450.19%-0.85%-1.29%-0.76%-3.25%
20083-0.05%-0.21%-0.05%-0.44%$22,588$24,417$22,588$21,2510.30%-0.14%0.38%-0.35%-0.44%
200841.91%1.45%1.91%4.85%$23,020$24,772$23,020$22,283-0.30%1.22%1.18%2.60%4.85%
200850.20%0.18%0.20%1.29%$23,066$24,815$23,066$22,571-0.79%0.14%-0.56%0.91%1.29%
20086-3.89%-3.11%-3.89%-8.44%$22,168$24,043$22,168$20,666-0.01%-2.59%-3.41%-5.02%-8.44%
20087-0.44%-0.67%-0.44%-0.83%$22,069$23,883$22,069$20,4940.00%-0.22%0.15%-1.32%-0.83%
200880.90%0.74%0.90%1.45%$22,267$24,059$22,267$20,7910.70%0.81%0.78%0.74%1.45%
20089-4.96%-4.77%-4.96%-8.91%$21,162$22,912$21,162$18,939-1.10%-3.93%-3.47%-7.39%-8.91%
200810-9.09%-4.69%-9.09%-16.79%$19,238$21,837$19,238$15,759-2.53%-6.76%-7.19%-12.18%-16.79%
200811-1.07%1.82%-1.07%-7.17%$19,032$22,235$19,032$14,6283.64%-0.08%0.33%-2.06%-7.17%
2008122.91%2.96%2.91%1.07%$19,587$22,893$19,587$14,7843.32%2.23%4.07%3.87%1.07%
20091-4.31%-1.76%-4.31%-8.41%$18,743$22,491$18,743$13,540-0.70%-2.37%-4.62%-5.44%-8.41%
20092-5.15%-2.01%-5.15%-10.66%$17,777$22,038$17,777$12,097-0.42%-3.27%-4.96%-6.45%-10.66%
200934.33%2.42%4.33%8.76%$18,548$22,570$18,548$13,1571.48%3.46%2.94%5.04%8.76%
200944.47%1.75%4.47%9.56%$19,377$22,964$19,377$14,4150.36%3.04%3.54%5.87%9.56%
200953.87%1.75%3.87%5.62%$20,128$23,366$20,128$15,2250.85%2.21%4.39%6.30%5.62%
200960.62%0.63%0.62%0.22%$20,253$23,513$20,253$15,2580.54%0.59%1.25%0.52%0.22%
200974.69%2.50%4.69%7.58%$21,203$24,102$21,203$16,4141.43%3.05%5.68%5.71%7.58%
200982.29%1.46%2.29%3.60%$21,688$24,453$21,688$17,0051.01%1.79%2.32%2.70%3.60%
200992.23%1.51%2.23%3.72%$22,170$24,821$22,170$17,6371.19%1.81%1.87%2.54%3.72%
200910-0.41%0.18%-0.41%-1.87%$22,080$24,865$22,080$17,3080.41%-0.08%-0.05%-0.47%-1.87%
2009113.49%2.20%3.49%5.98%$22,850$25,412$22,850$18,3431.36%2.35%3.20%4.54%5.98%
200912-0.05%-0.93%-0.05%1.95%$22,839$25,176$22,839$18,700-1.68%-0.86%-0.01%0.37%1.95%
20101-0.71%0.71%-0.71%-3.60%$22,676$25,355$22,676$18,0261.57%0.45%-0.29%-1.70%-3.60%
201021.35%0.62%1.35%3.09%$22,982$25,513$22,982$18,5830.20%0.90%1.08%1.48%3.09%
201032.62%0.88%2.62%6.01%$23,584$25,737$23,584$19,701-0.08%1.25%1.99%3.93%6.01%
201041.23%1.25%1.23%1.58%$23,873$26,060$23,873$20,0121.06%1.26%1.49%0.74%1.58%
20105-3.26%-0.76%-3.26%-8.01%$23,094$25,863$23,094$18,4100.87%-1.09%-2.71%-5.38%-8.01%
20106-1.13%0.88%-1.13%-5.24%$22,833$26,090$22,833$17,4451.61%-0.06%0.19%-2.17%-5.24%
201073.84%2.10%3.84%7.00%$23,710$26,638$23,710$18,6660.94%2.38%3.49%5.42%7.00%
20108-0.87%1.09%-0.87%-4.53%$23,505$26,928$23,505$17,8201.48%0.07%0.86%-2.21%-4.53%
201093.82%1.30%3.82%8.92%$24,403$27,278$24,403$19,410-0.01%2.23%2.70%5.26%8.92%
2010101.65%0.69%1.65%3.79%$24,804$27,467$24,804$20,1450.36%1.07%0.88%2.13%3.79%
201011-0.59%-0.73%-0.59%0.00%$24,659$27,267$24,659$20,145-0.57%-0.42%-0.92%-1.02%0.00%
2010122.51%0.40%2.51%6.67%$25,278$27,376$25,278$21,489-1.15%0.88%1.54%4.61%6.67%
201111.12%1.13%1.12%2.36%$25,560$27,686$25,560$21,9950.08%0.50%0.65%1.99%2.36%
201121.75%1.90%1.75%3.42%$26,007$28,211$26,007$22,7470.16%0.99%1.88%2.30%3.42%
201130.01%0.02%0.01%0.03%$26,011$28,216$26,011$22,753-0.01%0.08%0.14%-0.18%0.03%
201142.29%2.56%2.29%2.95%$26,608$28,940$26,608$23,4231.32%1.83%2.58%2.80%2.95%
201150.17%-0.17%0.17%-1.15%$26,652$28,891$26,652$23,1551.30%0.35%0.84%-0.51%-1.15%
20116-1.02%-1.26%-1.02%-1.67%$26,380$28,526$26,380$22,768-0.39%-0.66%-1.06%-1.32%-1.67%
20117-0.26%-0.94%-0.26%-2.05%$26,311$28,258$26,311$22,3021.58%0.42%0.04%-1.30%-2.05%
20118-1.78%-3.08%-1.78%-5.45%$25,843$27,388$25,843$21,0871.46%-1.11%-0.27%-3.52%-5.45%
20119-2.65%-4.28%-2.65%-7.04%$25,159$26,216$25,159$19,6020.89%-1.51%-1.46%-4.12%-7.04%
2011104.93%5.55%4.93%10.91%$26,400$27,671$26,400$21,7410.16%2.44%4.03%7.12%10.91%
201111-0.43%-0.41%-0.43%-0.23%$26,288$27,559$26,288$21,691-0.30%-0.42%-0.53%-0.64%-0.23%
2011121.44%1.77%1.44%1.02%$26,665$28,046$26,665$21,9111.08%0.88%2.53%1.67%1.02%
201212.47%2.55%2.47%4.46%$27,323$28,761$27,323$22,8890.87%1.84%1.88%3.29%4.46%
201221.79%2.01%1.79%4.31%$27,812$29,340$27,812$23,875-0.05%0.83%1.28%2.56%4.31%
201230.92%1.15%0.92%3.28%$28,067$29,676$28,067$24,659-0.58%-0.09%0.46%1.53%3.28%
201240.41%0.17%0.41%-0.64%$28,182$29,727$28,182$24,5011.14%0.69%0.93%-0.09%-0.64%
20125-2.25%-3.34%-2.25%-6.02%$27,549$28,734$27,549$23,0270.95%-0.76%-1.43%-3.98%-6.02%
201262.05%2.71%2.05%4.11%$28,113$29,512$28,113$23,9730.04%0.89%2.00%3.22%4.11%
201271.59%1.63%1.59%1.37%$28,562$29,994$28,562$24,3011.39%1.31%2.44%1.46%1.37%
201280.92%1.38%0.92%2.24%$28,823$30,407$28,823$24,8450.03%0.55%0.53%1.23%2.24%
201291.23%1.68%1.23%2.58%$29,177$30,919$29,177$25,4860.11%0.66%0.86%1.93%2.58%
201210-0.33%-0.91%-0.33%-1.86%$29,082$30,638$29,082$25,0120.11%-0.14%0.25%0.00%-1.86%
2012110.31%0.40%0.31%0.56%$29,172$30,760$29,172$25,1520.19%0.34%0.29%0.18%0.56%
2012120.38%0.63%0.38%0.90%$29,284$30,954$29,284$25,379-0.20%0.25%0.19%0.79%0.90%
201311.96%2.25%1.96%5.18%$29,859$31,651$29,859$26,692-0.71%0.42%1.45%3.49%5.18%
201320.91%1.13%0.91%1.34%$30,131$32,007$30,131$27,0500.54%0.56%1.23%0.89%1.34%
201331.67%1.83%1.67%3.74%$30,633$32,593$30,633$28,0610.08%0.71%1.26%2.53%3.74%
201341.65%1.75%1.65%1.91%$31,138$33,165$31,138$28,5970.91%1.18%1.97%2.28%1.91%
20135-0.18%0.60%-0.18%2.33%$31,082$33,365$31,082$29,262-1.71%-1.30%-0.87%0.65%2.33%
20136-1.51%-1.48%-1.51%-1.35%$30,614$32,872$30,614$28,867-1.65%-1.59%-1.59%-1.35%-1.35%
201372.41%3.59%2.41%5.07%$31,353$34,052$31,353$30,3310.20%1.21%2.04%3.55%5.07%
20138-1.73%-2.25%-1.73%-2.91%$30,811$33,285$30,811$29,448-0.64%-0.98%-1.87%-2.23%-2.91%
201391.94%2.44%1.94%3.12%$31,407$34,099$31,407$30,3670.96%1.68%1.63%2.28%3.12%
2013102.33%3.28%2.33%4.59%$32,138$35,216$32,138$31,7600.78%1.40%2.10%2.78%4.59%
2013111.12%1.96%1.12%3.03%$32,498$35,908$32,498$32,722-0.35%0.21%0.79%1.93%3.03%
2013120.81%1.56%0.81%2.51%$32,762$36,467$32,762$33,544-0.65%-0.09%0.81%1.47%2.51%
20141-0.65%-1.87%-0.65%-3.47%$32,548$35,787$32,548$32,3811.54%0.56%-0.36%-1.53%-3.47%
201422.28%3.27%2.28%4.56%$33,292$36,955$33,292$33,8570.48%1.32%2.06%3.00%4.56%
201430.53%0.69%0.53%0.82%$33,468$37,209$33,468$34,136-0.15%0.13%0.92%0.92%0.82%
201440.88%0.84%0.88%0.72%$33,762$37,521$33,762$34,3830.77%0.62%1.19%1.09%0.72%
201451.46%1.81%1.46%2.33%$34,254$38,199$34,254$35,1861.05%1.23%1.21%1.46%2.33%
201460.98%1.45%0.98%2.05%$34,591$38,754$34,591$35,9080.11%0.58%0.78%1.40%2.05%
20147-0.80%-1.06%-0.80%-1.39%$34,313$38,344$34,313$35,410-0.26%-0.34%-1.00%-1.03%-1.39%
201482.22%2.95%2.22%3.98%$35,076$39,475$35,076$36,8201.13%1.56%1.99%2.46%3.98%
20149-1.17%-1.29%-1.17%-1.41%$34,665$38,967$34,665$36,300-0.72%-1.11%-1.25%-1.36%-1.41%
2014101.45%1.85%1.45%2.42%$35,167$39,688$35,167$37,1790.94%1.15%1.17%1.56%2.42%
2014111.48%1.99%1.48%2.68%$35,688$40,479$35,688$38,1770.65%0.94%1.31%1.81%2.68%
201412-0.13%-0.19%-0.13%-0.26%$35,642$40,400$35,642$38,0760.09%-0.05%-0.16%-0.25%-0.26%
20151-0.03%-1.36%-0.03%-3.02%$35,633$39,851$35,633$36,9272.31%1.41%0.55%-1.38%-3.02%
201521.81%3.53%1.81%5.74%$36,279$41,258$36,279$39,046-1.08%0.33%0.82%3.26%5.74%
20153-0.42%-0.94%-0.42%-1.59%$36,128$40,869$36,128$38,4240.41%0.18%-0.10%-0.98%-1.59%
201540.44%0.71%0.44%0.95%$36,286$41,158$36,286$38,789-0.36%0.00%0.51%1.10%0.95%
201550.15%0.62%0.15%1.27%$36,342$41,413$36,342$39,282-0.45%-0.26%-0.12%0.33%1.27%
20156-1.64%-1.79%-1.64%-1.93%$35,745$40,672$35,745$38,523-1.01%-1.27%-2.06%-1.94%-1.93%
201571.35%1.68%1.35%2.08%$36,226$41,357$36,226$39,3240.76%0.88%1.23%1.78%2.08%
20158-2.93%-4.33%-2.93%-6.04%$35,163$39,564$35,163$36,948-0.36%-1.61%-2.16%-4.51%-6.04%
20159-0.60%-1.43%-0.60%-2.49%$34,951$38,997$34,951$36,0280.76%-0.05%0.11%-1.35%-2.49%
2015103.77%5.80%3.77%8.42%$36,268$41,258$36,268$39,0630.01%1.57%3.40%5.44%8.42%
201511-0.01%0.12%-0.01%0.29%$36,265$41,307$36,265$39,175-0.27%-0.13%0.00%0.08%0.29%
201512-0.99%-1.27%-0.99%-1.59%$35,908$40,782$35,908$38,551-0.38%-0.77%-0.79%-1.40%-1.59%
20161-1.29%-2.91%-1.29%-4.98%$35,444$39,594$35,444$36,6321.43%0.07%-0.20%-2.77%-4.98%
201620.24%0.04%0.24%-0.15%$35,529$39,608$35,529$36,5790.66%0.48%0.45%-0.25%-0.15%
201633.70%5.07%3.70%6.78%$36,843$41,615$36,843$39,0580.94%2.19%3.52%5.08%6.78%
201640.72%0.54%0.72%0.37%$37,107$41,842$37,107$39,2040.38%0.47%0.91%1.45%0.37%
201650.69%1.10%0.69%1.78%$37,362$42,301$37,362$39,9030.01%0.27%0.59%0.79%1.78%
201661.32%1.12%1.32%0.25%$37,857$42,774$37,857$40,0021.94%1.47%2.18%0.78%0.25%
201671.91%2.46%1.91%3.68%$38,579$43,827$38,579$41,4730.64%1.45%1.38%2.39%3.68%
201680.03%0.05%0.03%0.13%$38,592$43,848$38,592$41,527-0.17%0.00%0.00%0.20%0.13%
20169-0.09%-0.09%-0.09%0.01%$38,557$43,808$38,557$41,530-0.09%0.08%-0.32%-0.13%0.01%
201610-1.24%-1.48%-1.24%-1.83%$38,079$43,159$38,079$40,769-0.81%-1.17%-1.22%-1.16%-1.83%
2016110.23%1.23%0.23%3.70%$38,166$43,688$38,166$42,277-2.64%-1.39%-0.74%2.21%3.70%
2016121.26%1.47%1.26%1.96%$38,649$44,332$38,649$43,1070.24%0.64%1.35%2.12%1.96%
201710.77%1.23%0.77%1.88%$38,946$44,877$38,946$43,9180.29%0.47%0.27%0.92%1.88%
201722.08%2.89%2.08%3.96%$39,754$46,174$39,754$45,6590.66%1.14%1.96%2.66%3.96%
201730.01%0.03%0.01%0.10%$39,757$46,185$39,757$45,704-0.07%0.22%-0.04%-0.18%0.10%
201740.82%0.90%0.82%1.02%$40,083$46,599$40,083$46,1700.76%0.86%0.70%0.77%1.02%
201751.05%1.20%1.05%1.39%$40,503$47,156$40,503$46,8130.67%0.85%1.15%1.16%1.39%
201760.35%0.49%0.35%0.61%$40,643$47,386$40,643$47,0990.01%0.00%0.41%0.69%0.61%
201771.06%1.47%1.06%2.04%$41,073$48,081$41,073$48,0610.39%0.78%0.88%1.20%2.04%
201780.52%0.39%0.52%0.29%$41,287$48,269$41,287$48,2020.85%0.78%0.53%0.14%0.29%
201790.89%1.47%0.89%2.06%$41,656$48,980$41,656$49,195-0.54%0.08%0.84%2.02%2.06%
2017101.06%1.59%1.06%2.32%$42,096$49,760$42,096$50,3350.11%0.58%0.90%1.38%2.32%
2017111.25%2.03%1.25%3.06%$42,622$50,771$42,622$51,875-0.17%0.45%1.08%1.83%3.06%
2017120.89%1.01%0.89%1.10%$43,000$51,283$43,000$52,4470.44%0.55%1.08%1.25%1.10%
201811.67%3.41%1.67%5.71%$43,720$53,032$43,720$55,443-1.09%0.32%0.56%2.88%5.71%
20182-2.48%-3.07%-2.48%-3.69%$42,637$51,402$42,637$53,394-1.03%-1.35%-2.73%-3.58%-3.69%
20183-0.61%-1.44%-0.61%-2.56%$42,378$50,663$42,378$52,0300.63%0.26%-0.27%-1.10%-2.56%
20184-0.20%0.08%-0.20%0.37%$42,294$50,704$42,294$52,224-0.83%-0.33%-0.50%0.29%0.37%
201850.97%1.50%0.97%2.39%$42,705$51,466$42,705$53,4750.61%0.59%0.65%0.61%2.39%
201860.14%0.30%0.14%0.61%$42,764$51,619$42,764$53,7980.03%0.04%0.16%-0.14%0.61%
201871.95%2.79%1.95%3.71%$43,597$53,061$43,597$55,7940.03%0.59%2.04%3.37%3.71%
201881.20%2.01%1.20%3.25%$44,118$54,128$44,118$57,6050.52%0.52%0.57%1.13%3.25%
20189-0.05%0.22%-0.05%0.55%$44,096$54,248$44,096$57,924-0.54%-0.30%-0.23%0.26%0.55%
201810-3.15%-4.71%-3.15%-6.85%$42,708$51,695$42,708$53,957-0.73%-1.95%-2.27%-3.93%-6.85%
2018111.39%1.71%1.39%2.03%$43,300$52,577$43,300$55,0510.53%0.73%1.63%2.02%2.03%
201812-2.87%-5.54%-2.87%-9.04%$42,057$49,664$42,057$50,0741.80%-0.15%-2.08%-4.88%-9.04%
201913.82%5.55%3.82%8.00%$43,662$52,421$43,662$54,0811.01%2.42%3.23%4.42%8.00%
201921.52%2.29%1.52%3.20%$44,328$53,620$44,328$55,812-0.06%0.53%1.51%2.45%3.20%
201931.84%1.85%1.84%1.94%$45,141$54,611$45,141$56,8931.96%1.85%1.88%1.56%1.94%
201941.66%2.69%1.66%4.04%$45,890$56,079$45,890$59,1920.04%0.71%1.08%2.42%4.04%
20195-1.59%-3.62%-1.59%-6.36%$45,161$54,047$45,161$55,4241.83%0.06%-0.65%-2.83%-6.36%
201963.60%5.05%3.60%7.03%$46,786$56,777$46,786$59,3221.15%2.27%3.14%4.39%7.03%
201970.76%1.06%0.76%1.43%$47,139$57,380$47,139$60,1680.23%0.50%0.49%1.14%1.43%
201980.98%-0.11%0.98%-1.59%$47,600$57,317$47,600$59,2112.78%1.63%1.68%0.38%-1.59%
201990.70%1.26%0.70%1.86%$47,934$58,038$47,934$60,312-0.60%0.03%0.59%1.63%1.86%
2019100.98%1.49%0.98%2.15%$48,404$58,905$48,404$61,6110.21%0.50%0.63%1.42%2.15%
2019111.27%2.25%1.27%3.62%$49,018$60,230$49,018$63,842-0.06%0.49%0.62%1.67%3.62%
2019121.30%2.05%1.30%3.01%$49,656$61,467$49,656$65,761-0.15%0.48%1.14%2.02%3.01%
202011.01%0.52%1.01%-0.05%$50,157$61,787$50,157$65,7282.11%1.36%1.28%0.35%-0.05%
20202-2.94%-5.30%-2.94%-8.24%$48,684$58,513$48,684$60,3111.71%-0.37%-2.46%-5.33%-8.24%
20203-6.49%-9.12%-6.49%-12.37%$45,524$53,177$45,524$52,849-0.59%-3.96%-6.28%-9.25%-12.37%
202046.34%2.82%6.34%12.81%$48,410$54,678$48,410$59,6211.69%3.51%5.70%7.98%12.81%
202052.32%1.02%2.32%4.76%$49,531$55,237$49,531$62,4570.54%1.36%2.11%2.82%4.76%
202061.04%0.87%1.04%1.98%$50,045$55,716$50,045$63,6920.70%1.18%0.47%0.86%1.98%
202073.34%3.49%3.34%5.63%$51,717$57,657$51,717$67,2761.55%2.12%2.81%4.60%5.63%
202082.03%2.77%2.03%7.18%$52,765$59,256$52,765$72,104-1.02%0.47%0.22%3.29%7.18%
20209-1.35%-1.71%-1.35%-3.81%$52,052$58,240$52,052$69,3560.08%-0.35%-0.70%-1.97%-3.81%
202010-1.34%-1.53%-1.34%-2.67%$51,354$57,350$51,354$67,504-0.61%-0.65%-1.27%-1.49%-2.67%

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-2.86%-4.06%-2.86%-5.61%
Russian Debt DefaultJul 1998Oct 1998-5.61%-9.47%-5.61%-15.38%
Dotcom CrashMar 2000Oct 2002-9.29%-5.98%-9.29%-44.82%
Subprime CrisisNov 2007Mar 2009-24.39%-16.41%-24.39%-50.97%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-24.39%
2Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-9.29%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-9.24%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-5.61%
5Jun 2011Sep 20114 monthsDec 20113 months7 months-5.60%
6Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.67%
7May 2010Jun 20102 monthsSep 20103 months5 months-4.36%
8Aug 2001Sep 20012 monthsFeb 20025 months7 months-4.17%
9Jun 2015Sep 20154 monthsMar 20166 months10 months-3.83%
10Feb 2001Mar 20012 monthsMay 20012 months4 months-3.54%
Worst 10 drawdowns included above

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearJul 20101 year 9 months2 years 9 months-16.41%
2Feb 2020Mar 20202 months-13.93%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.47%
4May 2011Sep 20115 monthsFeb 20125 months10 months-9.41%
5Oct 2018Dec 20183 monthsMar 20193 months6 months-8.45%
6Sep 2000Mar 20017 monthsOct 20017 months1 year 2 months-5.98%
7Jun 2015Sep 20154 monthsMar 20166 months10 months-5.83%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-4.47%
9Aug 1997Aug 19971 monthSep 19971 month2 months-4.06%
10May 2019May 20191 monthJun 20191 month2 months-3.62%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

Drawdowns for Equal Weighted (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-24.39%
2Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-9.29%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-9.24%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-5.61%
5Jun 2011Sep 20114 monthsDec 20113 months7 months-5.60%
6Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.67%
7May 2010Jun 20102 monthsSep 20103 months5 months-4.36%
8Aug 2001Sep 20012 monthsFeb 20025 months7 months-4.17%
9Jun 2015Sep 20154 monthsMar 20166 months10 months-3.83%
10Feb 2001Mar 20012 monthsMay 20012 months4 months-3.54%
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%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 2020Oct 20202 months-6.38%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBMFXVanguard Total Bond Market Index Inv5.01%3.42%11.39%-2.26%-3.99%0.861.46-0.05
VASIXVanguard LifeStrategy Income Inv5.56%4.37%14.23%-10.53%-15.50%0.801.210.80
VWINXVanguard Wellesley Income Inv7.43%6.12%20.19%-9.84%-18.82%0.871.400.71
VWELXVanguard Wellington Inv8.36%9.74%23.23%-22.30%-32.53%0.671.000.90
VFINXVanguard 500 Index Investor8.34%15.36%33.19%-37.02%-50.97%0.470.670.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBMFXVASIXVWINXVWELXVFINXProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
VBMFXVanguard Total Bond Market Index Inv1.000.520.460.12-0.040.260.220.26-0.04
VASIXVanguard LifeStrategy Income Inv0.521.000.880.840.800.930.780.930.80
VWINXVanguard Wellesley Income Inv0.460.881.000.880.740.910.780.910.74
VWELXVanguard Wellington Inv0.120.840.881.000.920.970.830.970.92
VFINXVanguard 500 Index Investor-0.040.800.740.921.000.940.830.941.00

Annual Asset Returns

Rolling returns summary
Roll PeriodProvided PortfolioMaximum Return at 10.00% VolatilityEqual WeightedVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.51%19.94%-15.83%8.51%25.51%-9.98%7.51%19.94%-15.83%10.18%33.19%-37.02%
3 years6.59%12.97%-0.19%7.37%17.07%1.78%6.59%12.97%-0.19%7.60%27.53%-14.60%
5 years6.34%10.84%2.26%6.97%11.18%3.27%6.34%10.84%2.26%6.49%17.81%-2.38%
7 years6.42%9.04%3.07%6.95%10.30%4.35%6.42%9.04%3.07%6.67%14.67%-1.64%
10 years6.27%8.11%3.57%6.71%9.34%4.58%6.27%8.11%3.57%6.17%13.40%-1.46%
15 years6.30%7.14%5.77%6.75%7.71%6.20%6.30%7.14%5.77%6.25%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods