Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. 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.

You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.

Portfolio Model Configuration

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio #1

Portfolio #2

Portfolio #3

Asset Class Allocation

Asset Allocation

US Stock Market

US Large Cap

US Large Cap Value

US Large Cap Growth

US Mid Cap

US Mid Cap Value

US Mid Cap Growth

US Small Cap

US Small Cap Value

US Small Cap Growth

US Micro Cap

Global ex-US Stock Market

Intl Developed ex-US Market

International ex-US Small Cap

International ex-US Value

European Stocks

Pacific Stocks

Emerging Markets

Cash

Short Term Treasury

Intermediate Term Treasury

10-year Treasury

Long Term Treasury

Total US Bond Market

TIPS

Global Bonds (Unhedged)

Global Bonds (USD Hedged)

Short-Term Investment Grade

Corporate Bonds

Long-Term Corporate Bonds

High Yield Corporate Bonds

Short-Term Tax-Exempt

Intermediate-Term Tax-Exempt

Long-Term Tax-Exempt

REIT

Gold

Precious Metals

Commodities

Total

Portfolio Analysis Results (Jan 1977 - Dec 2017)

Note: The time period was constrained by the available data for Short Term Treasury [Jan 1977 - Aug 2023].

Portfolio 1

Asset Class	Allocation
US Large Cap	10.00%
Short Term Treasury	90.00%
Save portfolio »

Portfolio 2

Asset Class	Allocation
US Small Cap	10.00%
Short Term Treasury	90.00%
Save portfolio »

Portfolio 3

Asset Class	Allocation
US Mid Cap	10.00%
Short Term Treasury	90.00%
Save portfolio »

Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
Portfolio 1	$1,000,000	$14,005,522	6.65%	3.31%	22.01%	-0.31%	-3.56%	0.59	0.97	0.50
Portfolio 2	$1,000,000	$15,235,359	6.87%	3.46%	22.84%	-0.48%	-4.37%	0.63	1.01	0.56
Portfolio 3	$1,000,000	$15,175,185	6.86%	3.41%	22.43%	-0.60%	-4.05%	0.64	1.04	0.53
Vanguard 500 Index Investor	$1,000,000	$74,040,056	11.07%	14.71%	37.45%	-37.02%	-50.97%	0.48	0.69	0.99

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	0.37%	2.52%	2.52%	1.71%	2.05%	2.48%	6.65%	1.06%	1.14%
Portfolio 2	0.18%	1.97%	1.97%	1.56%	1.95%	2.63%	6.87%	1.14%	1.34%
Portfolio 3	0.25%	2.27%	2.27%	1.51%	1.99%	2.59%	6.86%	1.08%	1.23%
Vanguard 500 Index Investor	6.61%	21.67%	21.67%	11.26%	15.62%	8.37%	11.07%	10.07%	9.49%
Trailing return and volatility are as of last calendar month ending December 2017

Notes and Disclosures

IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
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. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
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.
Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
The results assume annual rebalancing of portfolio assets to match the specified allocation.

Annualized Active Return

Active Return Contribution

Rolling Active Return

Up vs. Down Market Performance

Portfolio 1 vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - Portfolio 1 vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	29	289	318	9%	0.59%	-2.85%	-2.54%
Down Market	174	0	174	100%	3.43%	N/A	3.43%
Total	203	289	492	41%	3.02%	-2.85%	-0.43%

Portfolio 2 vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - Portfolio 2 vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	29	289	318	9%	0.67%	-2.80%	-2.48%
Down Market	173	1	174	99%	3.40%	-0.19%	3.38%
Total	202	290	492	41%	3.01%	-2.79%	-0.41%

Portfolio 3 vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - Portfolio 3 vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	29	289	318	9%	0.68%	-2.82%	-2.50%
Down Market	173	1	174	99%	3.43%	-0.11%	3.41%
Total	202	290	492	41%	3.03%	-2.81%	-0.41%

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		Portfolio 2		Portfolio 3		Vanguard 500 Index Investor		US Large Cap	Short Term Treasury	US Small Cap	US Mid Cap
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	US Large Cap	Short Term Treasury	US Small Cap	US Mid Cap
1977	6.70%	1.83%	$1,018,322	4.18%	$1,041,837	2.75%	$1,027,467	-7.84%	$921,580	-7.84%	2.91%	15.67%	1.30%
1978	9.02%	3.60%	$1,054,973	4.79%	$1,091,697	3.91%	$1,067,629	5.87%	$975,690	5.87%	3.35%	17.74%	8.97%
1979	13.29%	9.08%	$1,150,728	11.37%	$1,215,865	10.42%	$1,178,871	18.05%	$1,151,777	18.05%	8.08%	41.02%	31.48%
1980	12.52%	11.12%	$1,278,659	11.50%	$1,355,732	11.00%	$1,308,572	31.92%	$1,519,375	31.92%	8.81%	35.78%	30.76%
1981	8.92%	12.31%	$1,436,125	13.27%	$1,535,665	13.25%	$1,481,905	-5.21%	$1,440,279	-5.21%	14.26%	4.36%	4.10%
1982	3.83%	22.01%	$1,752,176	22.84%	$1,886,360	22.43%	$1,814,317	20.97%	$1,742,336	20.97%	22.12%	29.27%	25.21%
1983	3.79%	9.33%	$1,915,614	10.36%	$2,081,828	9.91%	$1,994,103	21.29%	$2,113,329	21.29%	8.00%	31.64%	27.11%
1984	3.95%	13.23%	$2,168,998	12.18%	$2,335,402	12.43%	$2,242,009	6.21%	$2,244,616	6.21%	14.01%	-4.26%	-1.74%
1985	3.80%	15.57%	$2,506,799	15.82%	$2,704,890	15.73%	$2,594,689	31.23%	$2,945,577	31.23%	13.83%	33.70%	32.79%
1986	1.10%	11.12%	$2,785,618	10.29%	$2,983,314	11.03%	$2,880,855	18.06%	$3,477,573	18.06%	10.35%	9.77%	17.12%
1987	4.43%	4.78%	$2,918,669	3.66%	$3,092,603	4.39%	$3,007,310	4.71%	$3,641,203	4.71%	4.78%	-6.42%	0.84%
1988	4.42%	6.73%	$3,114,994	7.48%	$3,324,012	7.05%	$3,219,286	16.22%	$4,231,804	16.22%	5.67%	23.78%	19.44%
1989	4.65%	13.47%	$3,534,506	12.27%	$3,731,940	12.93%	$3,635,578	31.36%	$5,559,107	31.36%	11.48%	19.41%	26.00%
1990	6.11%	8.59%	$3,838,261	7.11%	$3,997,420	7.85%	$3,921,089	-3.32%	$5,374,285	-3.32%	9.92%	-18.13%	-10.73%
1991	3.06%	13.37%	$4,351,280	14.87%	$4,591,824	14.39%	$4,485,255	30.22%	$6,998,477	30.22%	11.49%	45.26%	40.44%
1992	2.90%	6.81%	$4,647,761	7.89%	$4,954,192	7.59%	$4,825,719	7.42%	$7,517,994	7.42%	6.75%	18.20%	15.19%
1993	2.75%	6.66%	$4,957,505	7.55%	$5,328,009	7.29%	$5,177,739	9.89%	$8,261,703	9.89%	6.31%	18.70%	16.20%
1994	2.67%	-0.31%	$4,942,033	-0.48%	$5,302,409	-0.60%	$5,146,602	1.18%	$8,358,854	1.18%	-0.48%	-0.51%	-1.72%
1995	2.54%	14.64%	$5,665,672	13.77%	$6,032,653	14.22%	$5,878,428	37.45%	$11,488,889	37.45%	12.11%	28.74%	33.22%
1996	3.32%	6.24%	$6,019,270	5.77%	$6,380,444	5.85%	$6,222,319	22.88%	$14,117,201	22.88%	4.39%	18.12%	18.97%
1997	1.70%	9.18%	$6,571,607	8.32%	$6,911,048	8.42%	$6,746,430	33.19%	$18,802,751	33.19%	6.51%	24.59%	25.66%
1998	1.61%	9.49%	$7,194,965	6.36%	$7,350,767	7.61%	$7,260,068	28.62%	$24,183,554	28.62%	7.36%	-2.61%	9.90%
1999	2.68%	3.77%	$7,466,350	3.98%	$7,643,208	3.20%	$7,492,167	21.07%	$29,278,652	21.07%	1.85%	23.13%	15.32%
2000	3.39%	7.04%	$7,992,331	7.68%	$8,230,497	9.76%	$8,223,408	-9.06%	$26,627,132	-9.06%	8.83%	-2.67%	18.10%
2001	1.55%	5.82%	$8,457,111	7.33%	$8,833,596	6.97%	$8,796,392	-12.02%	$23,425,715	-12.02%	7.80%	3.10%	-0.50%
2002	2.38%	5.00%	$8,880,319	5.22%	$9,294,394	5.76%	$9,302,874	-22.15%	$18,238,064	-22.15%	8.02%	-20.02%	-14.61%
2003	1.88%	5.00%	$9,323,901	6.71%	$9,917,839	5.56%	$9,820,032	28.50%	$23,436,263	28.50%	2.38%	45.63%	34.14%
2004	3.26%	2.00%	$9,510,505	2.92%	$10,207,140	2.96%	$10,110,964	10.74%	$25,953,369	10.74%	1.03%	19.90%	20.35%
2005	3.42%	2.07%	$9,707,153	2.33%	$10,444,617	2.98%	$10,412,604	4.77%	$27,192,495	4.77%	1.77%	7.36%	13.93%
2006	2.54%	4.95%	$10,188,114	4.96%	$10,962,263	4.75%	$10,907,232	15.64%	$31,445,849	15.64%	3.77%	15.66%	13.60%
2007	4.08%	7.64%	$10,966,092	7.21%	$11,752,975	7.70%	$11,747,044	5.39%	$33,139,736	5.39%	7.89%	1.16%	6.02%
2008	0.09%	2.31%	$11,219,247	2.40%	$12,035,466	1.83%	$11,961,802	-37.02%	$20,871,174	-37.02%	6.68%	-36.07%	-41.82%
2009	2.72%	3.94%	$11,661,805	4.91%	$12,626,153	5.32%	$12,597,912	26.49%	$26,399,026	26.49%	1.44%	36.12%	40.22%
2010	1.50%	3.86%	$12,112,164	5.14%	$13,275,446	4.92%	$13,217,274	14.91%	$30,336,105	14.91%	2.63%	27.72%	25.46%
2011	2.96%	2.23%	$12,382,004	1.75%	$13,507,878	1.82%	$13,457,889	1.97%	$30,932,517	1.97%	2.26%	-2.80%	-2.11%
2012	1.74%	2.21%	$12,655,119	2.43%	$13,835,806	2.20%	$13,754,338	15.82%	$35,827,489	15.82%	0.69%	18.04%	15.80%
2013	1.50%	3.13%	$13,051,135	3.67%	$14,344,088	3.41%	$14,223,542	32.18%	$47,355,178	32.18%	-0.10%	37.62%	35.00%
2014	0.76%	1.99%	$13,311,362	1.38%	$14,542,010	2.00%	$14,508,509	13.51%	$53,752,156	13.51%	0.71%	7.37%	13.60%
2015	0.73%	0.53%	$13,382,451	0.03%	$14,546,466	0.26%	$14,546,795	1.25%	$54,423,166	1.25%	0.45%	-3.78%	-1.45%
2016	2.07%	2.08%	$13,660,753	2.72%	$14,941,439	2.01%	$14,838,512	11.82%	$60,854,337	11.82%	1.00%	18.17%	11.07%
2017	2.11%	2.52%	$14,005,522	1.97%	$15,235,359	2.27%	$15,175,185	21.67%	$74,040,056	21.67%	0.40%	16.10%	19.12%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	0.54%	0.56%	0.56%	0.97%
Arithmetic Mean (annualized)	6.71%	6.93%	6.92%	12.28%
Geometric Mean (monthly)	0.54%	0.56%	0.55%	0.88%
Geometric Mean (annualized)	6.65%	6.87%	6.86%	11.07%
Standard Deviation (monthly)	0.96%	1.00%	0.98%	4.25%
Standard Deviation (annualized)	3.31%	3.46%	3.41%	14.71%
Downside Deviation (monthly)	0.36%	0.40%	0.37%	2.73%
Maximum Drawdown	-3.56%	-4.37%	-4.05%	-50.97%
Stock Market Correlation	0.50	0.56	0.53	0.99
Beta^(*)	0.12	0.12	0.12	1.00
Alpha (annualized)	5.15%	5.27%	5.30%	0.00%
R²	26.76%	28.09%	27.20%	100.00%
Sharpe Ratio	0.59	0.63	0.64	0.48
Sortino Ratio	0.97	1.01	1.04	0.69
Treynor Ratio (%)	16.09	16.72	17.16	7.00
Calmar Ratio	2.34	1.48	1.80	1.34
Active Return	-4.42%	-4.20%	-4.21%	N/A
Tracking Error	13.30%	13.21%	13.26%	N/A
Information Ratio	-0.33	-0.32	-0.32	N/A
Skewness	1.32	1.12	1.27	-0.62
Excess Kurtosis	8.58	8.44	8.94	2.30
Historical Value-at-Risk (5%)	0.71%	0.78%	0.75%	6.16%
Analytical Value-at-Risk (5%)	1.03%	1.08%	1.06%	6.02%
Conditional Value-at-Risk (5%)	1.27%	1.41%	1.33%	9.30%
Upside Capture Ratio (%)	22.22	23.67	23.21	100.00
Downside Capture Ratio (%)	-1.99	-0.60	-1.44	100.00
Safe Withdrawal Rate	4.47%	4.76%	4.65%	6.52%
Perpetual Withdrawal Rate	2.87%	3.07%	3.07%	6.74%
Positive Periods	371 out of 492 (75.41%)	377 out of 492 (76.63%)	375 out of 492 (76.22%)	315 out of 492 (64.02%)
Gain/Loss Ratio	1.81	1.66	1.78	1.00
^* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Black Monday Period	Sep 1987	Nov 1987	-1.78%	-2.07%	-1.67%	-29.78%
Asian Crisis	Jul 1997	Jan 1998	-0.67%	0.00%	-0.03%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-0.16%	-0.82%	-0.35%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-0.38%	-0.88%	-0.22%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-1.91%	-2.37%	-1.92%	-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 1980	Feb 1980	1 month	Apr 1980	2 months	3 months	-3.56%
2	Oct 1979	Oct 1979	1 month	Dec 1979	2 months	3 months	-2.99%
3	Feb 1994	Apr 1994	3 months	Jan 1995	9 months	1 year	-2.59%
4	Aug 1980	Oct 1980	3 months	Dec 1980	2 months	5 months	-2.08%
5	Jan 2009	Feb 2009	2 months	Apr 2009	2 months	4 months	-1.91%
6	Sep 1987	Nov 1987	3 months	Jan 1988	2 months	5 months	-1.78%
7	Apr 1981	Apr 1981	1 month	May 1981	1 month	2 months	-1.75%
8	Oct 1978	Oct 1978	1 month	Jan 1979	3 months	4 months	-1.56%
9	Jan 1977	Jan 1977	1 month	Jun 1977	5 months	6 months	-1.50%
10	Apr 2008	Oct 2008	7 months	Dec 2008	2 months	9 months	-1.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 1980	Mar 1980	2 months	Apr 1980	1 month	3 months	-4.37%
2	Oct 1979	Oct 1979	1 month	Dec 1979	2 months	3 months	-3.49%
3	Oct 1978	Oct 1978	1 month	Jan 1979	3 months	4 months	-3.05%
4	Feb 1994	Jun 1994	5 months	Feb 1995	8 months	1 year 1 month	-2.58%
5	Sep 2008	Feb 2009	6 months	Apr 2009	2 months	8 months	-2.37%
6	Sep 1987	Nov 1987	3 months	Jan 1988	2 months	5 months	-2.07%
7	Jul 1981	Aug 1981	2 months	Oct 1981	2 months	4 months	-1.78%
8	Jun 2011	Sep 2011	4 months	Jan 2012	4 months	8 months	-1.78%
9	Feb 1999	Feb 1999	1 month	Apr 1999	2 months	3 months	-1.61%
10	Apr 2004	Apr 2004	1 month	Oct 2004	6 months	7 months	-1.57%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 1980	Mar 1980	2 months	Apr 1980	1 month	3 months	-4.05%
2	Oct 1979	Oct 1979	1 month	Dec 1979	2 months	3 months	-3.30%
3	Feb 1994	Jun 1994	5 months	Jan 1995	7 months	1 year	-2.53%
4	Oct 1978	Oct 1978	1 month	Jan 1979	3 months	4 months	-2.28%
5	Aug 1980	Oct 1980	3 months	Dec 1980	2 months	5 months	-2.04%
6	Apr 2008	Oct 2008	7 months	Apr 2009	6 months	1 year 1 month	-1.92%
7	Sep 1987	Nov 1987	3 months	Jan 1988	2 months	5 months	-1.67%
8	Jun 2011	Sep 2011	4 months	Jan 2012	4 months	8 months	-1.59%
9	Jul 1981	Aug 1981	2 months	Oct 1981	2 months	4 months	-1.57%
10	Dec 1981	Jan 1982	2 months	Apr 1982	3 months	5 months	-1.52%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.78%
4	Dec 1980	Jul 1982	1 year 8 months	Oct 1982	3 months	1 year 11 months	-17.00%
5	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
6	Jan 1977	Feb 1978	1 year 2 months	Aug 1978	6 months	1 year 8 months	-14.85%
7	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
8	Mar 1980	Mar 1980	1 month	Jun 1980	3 months	4 months	-9.81%
9	Sep 1978	Oct 1978	2 months	Mar 1979	5 months	7 months	-9.41%
10	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Large Cap	11.07%	14.71%	37.45%	-37.02%	-50.97%	0.48	0.69	0.99
Short Term Treasury	6.02%	3.16%	22.12%	-0.48%	-4.26%	0.43	0.70	0.07
US Small Cap	12.97%	18.76%	45.63%	-36.07%	-53.95%	0.50	0.72	0.91
US Mid Cap	13.12%	16.57%	40.44%	-41.82%	-54.14%	0.55	0.81	0.96

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year
US Large Cap	6.61%	21.67%	21.67%	11.27%	15.63%	8.37%
Short Term Treasury	-0.41%	0.40%	0.40%	0.62%	0.49%	1.60%
US Small Cap	5.07%	16.10%	16.10%	9.70%	14.30%	9.54%
US Mid Cap	5.62%	19.12%	19.12%	9.25%	14.87%	8.78%
Trailing returns as of last calendar month ending December 2017

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	Short Term Treasury	US Small Cap	US Mid Cap	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
US Large Cap	1.00	0.08	0.85	0.93	0.52	0.53	0.52	1.00
Short Term Treasury	0.08	1.00	0.02	0.08	0.89	0.83	0.87	0.08
US Small Cap	0.85	0.02	1.00	0.94	0.40	0.57	0.48	0.85
US Mid Cap	0.93	0.08	0.94	1.00	0.48	0.58	0.56	0.93

Portfolio Return Decomposition

Portfolio return decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 3
US Large Cap	$3,033,705
Short Term Treasury	$9,971,817	$10,585,422	$10,404,344
US Small Cap		$3,649,938
US Mid Cap			$3,770,841
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	Portfolio 1	Portfolio 2	Portfolio 3
US Large Cap	23.02%
Short Term Treasury	76.98%	68.92%	72.90%
US Small Cap		31.08%
US Mid Cap			27.10%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	6.89%	24.56%	-1.52%	7.09%	26.57%	-1.74%	7.09%	25.41%	-1.80%	12.59%	58.83%	-43.32%
3 years	7.04%	17.09%	1.47%	7.19%	18.50%	1.32%	7.24%	17.89%	1.42%	11.84%	32.80%	-16.14%
5 years	7.15%	16.13%	1.92%	7.29%	16.21%	1.74%	7.35%	16.20%	1.79%	11.60%	28.95%	-6.73%
7 years	7.15%	14.44%	2.07%	7.26%	14.82%	1.99%	7.34%	14.70%	1.99%	11.35%	22.44%	-3.94%
10 years	7.09%	12.23%	2.48%	7.18%	12.33%	2.63%	7.28%	12.35%	2.59%	11.02%	19.37%	-3.51%
15 years	7.04%	10.92%	3.08%	7.12%	11.23%	3.35%	7.23%	11.15%	3.32%	11.00%	19.30%	3.64%

Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

Portfolio Model Configuration

Asset Class Allocation

Portfolio Analysis Results (Jan 1977 - Dec 2017)

Portfolio 1

Portfolio 2

Portfolio 3

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Annualized Active Return

Active Return Contribution

Rolling Active Return

Up vs. Down Market Performance

Portfolio 1 vs. Vanguard 500 Index Investor

Portfolio 2 vs. Vanguard 500 Index Investor

Portfolio 3 vs. Vanguard 500 Index Investor

Annual Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for Portfolio 1

Drawdowns for Portfolio 2

Drawdowns for Portfolio 3

Drawdowns for Vanguard 500 Index Investor

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years