Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2000 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 25.00%
VEURX Vanguard European Stock Index Investor 25.00%
VTMGX Vanguard Developed Markets Index Admiral 25.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 33.34%
VTMGX Vanguard Developed Markets Index Admiral 33.33%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 33.33%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 30.00%
VEURX Vanguard European Stock Index Investor 40.00%
VTMGX Vanguard Developed Markets Index Admiral 10.00%
VEIEX Vanguard Emerging Mkts Stock Idx Inv 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$50,127 10.60% 4.15%4.98%17.97%41.59%-43.96%-57.60%
(-53.49%)
0.220.310.93
Portfolio 2$10,000$52,553 10.93% 4.54%5.40%17.83%44.31%-43.71%-56.88%
(-52.78%)
0.240.340.93
Portfolio 3$10,000$50,328 10.63% 4.13%5.02%17.83%40.28%-43.69%-57.44%
(-53.19%)
0.220.310.94
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 13.08%-4.34%4.38%3.84%4.73%4.15%11.60%14.46%
Portfolio 23.40%-5.12%4.29%3.74%5.09%4.54%11.36%14.01%
Portfolio 33.12%-3.82%5.40%4.74%4.96%4.13%11.57%14.43%
Trailing annualized return and volatility are for full months ending in December 2015 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 contribution of $1,200 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard European Stock Index Investor (VEURX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
ReturnBalanceReturnBalanceReturnBalance
20003.39%$1,200-15.16%$9,684-17.47%$9,453-13.40%$9,860-10.57%-8.21%-14.29%-27.56%
20011.55%$1,200-14.02%$9,526-11.93%$9,525-14.18%$9,662-10.97%-20.30%-21.94%-2.88%
20022.38%$1,200-15.49%$9,251-14.67%$9,328-16.51%$9,266-20.96%-17.95%-15.62%-7.43%
20031.88%$1,20041.59%$14,29942.56%$14,49840.28%$14,19931.35%38.70%38.67%57.65%
20043.26%$1,20019.94%$18,34919.63%$18,54319.35%$18,14712.51%20.86%20.25%26.12%
20053.42%$1,20015.22%$22,34217.21%$22,93413.27%$21,7545.98%9.26%13.60%32.05%
20062.54%$1,20026.15%$29,38523.72%$29,57526.53%$28,72515.51%33.42%26.27%29.39%
20074.08%$1,20017.34%$35,68018.51%$36,25016.07%$34,5415.49%13.82%11.15%38.90%
20080.09%$1,200-43.96%$21,194-43.71%$21,606-43.69%$20,649-37.04%-44.73%-41.27%-52.81%
20092.72%$1,20041.21%$31,12944.31%$32,38139.40%$29,98528.70%31.91%28.27%75.98%
20101.50%$1,20012.31%$36,16014.77%$38,36411.70%$34,69317.09%4.91%8.36%18.86%
20112.96%$1,200-10.48%$33,569-10.11%$35,686-9.36%$32,6460.96%-11.60%-12.51%-18.78%
20121.74%$1,20018.56%$41,00217.82%$43,24418.78%$39,97716.25%20.80%18.56%18.64%
20131.50%$1,20018.73%$49,88216.74%$51,68421.05%$49,59433.35%24.70%22.06%-5.19%
20140.76%$1,2000.13%$51,1462.40%$54,1230.58%$51,08212.43%-6.67%-5.66%0.42%
20150.73%$1,200-4.34%$50,127-5.12%$52,553-3.82%$50,3280.29%-2.00%-0.18%-15.47%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard European Stock Index Investor (VEURX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
ReturnBalanceReturnBalanceReturnBalance
20001-5.69%$9,431-5.20%$9,480-5.76%$9,424-4.18%-7.18%-6.52%-4.88%
200023.56%$9,7672.98%$9,7633.88%$9,7902.54%5.34%2.86%3.53%
200032.75%$10,0352.86%$10,0422.87%$10,0715.69%2.41%3.83%-0.90%
20004-5.58%$9,475-5.99%$9,441-5.31%$9,536-5.21%-4.34%-5.36%-7.47%
20005-2.89%$9,201-3.68%$9,094-2.53%$9,294-3.41%-0.58%-2.39%-5.32%
200064.16%$9,5844.82%$9,5323.82%$9,6504.42%2.26%3.90%6.27%
20007-3.21%$9,276-3.73%$9,177-2.67%$9,392-1.95%-1.68%-4.19%-5.20%
200082.20%$9,4803.34%$9,4832.18%$9,5967.28%-1.09%0.91%1.49%
20009-5.10%$8,997-5.19%$8,992-5.02%$9,114-4.67%-4.84%-4.87%-6.14%
200010-3.07%$8,720-3.84%$8,646-2.57%$8,880-2.04%-0.77%-2.37%-7.61%
200011-6.83%$8,125-7.82%$7,970-6.89%$8,267-9.90%-3.96%-3.69%-9.82%
2000124.43%$9,6843.55%$9,4534.75%$9,8601.78%6.87%3.44%5.95%
200113.87%$10,0595.16%$9,9413.49%$10,2053.83%0.00%-0.10%11.76%
20012-8.61%$9,193-8.56%$9,090-8.83%$9,304-9.41%-8.77%-7.50%-8.70%
20013-7.88%$8,469-8.00%$8,363-7.81%$8,577-6.72%-7.51%-6.62%-10.42%
200148.08%$9,1538.39%$9,0657.94%$9,2588.16%7.12%7.66%9.29%
20015-1.52%$9,014-0.49%$9,020-1.64%$9,1061.01%-4.81%-4.14%1.47%
20016-2.85%$8,757-2.57%$8,788-2.77%$8,854-1.64%-3.76%-4.10%-2.12%
20017-2.67%$8,524-3.54%$8,477-2.10%$8,668-1.71%0.28%-1.85%-6.74%
20018-3.04%$8,265-3.18%$8,208-3.32%$8,380-6.00%-2.60%-2.47%-0.98%
20019-11.30%$7,331-11.70%$7,247-10.92%$7,465-9.00%-10.00%-10.25%-15.57%
2001103.71%$7,6033.90%$7,5303.59%$7,7332.52%3.12%2.55%6.59%
2001115.98%$8,0586.77%$8,0395.96%$8,1947.63%3.49%3.01%9.34%
2001123.33%$9,5263.56%$9,5253.28%$9,6621.78%2.59%0.71%7.73%
20021-2.18%$9,319-1.21%$9,410-2.36%$9,434-1.24%-5.09%-5.26%2.87%
200220.35%$9,3510.46%$9,4530.01%$9,435-2.05%0.00%0.68%2.67%
200235.04%$9,8234.92%$9,9194.96%$9,9034.38%5.41%5.92%4.52%
20024-1.26%$9,699-1.43%$9,777-1.65%$9,739-4.90%-0.74%0.13%0.32%
200250.06%$9,7050.05%$9,782-0.23%$9,717-1.22%0.10%1.78%-0.43%
20026-5.72%$9,150-6.46%$9,150-5.57%$9,176-7.06%-3.43%-3.99%-8.23%
20027-9.39%$8,290-8.82%$8,343-9.56%$8,298-8.02%-11.11%-9.87%-8.50%
200280.41%$8,3250.57%$8,3900.40%$8,3320.53%-0.06%-0.29%1.42%
20029-11.22%$7,391-10.59%$7,501-11.51%$7,373-10.07%-13.14%-10.98%-10.69%
2002107.28%$7,9296.55%$7,9927.94%$7,9587.65%9.60%5.52%6.55%
2002115.70%$8,3805.95%$8,4685.69%$8,4116.06%4.93%4.62%7.09%
200212-3.93%$9,251-4.01%$9,328-4.10%$9,266-5.57%-3.68%-3.33%-3.27%
20031-2.82%$8,990-2.20%$9,123-3.03%$8,986-2.54%-4.69%-4.20%0.13%
20032-2.77%$8,741-2.60%$8,886-2.81%$8,733-1.69%-3.30%-2.27%-3.80%
20033-1.11%$8,643-0.98%$8,799-0.89%$8,6551.09%-1.54%-1.99%-2.04%
2003410.04%$9,5118.91%$9,58310.54%$9,5688.21%13.53%9.83%8.75%
200356.29%$10,1096.17%$10,1756.37%$10,1776.11%6.65%6.02%6.39%
200362.69%$10,3813.26%$10,5062.25%$10,4061.43%1.01%2.47%5.88%
200373.56%$10,7504.07%$10,9333.21%$10,7402.36%2.00%2.70%7.03%
200382.78%$11,0493.73%$11,3412.22%$10,9792.39%-0.16%2.21%6.36%
200391.13%$11,1740.85%$11,4380.89%$11,077-1.15%2.02%2.98%0.80%
2003107.10%$11,9687.25%$12,2677.00%$11,8526.12%6.63%6.31%9.09%
2003112.19%$12,2301.54%$12,4562.51%$12,1491.38%4.26%2.22%1.09%
2003127.11%$14,2996.76%$14,4987.00%$14,1994.48%8.20%7.81%7.78%
200411.97%$14,5802.24%$14,8231.89%$14,4672.23%1.14%1.37%3.12%
200422.73%$14,9772.66%$15,2172.67%$14,8531.43%2.92%2.36%4.17%
20043-0.80%$14,857-0.03%$15,212-1.43%$14,641-1.07%-3.14%0.57%0.39%
20044-3.45%$14,343-4.30%$14,558-2.88%$14,219-2.11%-0.81%-2.74%-7.90%
200450.67%$14,4400.40%$14,6160.90%$14,3481.35%1.50%0.67%-0.85%
200461.58%$14,6671.58%$14,8471.52%$14,5652.09%1.57%2.68%-0.09%
20047-3.00%$14,227-3.09%$14,388-2.97%$14,133-3.80%-2.73%-3.59%-1.80%
200481.20%$14,3981.59%$14,6170.95%$14,2680.31%0.05%0.45%4.10%
200493.51%$14,9043.35%$15,1073.51%$14,7691.74%3.99%2.70%5.62%
2004102.71%$15,3082.43%$15,4732.73%$15,1721.68%3.57%3.28%2.30%
2004117.30%$16,4257.29%$16,6017.09%$16,2474.68%7.32%6.89%10.17%
2004124.41%$18,3494.47%$18,5434.30%$18,1473.63%4.23%4.38%5.32%
20051-1.66%$18,045-1.58%$18,250-1.78%$17,824-2.68%-1.89%-1.94%-0.14%
200525.04%$18,9555.09%$19,1794.80%$18,6802.07%4.90%4.24%8.87%
20053-3.40%$18,310-3.71%$18,467-3.15%$18,091-1.75%-2.47%-2.44%-6.70%
20054-2.29%$17,891-2.39%$18,026-2.27%$17,681-2.32%-1.99%-1.94%-2.89%
200551.66%$18,1882.24%$18,4301.72%$17,9853.77%-0.08%-0.40%3.39%
200561.56%$18,4711.75%$18,7521.41%$18,2390.81%0.98%1.09%3.28%
200574.54%$19,3094.78%$19,6494.48%$19,0564.11%3.80%3.24%6.87%
200581.29%$19,5591.07%$19,8591.02%$19,250-0.94%1.98%3.24%0.97%
200594.06%$20,3534.68%$20,7893.37%$19,8970.86%2.16%4.15%8.64%
200510-3.74%$19,592-3.91%$19,977-3.55%$19,190-1.86%-3.23%-2.83%-6.57%
2005113.87%$20,3504.70%$20,9153.58%$19,8773.97%1.30%1.82%7.98%
2005123.90%$22,3423.92%$22,9343.41%$21,7540.14%3.82%5.04%6.16%
200616.94%$23,8947.06%$24,5526.61%$23,1923.50%6.61%6.18%11.48%
20062-0.55%$23,762-0.72%$24,375-0.38%$23,1030.00%-0.03%-0.66%-1.46%
200632.59%$24,3782.20%$24,9112.65%$23,7151.80%3.76%3.58%1.24%
200644.61%$25,5014.42%$26,0124.36%$24,7471.11%5.16%4.86%7.12%
20065-5.03%$24,217-5.93%$24,471-4.49%$23,636-3.23%-2.42%-3.42%-10.74%
20066-0.07%$24,200-0.12%$24,4410.00%$23,6370.17%0.06%-0.31%-0.20%
200670.98%$24,4370.71%$24,6141.03%$23,880-0.13%1.75%1.03%1.19%
200682.53%$25,0562.34%$25,1912.61%$24,5042.31%3.06%2.66%2.05%
200690.98%$25,3011.04%$25,4541.13%$24,7822.27%0.79%0.23%0.72%
2006104.12%$26,3434.05%$26,4864.13%$25,8043.53%4.30%3.88%4.75%
2006114.14%$27,4334.26%$27,6144.00%$26,8362.23%3.81%3.07%7.44%
2006122.74%$29,3852.76%$29,5752.57%$28,7251.13%2.69%2.85%4.16%
200710.96%$29,6650.86%$29,8291.07%$29,0331.88%1.25%1.27%-0.58%
20072-0.90%$29,398-0.87%$29,568-1.11%$28,712-1.61%-0.99%0.28%-1.28%
200732.93%$30,2592.62%$30,3442.96%$29,5611.11%3.85%2.68%4.11%
200744.46%$31,6104.03%$31,5684.74%$30,9614.01%5.73%3.86%4.23%
200753.67%$32,7704.06%$32,8493.56%$32,0623.69%2.55%2.54%5.96%
200760.62%$32,9730.93%$33,1540.29%$32,153-1.67%-0.30%-0.13%4.49%
20077-0.94%$32,664-0.30%$33,056-1.44%$31,690-3.41%-2.86%-2.17%4.30%
20078-0.10%$32,631-0.11%$33,0210.11%$31,7231.45%-0.08%-0.65%-0.94%
200796.38%$34,7126.75%$35,2505.99%$33,6233.59%5.23%5.31%10.75%
2007106.20%$36,8646.63%$37,5875.70%$35,5381.85%4.85%4.48%12.31%
200711-5.18%$34,953-5.65%$35,462-4.97%$33,772-4.49%-3.71%-3.75%-7.99%
200712-1.35%$35,680-1.16%$36,250-1.28%$34,541-0.60%-1.94%-2.64%-0.38%
20081-8.52%$32,640-8.32%$33,235-8.47%$31,615-6.08%-9.13%-7.79%-11.08%
200820.09%$32,6690.22%$33,308-0.23%$31,542-3.07%-0.30%-0.70%4.65%
20083-0.85%$32,392-1.44%$32,829-0.56%$31,364-0.58%0.94%0.11%-3.80%
200845.69%$34,2346.11%$34,8345.41%$33,0615.02%4.43%5.24%8.09%
200851.60%$34,7821.76%$35,4471.58%$33,5842.09%1.13%1.35%1.84%
20086-9.09%$31,621-9.06%$32,237-9.07%$30,538-8.19%-9.19%-8.57%-10.39%
20087-2.86%$30,716-2.79%$31,336-2.63%$29,735-0.77%-3.07%-3.49%-4.14%
20088-3.56%$29,622-3.44%$30,259-3.03%$28,8331.58%-3.93%-4.29%-7.81%
20089-12.67%$25,869-12.41%$26,505-12.51%$25,226-9.26%-13.48%-12.20%-16.25%
200810-21.62%$20,275-21.58%$20,786-21.32%$19,849-17.63%-21.77%-20.52%-27.67%
200811-7.17%$18,821-7.24%$19,281-7.34%$18,393-7.90%-6.96%-5.98%-7.85%
2008126.24%$21,1945.84%$21,6065.75%$20,6491.86%7.47%8.40%8.30%
20091-10.74%$18,917-9.75%$19,499-10.88%$18,402-8.26%-13.72%-12.81%-8.19%
20092-9.36%$17,146-8.98%$17,748-9.60%$16,636-10.45%-10.56%-10.50%-6.07%
2009310.26%$18,90611.03%$19,7069.85%$18,2748.65%7.81%8.01%16.03%
2009413.05%$21,37313.01%$22,26912.93%$20,63810.61%13.19%11.96%16.03%
2009512.98%$24,14612.65%$25,08612.39%$23,1965.38%14.05%13.35%18.27%
20096-1.38%$23,813-1.15%$24,798-1.39%$22,8740.34%-2.14%-1.18%-2.25%
2009710.03%$26,2019.80%$27,22910.01%$25,1637.82%10.77%9.53%11.55%
200983.00%$26,9872.26%$27,8433.37%$26,0103.63%5.43%4.65%-0.63%
200995.88%$28,5746.13%$29,5485.75%$27,5064.23%5.11%4.06%9.29%
200910-2.05%$27,988-2.03%$28,949-2.08%$26,933-2.57%-2.13%-2.36%-1.36%
2009114.77%$29,3225.01%$30,3994.84%$28,2375.63%4.00%3.26%5.90%
2009122.07%$31,1292.57%$32,3811.94%$29,9852.86%0.46%0.91%3.60%
20101-5.20%$29,512-4.83%$30,816-5.29%$28,399-3.50%-6.28%-4.75%-6.25%
201020.86%$29,7641.49%$31,2740.82%$28,6313.36%-1.07%0.00%1.07%
201036.76%$31,7756.88%$33,4266.68%$30,5436.27%6.36%6.26%8.15%
20104-0.65%$31,5690.06%$33,448-0.62%$30,3532.17%-2.89%-2.35%0.26%
20105-10.11%$28,377-9.45%$30,286-10.18%$27,262-8.00%-12.24%-11.18%-9.32%
20106-2.21%$27,749-2.55%$29,515-2.44%$26,597-5.66%-1.10%-1.66%-0.04%
201079.88%$30,4908.96%$32,16010.05%$29,2706.99%12.89%10.79%9.25%
20108-3.72%$29,356-3.53%$31,024-3.95%$28,114-4.75%-4.31%-3.63%-2.24%
2010910.53%$32,44710.27%$34,20910.63%$31,1029.47%11.38%10.11%11.18%
2010103.84%$33,6933.58%$35,4334.01%$32,3473.94%4.66%3.87%2.97%
201011-3.75%$32,431-2.39%$34,586-4.00%$31,0540.58%-7.99%-5.11%-2.71%
2010127.80%$36,1607.45%$38,3647.85%$34,6936.81%8.94%8.33%7.30%
201111.29%$36,6280.55%$38,5761.73%$35,2932.19%3.51%2.25%-2.77%
201122.47%$37,5312.15%$39,4052.66%$36,2323.60%3.39%3.55%-0.85%
201130.51%$37,7221.01%$39,8030.52%$36,4210.45%-0.93%-2.59%5.57%
201145.27%$39,7094.26%$41,5005.52%$38,4332.99%8.21%6.37%3.47%
20115-2.46%$38,730-2.26%$40,560-2.41%$37,504-1.16%-3.03%-2.83%-2.82%
20116-1.67%$38,084-1.53%$39,938-1.80%$36,830-1.79%-2.06%-1.30%-1.51%
20117-2.22%$37,237-1.70%$39,257-2.56%$35,887-2.28%-3.71%-1.97%-0.82%
20118-8.39%$34,111-7.82%$36,187-8.44%$32,858-5.99%-10.08%-8.96%-8.54%
20119-11.39%$30,226-11.35%$32,078-11.13%$29,201-7.75%-11.49%-10.40%-16.19%
20111011.51%$33,70611.39%$35,73311.80%$32,64811.51%11.88%9.34%13.51%
201111-2.35%$32,914-2.03%$35,007-2.29%$31,899-0.29%-3.31%-2.63%-3.41%
201112-1.65%$33,569-1.49%$35,686-1.42%$32,6460.80%-2.16%-2.33%-3.32%
201216.84%$35,8647.34%$38,3056.46%$34,7555.08%5.32%5.82%11.12%
201225.14%$37,7094.99%$40,2165.15%$36,5454.26%5.61%5.12%5.56%
201230.09%$37,7450.07%$40,2460.39%$36,6863.07%0.16%0.22%-2.86%
20124-1.76%$37,081-1.56%$39,617-1.71%$36,059-0.65%-2.35%-2.29%-1.75%
20125-10.11%$33,334-9.51%$35,851-9.96%$32,466-6.24%-11.95%-11.26%-11.08%
201265.86%$35,2875.27%$37,7395.88%$34,3773.91%7.72%7.19%4.83%
201270.67%$35,5240.66%$37,9890.75%$34,6351.03%0.70%0.30%0.64%
201282.63%$36,4562.02%$38,7582.92%$35,6472.48%4.47%3.15%0.43%
201293.47%$37,7223.54%$40,1313.40%$36,8592.58%3.26%2.82%5.32%
2012100.12%$37,768-0.37%$39,9820.12%$36,905-1.76%1.60%1.14%-0.42%
2012111.74%$38,4261.49%$40,5801.72%$37,5390.74%2.47%2.43%1.33%
2012123.58%$41,0023.61%$43,2443.30%$39,9771.19%3.49%3.85%5.84%
201313.90%$42,5993.52%$44,7654.23%$41,6685.50%5.04%4.44%0.61%
20132-1.24%$42,069-0.59%$44,502-1.37%$41,0981.28%-3.19%-1.36%-1.74%
201331.09%$42,5291.35%$45,1011.19%$41,5893.88%0.33%1.48%-1.54%
201343.12%$43,8552.73%$46,3303.00%$42,8361.70%4.32%5.12%1.32%
20135-1.02%$43,408-1.36%$45,702-0.26%$42,7242.32%0.00%-3.00%-3.73%
20136-3.52%$41,879-3.27%$44,208-3.49%$41,231-1.27%-4.28%-2.88%-6.14%
201374.95%$43,9504.12%$46,0315.46%$43,4815.49%7.42%5.34%0.97%
20138-2.15%$43,006-2.44%$44,907-2.13%$42,557-2.82%-1.30%-1.41%-3.18%
201396.21%$45,6755.97%$47,5895.93%$45,0813.66%6.88%7.52%7.15%
2013104.02%$47,5133.99%$49,4904.14%$46,9494.22%4.11%3.23%4.65%
2013110.83%$47,9050.72%$49,8481.12%$47,4762.88%1.12%0.69%-2.02%
2013121.62%$49,8821.28%$51,6841.93%$49,5942.63%2.60%1.59%-0.96%
20141-4.75%$47,514-4.98%$49,109-4.46%$47,383-3.11%-4.04%-4.57%-7.27%
201425.28%$50,0244.64%$51,3885.57%$50,0204.73%7.19%5.73%3.42%
201430.77%$50,4111.27%$52,0420.57%$50,3060.51%-0.67%-0.42%3.86%
201441.16%$50,9970.69%$52,4011.30%$50,9600.06%2.56%1.51%0.51%
201452.06%$52,0462.50%$53,7111.85%$51,9012.17%0.77%1.63%3.72%
201461.64%$52,8972.20%$54,8921.45%$52,6532.54%-0.02%1.06%3.00%
20147-1.71%$51,992-0.92%$54,387-2.16%$51,517-1.98%-4.10%-2.27%1.46%
201482.20%$53,1382.71%$55,8632.28%$52,6924.18%0.62%0.30%3.57%
20149-4.40%$50,800-4.53%$53,333-4.11%$50,527-2.14%-3.99%-4.19%-7.16%
2014100.68%$51,1451.58%$54,1730.46%$50,7612.74%-2.16%-0.47%2.31%
2014110.90%$51,6060.53%$54,4581.37%$51,4572.41%2.13%0.08%-1.00%
201412-3.22%$51,146-2.82%$54,123-3.06%$51,082-0.01%-4.50%-3.73%-4.97%
20151-0.20%$51,043-0.40%$53,907-0.45%$50,851-2.77%0.39%0.90%0.67%
201525.33%$53,7615.07%$56,6415.46%$53,6265.76%6.08%5.94%3.53%
20153-1.71%$52,843-1.46%$55,816-1.84%$52,641-1.04%-2.45%-1.26%-2.08%
201544.13%$55,0244.09%$58,1013.79%$54,6340.42%4.22%4.07%7.79%
20155-0.53%$54,732-0.76%$57,657-0.25%$54,5001.39%0.16%-0.15%-3.38%
20156-2.54%$53,340-2.30%$56,329-2.58%$53,093-1.71%-3.25%-2.79%-2.39%
20157-0.34%$53,159-1.30%$55,5960.27%$53,2351.63%2.52%1.25%-6.81%
20158-7.38%$49,236-7.50%$51,428-7.18%$49,411-6.03%-7.03%-7.28%-9.32%
20159-3.60%$47,464-3.43%$49,663-3.58%$47,640-2.93%-4.08%-4.08%-3.25%
2015106.60%$50,5966.79%$53,0346.59%$50,7817.84%6.07%6.82%5.57%
201511-1.16%$50,009-1.12%$52,441-1.04%$50,2540.54%-1.29%-0.90%-3.25%
201512-2.16%$50,127-2.08%$52,553-2.24%$50,328-2.03%-2.42%-1.81%-2.45%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value9.70%12.48%12.27%
Large-cap Growth11.30%15.44%12.01%
Mid-cap Value0.00%0.91%0.20%
Mid-cap Growth3.78%4.50%4.58%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets50.66%33.11%51.39%
Emerging Markets24.56%32.87%19.55%
Corporate Bonds0.00%0.69%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.51%99.63%99.24%
Style analysis is based on monthly returns from April 2005 to December 2015 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend25.00%1.17%0.14%28.31$7,69120.06%
VEURXVanguard European Stock Index InvestorEurope Stock25.00%1.85%0.23%22.18$4,04825.91%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend25.00%2.09%0.07%21.25$3,69423.93%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts25.00%1.66%0.29%17.86$5,49330.11%
100.00%1.69%0.18%22.40$20,927100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend33.34%1.17%0.14%28.31$10,80927.11%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend33.33%2.09%0.07%21.25$5,19631.63%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts33.33%1.66%0.29%17.86$7,34841.27%
100.00%1.64%0.17%22.47$23,353100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend30.00%1.17%0.14%28.31$9,03024.47%
VEURXVanguard European Stock Index InvestorEurope Stock40.00%1.85%0.23%22.18$6,33542.05%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend10.00%2.09%0.07%21.25$1,4479.63%
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts20.00%1.66%0.29%17.86$4,31723.85%
100.00%1.63%0.20%23.06$21,128100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/11/2021. (c) 2021 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)0.48%0.51%0.47%
Arithmetic Mean (annualized)5.86%6.24%5.81%
Geometric Mean (monthly)0.34%0.37%0.34%
Geometric Mean (annualized)4.15%4.54%4.13%
Volatility (monthly)5.19%5.15%5.15%
Volatility (annualized)17.97%17.83%17.83%
Downside Deviation (monthly)3.66%3.62%3.63%
Max. Drawdown-57.60%-56.88%-57.44%
US Market Correlation0.930.930.94
Beta(*)1.071.071.07
Alpha (annualized)-0.29%0.08%-0.35%
R285.99%86.79%87.63%
Sharpe Ratio0.220.240.22
Sortino Ratio0.310.340.31
Treynor Ratio (%)3.704.053.65
Calmar Ratio0.320.300.42
Active Return-0.32%0.08%-0.34%
Tracking Error6.82%6.57%6.38%
Information Ratio-0.050.01-0.05
Skewness-0.57-0.58-0.57
Excess Kurtosis1.361.321.34
Historical Value-at-Risk (5%)-9.21%-8.89%-9.29%
Analytical Value-at-Risk (5%)-8.04%-7.95%-7.99%
Conditional Value-at-Risk (5%)-11.79%-11.44%-11.76%
Upside Capture Ratio (%)106.79108.06106.73
Downside Capture Ratio (%)107.91107.31107.99
Safe Withdrawal Rate6.23%6.39%6.16%
Perpetual Withdrawal Rate1.92%2.29%1.90%
Positive Periods110 out of 192 (57.29%)110 out of 192 (57.29%)111 out of 192 (57.81%)
Gain/Loss Ratio0.940.960.92
* 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
Dotcom CrashMar 2000Oct 2002-43.60%-43.00%-43.69%
Subprime CrisisNov 2007Mar 2009-57.60%-56.88%-57.44%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20134 years 8 months6 years-57.60%
2Apr 2000Sep 20022 years 6 monthsDec 20042 years 3 months4 years 9 months-43.60%
3May 2015Sep 20155 months-13.74%
4Sep 2014Jan 20155 monthsApr 20153 months8 months-6.20%
5Jan 2000Jan 20001 monthMar 20002 months3 months-5.69%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-5.61%
7May 2006Jun 20062 monthsOct 20064 months6 months-5.10%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-4.75%
9Oct 2005Oct 20051 monthDec 20052 months3 months-3.74%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-56.88%
2Apr 2000Sep 20022 years 6 monthsNov 20042 years 2 months4 years 8 months-43.00%
3May 2015Sep 20155 months-14.52%
4May 2006Jun 20062 monthsOct 20064 months6 months-6.04%
5Mar 2005Apr 20052 monthsJul 20053 months5 months-6.01%
6Sep 2014Jan 20155 monthsApr 20153 months8 months-5.64%
7Jan 2000Jan 20001 monthMar 20002 months3 months-5.20%
8Jan 2014Jan 20141 monthMar 20142 months3 months-4.98%
9Oct 2005Oct 20051 monthNov 20051 month2 months-3.91%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-1.58%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20134 years 8 months6 years-57.44%
2Apr 2000Sep 20022 years 6 monthsDec 20042 years 3 months4 years 9 months-43.69%
3May 2015Sep 20155 months-12.80%
4Sep 2014Jan 20155 monthsApr 20153 months8 months-5.76%
5Jan 2000Jan 20001 monthMar 20002 months3 months-5.76%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-5.35%
7May 2006May 20061 monthSep 20064 months5 months-4.49%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-4.46%
9Oct 2005Oct 20051 monthDec 20052 months3 months-3.55%
10Jul 2014Jul 20141 monthAug 20141 month2 months-2.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv4.46%15.54%33.35%-37.04%-50.89%0.250.341.00
VEURXVanguard European Stock Index Investor2.80%19.26%38.70%-44.73%-59.72%0.150.210.87
VTMGXVanguard Developed Markets Index Admiral2.40%17.58%38.67%-41.27%-57.06%0.120.170.88
VEIEXVanguard Emerging Mkts Stock Idx Inv5.49%23.06%75.98%-52.81%-62.70%0.270.390.81

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVEURXVTMGXVEIEXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv1.000.870.880.810.930.930.94
VEURXVanguard European Stock Index Investor0.871.000.980.840.970.940.97
VTMGXVanguard Developed Markets Index Admiral0.880.981.000.870.980.960.98
VEIEXVanguard Emerging Mkts Stock Idx Inv0.810.840.871.000.940.960.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$7,691$10,809$9,030
VEURXVanguard European Stock Index Investor$4,048$6,335
VTMGXVanguard Developed Markets Index Admiral$3,694$5,196$1,447
VEIEXVanguard Emerging Mkts Stock Idx Inv$5,493$7,348$4,317

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv20.06%27.11%24.47%
VEURXVanguard European Stock Index Investor25.91%42.05%
VTMGXVanguard Developed Markets Index Admiral23.93%31.63%9.63%
VEIEXVanguard Emerging Mkts Stock Idx Inv30.11%41.27%23.85%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.70%66.90%-50.49%8.13%69.68%-49.67%7.53%65.21%-50.32%
3 years7.86%31.71%-16.89%8.35%32.03%-16.48%7.65%30.32%-16.82%
5 years7.99%26.00%-3.63%8.54%26.16%-2.62%7.70%25.17%-3.85%
7 years6.95%14.01%1.03%7.55%14.66%1.72%6.61%13.21%1.11%
10 years7.55%11.73%2.77%8.15%12.33%3.51%7.23%11.34%2.23%
15 years5.34%6.04%4.74%5.83%6.60%5.22%5.22%5.90%4.68%