Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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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Asset 11
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Asset 12
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Asset 13
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Asset 14
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Asset 15
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Portfolio Analysis Results (Jan 2008 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VMGRX Vanguard Mid Cap Growth Inv 23.00%
IJR iShares Core S&P Small-Cap ETF 14.00%
EFG iShares MSCI EAFE Growth ETF 23.00%
SCZ iShares MSCI EAFE Small-Cap ETF 5.00%
VWO Vanguard FTSE Emerging Markets ETF 10.00%
IEI iShares 3-7 Year Treasury Bond ETF 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SCZ iShares MSCI EAFE Small-Cap ETF 5.00%
VWO Vanguard FTSE Emerging Markets ETF 10.00%
VMVIX Vanguard Mid-Cap Value Index Investor 23.00%
IJS iShares S&P Small-Cap 600 Value ETF 14.00%
EFV iShares MSCI EAFE Value ETF 23.00%
IEI iShares 3-7 Year Treasury Bond ETF 25.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VWO Vanguard FTSE Emerging Markets ETF 10.00%
VTI Vanguard Total Stock Market ETF 37.00%
VEA Vanguard FTSE Developed Markets ETF 28.00%
IEI iShares 3-7 Year Treasury Bond ETF 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,484 4.74% 13.61%27.37%-27.24%-36.73% 0.390.560.96
Portfolio 2$10,000$13,966 4.26% 14.43%27.65%-26.60%-38.72% 0.340.500.96
Portfolio 3$10,000$13,681 4.00% 13.40%25.59%-27.11%-37.68% 0.340.490.96
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Mid Cap Growth Inv (VMGRX)iShares Core S&P Small-Cap ETF (IJR)iShares MSCI EAFE Growth ETF (EFG)iShares MSCI EAFE Small-Cap ETF (SCZ)Vanguard FTSE Emerging Markets ETF (VWO)iShares 3-7 Year Treasury Bond ETF (IEI)Vanguard Mid-Cap Value Index Investor (VMVIX)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE Value ETF (EFV)Vanguard Total Stock Market ETF (VTI)Vanguard FTSE Developed Markets ETF (VEA)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%-27.24%-26.60%-27.11%$7,276$7,340$7,289-39.59%-31.52%-40.20%-48.55%-52.49%12.79%-36.64%-29.39%-41.67%-36.98%-40.65%
20092.72%27.37%27.65%25.59%$9,267$9,369$9,15438.42%25.88%24.20%42.85%76.28%-1.70%37.61%22.36%28.36%28.89%27.49%
20101.50%16.81%14.06%12.31%$10,825$10,686$10,28123.83%26.60%13.05%21.50%19.47%6.32%21.63%24.69%4.47%17.42%8.35%
20112.96%-3.15%-3.75%-2.89%$10,485$10,286$9,9841.17%0.79%-12.91%-15.14%-18.76%8.30%-0.44%-1.65%-12.42%0.97%-12.30%
20121.74%13.37%13.99%13.67%$11,887$11,725$11,34814.84%16.29%18.39%21.28%19.20%1.85%15.91%18.24%18.83%16.45%18.56%
20131.50%19.07%19.61%17.54%$14,153$14,025$13,33834.15%41.32%21.53%28.61%-4.92%-1.84%37.42%39.34%21.84%33.45%21.83%
20140.76%2.44%3.16%3.75%$14,499$14,468$13,83910.86%5.85%-5.89%-6.07%-0.07%3.17%13.84%7.56%-6.80%12.54%-5.98%
20150.73%-0.10%-3.47%-1.14%$14,484$13,966$13,6810.21%-2.07%3.72%9.10%-15.81%1.64%-1.91%-6.90%-5.86%0.36%-0.38%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Mid Cap Growth Inv (VMGRX)iShares Core S&P Small-Cap ETF (IJR)iShares MSCI EAFE Growth ETF (EFG)iShares MSCI EAFE Small-Cap ETF (SCZ)Vanguard FTSE Emerging Markets ETF (VWO)iShares 3-7 Year Treasury Bond ETF (IEI)Vanguard Mid-Cap Value Index Investor (VMVIX)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE Value ETF (EFV)Vanguard Total Stock Market ETF (VTI)Vanguard FTSE Developed Markets ETF (VEA)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20081-5.10%-3.97%-4.52%$9,490$9,603$9,548-8.45%-5.40%-7.45%-10.44%-9.02%2.93%-3.63%-4.00%-8.17%-6.17%-7.39%
20082-0.16%-1.19%-0.49%$9,475$9,489$9,501-2.60%-2.37%0.32%-0.37%2.88%1.55%-3.91%-3.36%-2.21%-2.50%-1.01%
20083-0.15%0.20%-0.37%$9,461$9,509$9,466-0.55%-0.08%0.18%1.91%-3.68%0.78%-0.73%0.83%1.44%-0.90%0.38%
200843.39%2.98%3.36%$9,782$9,792$9,7846.90%4.42%4.62%1.92%8.43%-2.30%5.09%2.64%5.58%4.89%5.38%
200851.90%1.31%0.92%$9,967$9,920$9,8743.43%4.15%2.64%2.12%1.79%-1.23%3.66%3.92%-0.07%2.02%1.21%
20086-5.66%-6.80%-6.17%$9,403$9,246$9,265-7.24%-7.45%-7.87%-7.77%-9.81%0.74%-9.78%-8.41%-9.78%-8.12%-8.68%
20087-1.70%-1.14%-1.42%$9,243$9,141$9,134-2.92%1.89%-3.34%-6.62%-4.72%0.72%-1.43%2.87%-2.97%-0.62%-3.47%
20088-0.80%-0.01%-1.00%$9,169$9,140$9,0421.35%4.29%-4.95%-3.60%-7.92%0.98%3.00%4.76%-3.50%1.46%-4.01%
20089-7.94%-6.85%-7.45%$8,441$8,514$8,368-11.32%-6.66%-12.76%-14.70%-15.59%1.00%-8.96%-4.82%-11.56%-9.24%-11.59%
200810-13.68%-14.50%-13.06%$7,286$7,280$7,276-19.32%-19.76%-19.15%-23.77%-27.26%1.47%-22.08%-19.86%-19.83%-17.48%-20.56%
200811-4.13%-4.01%-3.39%$6,985$6,988$7,029-6.85%-11.85%-8.72%-7.38%-8.65%3.85%-8.00%-11.80%-6.80%-8.01%-6.62%
2008124.16%5.03%3.70%$7,276$7,340$7,2891.29%5.09%9.87%8.71%7.59%1.76%5.83%6.57%8.72%1.78%8.97%
20091-7.47%-9.42%-8.11%$6,732$6,649$6,697-5.13%-11.69%-12.45%-11.55%-8.91%-1.28%-9.37%-13.94%-15.31%-8.05%-14.02%
20092-6.02%-7.82%-6.94%$6,327$6,128$6,232-6.17%-11.82%-9.83%-9.28%-2.38%-0.64%-11.96%-13.03%-11.50%-10.53%-10.08%
200936.65%7.04%6.87%$6,748$6,560$6,6608.29%6.64%7.92%9.69%12.40%1.76%8.79%7.58%8.98%8.26%8.42%
200949.15%11.74%8.53%$7,365$7,330$7,22813.07%18.08%7.54%13.79%17.44%-1.38%16.16%18.89%16.67%10.99%11.82%
200956.21%6.54%7.35%$7,822$7,809$7,7602.15%1.86%13.45%15.92%17.89%-0.98%3.92%0.67%13.10%5.46%13.06%
20096-0.13%-0.67%-0.84%$7,812$7,757$7,6940.57%1.78%-0.57%1.72%-2.45%-0.65%-0.74%1.52%-1.40%0.36%-1.82%
200976.94%8.12%7.27%$8,354$8,386$8,2547.23%9.75%8.83%8.40%10.91%0.53%10.51%11.00%10.05%7.74%10.57%
200981.88%4.08%2.74%$8,511$8,728$8,4802.47%2.38%2.27%6.40%-0.71%0.86%6.81%3.48%6.74%3.71%4.50%
200994.69%4.43%4.11%$8,910$9,115$8,8285.93%5.10%3.77%4.91%9.96%0.73%5.87%4.21%3.33%4.14%3.94%
200910-2.46%-3.27%-2.08%$8,690$8,817$8,644-4.28%-5.58%-0.94%-2.51%-2.41%0.14%-4.83%-6.07%-3.63%-2.63%-2.77%
2009113.48%3.99%4.63%$8,993$9,169$9,0443.61%2.61%3.84%0.96%7.18%1.81%5.70%2.90%3.71%5.69%4.11%
2009123.06%2.19%1.21%$9,267$9,369$9,1547.09%8.24%1.15%1.55%3.10%-2.52%5.23%8.10%-0.44%2.86%0.79%
20101-3.12%-2.38%-3.09%$8,978$9,146$8,871-5.53%-3.14%-4.59%-2.15%-6.73%1.71%-2.29%-2.54%-4.99%-3.57%-5.44%
201021.99%1.99%1.76%$9,157$9,328$9,0274.27%4.11%0.89%-0.60%1.88%0.40%4.87%4.76%-0.23%3.44%0.74%
201035.21%5.07%4.68%$9,634$9,800$9,4497.01%7.97%6.75%7.38%8.19%-0.78%7.02%7.80%6.14%6.40%6.30%
201041.34%1.51%0.27%$9,763$9,949$9,4753.52%5.82%-2.51%0.61%-0.21%0.93%3.92%6.63%-2.90%2.18%-2.77%
20105-6.32%-6.79%-6.66%$9,146$9,273$8,844-7.04%-7.15%-10.97%-12.46%-9.18%1.52%-7.55%-8.54%-11.65%-7.88%-11.53%
20106-2.33%-2.96%-2.24%$8,933$8,999$8,646-6.23%-7.10%-0.94%-0.46%-0.55%1.86%-6.15%-8.27%-3.04%-5.83%-1.81%
201076.23%6.84%6.85%$9,489$9,615$9,2386.02%6.45%10.24%10.39%10.21%1.09%6.61%6.71%12.64%7.02%11.66%
20108-2.69%-3.23%-2.56%$9,234$9,304$9,002-3.29%-7.60%-3.42%-4.51%-2.56%1.45%-5.06%-7.91%-3.81%-4.71%-3.58%
201098.50%7.33%7.23%$10,018$9,986$9,65212.28%11.25%10.77%11.96%11.42%0.47%9.11%10.93%8.93%9.45%9.66%
2010103.11%3.00%3.05%$10,330$10,286$9,9474.28%4.25%3.72%4.51%3.10%0.58%3.52%4.04%4.23%4.03%4.06%
201011-0.26%-1.71%-1.68%$10,303$10,110$9,7802.74%3.81%-3.35%-3.44%-2.84%-0.96%0.35%2.47%-6.66%0.51%-4.90%
2010125.06%5.70%5.12%$10,825$10,686$10,2815.55%7.58%8.23%11.42%7.56%-2.04%7.22%8.97%8.71%6.96%8.44%
201110.07%1.31%1.17%$10,833$10,826$10,4010.84%0.12%0.08%0.69%-3.45%0.60%2.40%-0.24%4.12%2.05%2.16%
201122.44%2.31%2.29%$11,096$11,076$10,6394.70%4.43%3.19%2.28%-0.17%-0.42%3.65%4.21%3.75%3.70%3.66%
201131.17%0.26%-0.11%$11,226$11,105$10,6272.64%2.94%-1.33%-0.30%5.47%-0.26%1.36%2.21%-3.34%0.42%-2.50%
201143.67%3.25%3.55%$11,638$11,465$11,0043.30%2.62%6.59%5.88%3.37%1.59%2.94%1.06%6.02%2.90%6.19%
20115-0.95%-1.26%-1.08%$11,527$11,320$10,885-1.18%-0.86%-2.23%-2.44%-2.94%1.62%-0.52%-1.77%-3.63%-1.06%-2.70%
20116-0.83%-1.38%-1.15%$11,431$11,164$10,760-0.14%-1.84%-1.49%-1.25%-1.00%-0.15%-3.05%-1.59%-1.01%-1.79%-1.22%
20117-1.35%-1.74%-1.08%$11,277$10,970$10,643-3.72%-3.16%-1.57%-1.70%-0.62%2.03%-4.00%-2.77%-3.32%-2.27%-2.39%
20118-5.50%-5.55%-5.06%$10,656$10,360$10,104-7.17%-7.79%-8.39%-8.23%-9.09%1.83%-6.50%-7.98%-9.31%-6.09%-8.58%
20119-8.04%-7.72%-7.45%$9,799$9,561$9,352-7.57%-10.31%-12.35%-11.23%-18.44%0.30%-8.75%-10.57%-9.61%-7.57%-11.33%
2011108.57%8.43%7.97%$10,639$10,366$10,09611.88%14.91%10.39%7.44%15.91%-0.02%12.34%15.34%9.26%11.37%9.76%
201111-0.35%-0.55%-0.77%$10,602$10,309$10,0180.62%0.62%-1.78%-2.56%-1.71%0.23%0.05%0.63%-2.03%-0.37%-2.09%
201112-1.10%-0.22%-0.34%$10,485$10,286$9,984-1.53%1.26%-2.84%-3.37%-4.17%0.71%1.25%2.02%-2.24%0.98%-2.12%
201215.48%5.11%4.68%$11,059$10,812$10,4526.43%6.59%6.09%8.83%10.78%0.63%5.21%7.90%4.89%5.07%5.62%
201223.56%2.94%3.37%$11,453$11,130$10,8045.84%2.17%5.20%5.26%5.43%-0.62%3.64%1.71%5.07%4.22%4.88%
201230.73%0.47%0.82%$11,536$11,182$10,8931.93%2.89%1.02%0.78%-2.60%-0.58%1.99%2.89%-0.13%3.06%0.33%
20124-0.20%-1.20%-0.87%$11,513$11,048$10,7981.06%-1.36%-1.18%-0.77%-2.09%1.19%-0.71%-1.91%-3.30%-0.64%-2.38%
20125-6.80%-6.83%-6.43%$10,729$10,293$10,104-7.78%-6.26%-10.91%-11.45%-10.67%0.84%-6.86%-7.18%-11.66%-6.23%-11.17%
201263.07%4.06%3.86%$11,059$10,711$10,4952.43%4.23%5.54%4.18%5.02%-0.20%3.39%4.54%9.01%4.05%6.98%
20127-0.27%0.11%0.59%$11,029$10,723$10,557-1.60%-0.78%0.43%-1.19%0.20%0.70%0.69%-0.69%-0.38%0.88%0.25%
201282.32%2.38%2.00%$11,285$10,978$10,7683.94%3.89%2.53%4.00%0.25%0.12%2.48%4.08%4.26%2.70%3.29%
201292.00%2.35%2.21%$11,510$11,236$11,0061.61%2.31%2.41%4.20%5.31%-0.03%2.02%3.14%2.97%2.49%2.64%
201210-0.90%-0.05%-0.54%$11,407$11,230$10,947-2.33%-2.27%0.34%0.78%-0.55%-0.33%-0.09%-1.96%1.52%-1.81%1.06%
2012111.80%1.30%1.32%$11,612$11,376$11,0911.96%1.30%3.51%1.46%1.28%0.53%1.14%1.65%1.97%0.77%2.71%
2012122.36%3.07%2.32%$11,887$11,725$11,3481.23%3.14%3.18%4.81%7.06%-0.40%2.45%3.55%4.70%1.29%4.24%
201313.03%3.63%2.99%$12,247$12,150$11,6875.94%5.81%3.18%4.25%0.07%-0.39%7.17%5.35%4.81%5.42%3.83%
201320.61%-0.01%0.08%$12,322$12,149$11,6961.39%1.42%0.42%1.32%-2.36%0.61%1.65%1.63%-2.67%1.28%-1.15%
201331.91%1.85%1.75%$12,557$12,374$11,9013.70%4.15%1.75%2.23%-1.27%0.10%4.90%4.11%0.24%3.95%1.19%
201341.40%2.33%2.39%$12,733$12,662$12,186-0.04%-0.16%4.06%3.57%2.00%0.56%1.66%0.12%6.27%1.61%5.22%
20135-0.12%-0.71%-0.68%$12,717$12,573$12,1033.70%4.33%-2.73%-4.00%-5.07%-1.34%1.75%4.29%-3.35%2.44%-2.97%
20136-1.72%-1.94%-2.11%$12,499$12,329$11,847-1.11%-0.11%-2.26%-2.75%-5.33%-1.30%-1.21%-0.14%-3.14%-1.43%-2.77%
201374.13%4.20%3.87%$13,015$12,847$12,3066.28%6.85%4.53%7.01%0.70%0.25%5.51%6.56%5.89%5.75%5.20%
20138-1.83%-2.21%-2.15%$12,777$12,563$12,041-2.35%-2.33%-1.63%-0.67%-3.43%-0.77%-2.94%-3.41%-1.85%-3.03%-1.60%
201395.10%5.23%4.67%$13,429$13,220$12,6034.52%6.15%7.29%8.82%7.27%1.21%3.97%6.59%8.21%3.90%7.85%
2013102.30%3.25%3.13%$13,738$13,650$12,9971.94%3.58%2.61%2.99%4.34%0.50%4.52%3.48%3.99%4.27%3.21%
2013111.45%1.46%1.22%$13,937$13,850$13,1562.60%4.48%0.56%0.30%-0.93%0.01%2.89%4.25%0.44%2.70%0.66%
2013121.55%1.26%1.39%$14,153$14,025$13,3383.55%1.37%2.35%3.09%-0.28%-1.26%2.78%1.29%1.95%2.73%1.90%
20141-3.18%-2.85%-3.15%$13,703$13,625$12,918-2.91%-3.70%-5.79%-2.77%-8.43%1.28%-2.52%-3.51%-4.86%-3.17%-5.21%
201424.03%3.95%3.77%$14,255$14,163$13,4066.12%4.41%5.97%6.39%3.24%0.15%5.43%4.63%6.17%4.87%5.95%
20143-0.17%0.56%0.35%$14,231$14,243$13,453-1.45%0.67%-0.57%-1.02%4.62%-0.68%1.04%1.34%-0.35%0.51%-0.37%
20144-0.66%0.53%0.67%$14,137$14,318$13,543-2.83%-2.73%0.85%-0.34%0.89%0.49%0.40%-2.29%2.48%0.06%1.57%
201451.56%1.35%1.80%$14,358$14,510$13,7862.21%0.16%1.94%1.13%3.10%0.87%1.74%0.62%1.19%2.10%1.77%
201462.01%1.78%1.55%$14,646$14,769$14,0003.49%4.77%0.82%1.71%3.17%-0.15%2.70%3.85%1.11%2.62%1.04%
20147-2.22%-1.99%-1.39%$14,320$14,475$13,805-2.60%-5.56%-3.08%-3.31%1.37%-0.47%-2.55%-5.07%-2.36%-1.99%-2.37%
201482.38%2.07%2.25%$14,661$14,774$14,1164.42%4.25%0.61%0.20%3.84%0.91%3.87%4.46%-0.35%4.15%0.26%
20149-3.43%-3.71%-2.81%$14,158$14,226$13,720-3.12%-5.21%-3.62%-5.40%-7.18%-0.52%-3.47%-5.94%-4.07%-2.10%-4.16%
2014102.40%2.10%1.43%$14,498$14,525$13,9153.81%6.91%0.40%0.08%2.23%0.96%3.50%7.13%-0.79%2.75%-0.35%
2014111.07%0.53%1.02%$14,653$14,602$14,0573.79%-0.19%0.88%-1.34%-1.10%0.68%2.60%0.48%-0.76%2.48%0.00%
201412-1.05%-0.92%-1.55%$14,499$14,468$13,8390.06%2.89%-3.90%-1.11%-4.69%-0.37%0.70%2.56%-3.92%-0.04%-3.77%
20151-0.01%-0.73%-0.25%$14,497$14,363$13,804-1.65%-3.59%1.29%0.28%-0.20%2.31%-2.39%-5.32%-0.04%-2.74%0.71%
201524.26%3.97%3.94%$15,115$14,932$14,3477.14%6.01%5.85%6.96%4.66%-1.33%5.39%5.86%6.43%5.74%6.16%
201530.31%-0.45%-0.79%$15,162$14,865$14,2341.45%1.61%-0.69%-1.26%-2.05%0.79%-0.31%1.03%-1.86%-1.16%-1.22%
201540.99%1.58%2.05%$15,313$15,100$14,526-1.62%-2.30%3.31%4.29%7.41%-0.10%-0.08%-1.82%3.94%0.62%3.87%
201550.57%0.02%0.07%$15,400$15,103$14,5352.36%1.46%0.54%1.71%-3.55%-0.07%1.19%0.75%-0.22%1.30%-0.05%
20156-1.21%-1.71%-1.83%$15,213$14,844$14,269-1.04%1.06%-2.77%-1.64%-2.54%-0.46%-2.36%0.42%-3.23%-1.67%-2.91%
201570.35%-0.24%0.58%$15,266$14,808$14,3521.67%-0.83%2.05%0.86%-6.26%0.67%0.95%-2.70%1.41%1.70%1.46%
20158-5.12%-4.65%-5.29%$14,483$14,119$13,592-6.25%-5.19%-7.38%-4.66%-9.86%-0.04%-4.45%-4.62%-7.59%-6.09%-7.23%
20159-2.26%-2.70%-2.21%$14,157$13,739$13,292-3.70%-3.53%-3.39%-2.63%-2.88%1.09%-3.37%-3.77%-5.61%-2.92%-4.08%
2015104.30%4.33%5.10%$14,765$14,333$13,9705.07%6.08%7.41%4.92%5.29%-0.48%6.32%6.57%6.24%7.91%6.73%
2015110.18%-0.21%-0.30%$14,792$14,304$13,9280.36%2.70%-0.03%0.68%-2.30%-0.41%0.55%2.47%-1.71%0.60%-0.76%
201512-2.08%-2.36%-1.78%$14,484$13,966$13,681-2.80%-4.74%-1.62%-0.16%-3.44%-0.28%-2.76%-5.08%-2.75%-2.13%-2.14%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%8.57%13.92%
Large-cap Growth8.23%0.00%16.14%
Mid-cap Value0.00%13.12%0.83%
Mid-cap Growth16.60%0.00%2.90%
Small-cap Value4.35%15.34%2.72%
Small-cap Growth10.27%0.00%0.00%
Global ex-US Developed Markets22.75%31.51%27.89%
Emerging Markets11.47%7.92%10.50%
Corporate Bonds0.00%2.09%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries5.57%11.40%9.86%
Short-Term Treasuries20.75%10.04%15.25%
R Squared99.53%99.61%99.91%
Style analysis is based on monthly returns from Jan 2008 to Dec 2015 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VMGRXVanguard Mid Cap Growth InvMid-Cap Growth0.36%23.00%$1,92127.97%
IJRiShares Core S&P Small-Cap ETFSmall Blend0.07%14.00%$1,18018.59%
EFGiShares MSCI EAFE Growth ETFForeign Large Growth0.40%23.00%$40231.40%
SCZiShares MSCI EAFE Small-Cap ETFForeign Small/Mid Blend0.39%5.00%$2357.36%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%10.00%-$79.7416.36%
IEIiShares 3-7 Year Treasury Bond ETFIntermediate Government4.510.15%25.00%$825-1.69%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SCZiShares MSCI EAFE Small-Cap ETFForeign Small/Mid Blend0.39%5.00%$2356.90%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%10.00%-$72.8115.12%
VMVIXVanguard Mid-Cap Value Index InvestorMid-Cap Value0.19%23.00%$2,01628.47%
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%14.00%$1,03518.28%
EFViShares MSCI EAFE Value ETFForeign Large Value0.38%23.00%-$68.6032.60%
IEIiShares 3-7 Year Treasury Bond ETFIntermediate Government4.510.15%25.00%$823-1.37%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts0.12%10.00%-$67.2516.60%
VTIVanguard Total Stock Market ETFLarge Blend0.04%37.00%$2,68843.59%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend0.07%28.00%$25741.23%
IEIiShares 3-7 Year Treasury Bond ETFIntermediate Government4.510.15%25.00%$803-1.43%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/03/2019. © 2019 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)0.46%0.44%0.40%
Arithmetic Mean (annualized)5.71%5.35%4.93%
Geometric Mean (monthly)0.39%0.35%0.33%
Geometric Mean (annualized)4.74%4.26%4.00%
Volatility (monthly)3.93%4.16%3.87%
Volatility (annualized)13.61%14.43%13.40%
Downside Deviation (monthly)2.72%2.87%2.67%
Max. Drawdown-36.73%-38.72%-37.68%
US Market Correlation0.960.960.96
Beta(*)0.770.820.76
Alpha (annualized)-0.56%-1.25%-1.20%
R292.60%92.17%92.40%
Sharpe Ratio0.390.340.34
Sortino Ratio0.560.500.49
Treynor Ratio (%)6.886.096.02
Calmar Ratio0.840.660.75
Active Return-1.92%-2.39%-2.66%
Tracking Error5.31%5.07%5.47%
Information Ratio-0.36-0.47-0.49
Skewness-0.56-0.48-0.51
Excess Kurtosis1.161.350.92
Historical Value-at-Risk (5%)-6.90%-6.98%-7.02%
Analytical Value-at-Risk (5%)-6.20%-6.63%-6.16%
Conditional Value-at-Risk (5%)-9.28%-9.86%-9.02%
Upside Capture Ratio (%)72.9675.8970.33
Downside Capture Ratio (%)78.3583.9478.65
Safe Withdrawal Rate12.94%12.84%12.48%
Perpetual Withdrawal Rate3.10%2.66%2.40%
Positive Periods53 out of 96 (55.21%)53 out of 96 (55.21%)53 out of 96 (55.21%)
Gain/Loss Ratio1.111.071.07
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsSep 20101 year 7 months2 years 9 months-36.73%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-15.80%
3Jun 2015Sep 20154 months-8.07%
4Sep 2014Sep 20141 monthFeb 20155 months6 months-3.43%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.18%
6Jul 2014Jul 20141 monthAug 20141 month2 months-2.22%
7May 2013Jun 20132 monthsJul 20131 month3 months-1.83%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.83%
9Mar 2014Apr 20142 monthsMay 20141 month3 months-0.83%
10Nov 2010Nov 20101 monthDec 20101 month2 months-0.26%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsOct 20101 year 8 months2 years 10 months-38.72%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-16.61%
3Jun 2015Sep 20154 months-9.03%
4Sep 2014Sep 20141 monthFeb 20155 months6 months-3.71%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-2.85%
6May 2013Jun 20132 monthsJul 20131 month3 months-2.63%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.21%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.99%
9Nov 2010Nov 20101 monthDec 20101 month2 months-1.71%
10Mar 2015Mar 20151 monthApr 20151 month2 months-0.45%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsDec 20101 year 10 months3 years-37.68%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-15.02%
3Jun 2015Sep 20154 months-8.55%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.15%
5Sep 2014Sep 20141 monthFeb 20155 months6 months-2.81%
6May 2013Jun 20132 monthsJul 20131 month3 months-2.78%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.15%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.79%
10Oct 2012Oct 20121 monthNov 20121 month2 months-0.54%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VMGRXVanguard Mid Cap Growth Inv7.57%18.01%38.42%-39.59%-46.22%0.480.710.96
IJRiShares Core S&P Small-Cap ETF8.17%20.31%41.32%-31.52%-46.87%0.480.700.94
EFGiShares MSCI EAFE Growth ETF0.33%19.96%24.20%-40.20%-52.79%0.110.140.90
SCZiShares MSCI EAFE Small-Cap ETF2.42%21.78%42.85%-48.55%-58.72%0.210.290.89
VWOVanguard FTSE Emerging Markets ETF-3.13%24.99%76.28%-52.49%-57.75%-0.01-0.010.84
IEIiShares 3-7 Year Treasury Bond ETF3.71%3.79%12.79%-1.84%-3.50%0.921.63-0.32
VMVIXVanguard Mid-Cap Value Index Investor8.20%19.11%37.61%-36.64%-49.51%0.500.710.98
IJSiShares S&P Small-Cap 600 Value ETF7.23%21.23%39.34%-29.39%-47.15%0.430.620.93
EFViShares MSCI EAFE Value ETF-1.72%21.94%28.36%-41.67%-56.28%0.020.030.90
VTIVanguard Total Stock Market ETF6.78%16.92%33.45%-36.98%-48.15%0.460.651.00
VEAVanguard FTSE Developed Markets ETF-0.35%20.76%27.49%-40.65%-54.11%0.080.110.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameVMGRXIJREFGSCZVWOIEIVMVIXIJSEFVVTIVEAPortfolio 1Portfolio 2Portfolio 3
VMGRXVanguard Mid Cap Growth Inv-0.930.850.850.81-0.380.940.910.830.960.850.950.910.91
IJRiShares Core S&P Small-Cap ETF0.93-0.810.810.77-0.350.950.990.810.940.820.920.910.88
EFGiShares MSCI EAFE Growth ETF0.850.81-0.960.90-0.230.870.800.960.900.990.960.950.97
SCZiShares MSCI EAFE Small-Cap ETF0.850.810.96-0.89-0.260.870.800.950.890.960.950.940.95
VWOVanguard FTSE Emerging Markets ETF0.810.770.900.89--0.250.820.760.870.840.900.920.900.92
IEIiShares 3-7 Year Treasury Bond ETF-0.38-0.35-0.23-0.26-0.25--0.29-0.32-0.22-0.33-0.22-0.25-0.21-0.21
VMVIXVanguard Mid-Cap Value Index Investor0.940.950.870.870.82-0.29-0.950.880.980.890.950.960.94
IJSiShares S&P Small-Cap 600 Value ETF0.910.990.800.800.76-0.320.95-0.800.930.810.900.920.87
EFViShares MSCI EAFE Value ETF0.830.810.960.950.87-0.220.880.80-0.900.990.940.960.97
VTIVanguard Total Stock Market ETF0.960.940.900.890.84-0.330.980.930.90-0.910.960.960.96
VEAVanguard FTSE Developed Markets ETF0.850.820.990.960.90-0.220.890.810.990.91-0.960.970.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VMGRXVanguard Mid Cap Growth Inv$1,921
IJRiShares Core S&P Small-Cap ETF$1,180
EFGiShares MSCI EAFE Growth ETF$402
SCZiShares MSCI EAFE Small-Cap ETF$235$235
VWOVanguard FTSE Emerging Markets ETF-$79.74-$72.81-$67.25
IEIiShares 3-7 Year Treasury Bond ETF$825$823$803
VMVIXVanguard Mid-Cap Value Index Investor$2,016
IJSiShares S&P Small-Cap 600 Value ETF$1,035
EFViShares MSCI EAFE Value ETF-$68.60
VTIVanguard Total Stock Market ETF$2,688
VEAVanguard FTSE Developed Markets ETF$257

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VMGRXVanguard Mid Cap Growth Inv27.97%
IJRiShares Core S&P Small-Cap ETF18.59%
EFGiShares MSCI EAFE Growth ETF31.40%
SCZiShares MSCI EAFE Small-Cap ETF7.36%6.90%
VWOVanguard FTSE Emerging Markets ETF16.36%15.12%16.60%
IEIiShares 3-7 Year Treasury Bond ETF-1.69%-1.37%-1.43%
VMVIXVanguard Mid-Cap Value Index Investor28.47%
IJSiShares S&P Small-Cap 600 Value ETF18.28%
EFViShares MSCI EAFE Value ETF32.60%
VTIVanguard Total Stock Market ETF43.59%
VEAVanguard FTSE Developed Markets ETF41.23%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.07%27.37%-27.24%5.58%27.65%-26.60%5.21%25.59%-27.11%
3 years8.64%12.95%2.68%8.24%12.04%2.24%7.73%11.50%0.93%
5 years8.28%14.23%3.52%7.91%13.83%3.23%7.48%12.85%2.56%
7 years7.89%10.34%5.45%7.52%9.63%5.42%7.08%9.41%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods