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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Portfolio Analysis Results (Jan 1992 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 25.00%
VUSTX Vanguard Long-Term Treasury Inv 25.00%
^GOLD Gold Price Index 25.00%
VFISX Vanguard Short-Term Treasury Inv 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$53,660 6.95% 6.11%20.16%-2.99%-13.06% 0.721.160.47
   
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)Vanguard Short-Term Treasury Inv (VFISX)
19922.90%3.96%$10,3967.42%7.41%-5.73%6.75%
19932.75%12.67%$11,7139.89%16.79%17.68%6.31%
19942.67%-2.13%$11,4641.18%-7.04%-2.17%-0.48%
19952.54%20.16%$13,77437.45%30.09%0.98%12.11%
19963.32%5.36%$14,51222.88%-1.26%-4.59%4.39%
19971.70%8.05%$15,68033.19%13.90%-21.41%6.51%
19981.61%12.05%$17,57028.62%13.05%-0.83%7.36%
19992.68%3.78%$18,23321.07%-8.66%0.85%1.85%
20003.39%3.51%$18,874-9.06%19.72%-5.44%8.83%
20011.55%0.21%$18,913-12.02%4.31%0.75%7.80%
20022.38%7.03%$20,243-22.15%16.67%25.57%8.02%
20031.88%13.36%$22,94828.50%2.68%19.89%2.38%
20043.26%5.88%$24,29810.74%7.12%4.65%1.03%
20053.42%7.73%$26,1764.77%6.61%17.77%1.77%
20062.54%11.09%$29,07815.64%1.74%23.20%3.77%
20074.08%13.61%$33,0365.39%9.24%31.92%7.89%
20080.09%-0.88%$32,746-37.02%22.52%4.32%6.68%
20092.72%10.23%$36,09626.49%-12.05%25.04%1.44%
20101.50%13.93%$41,12414.91%8.93%29.24%2.64%
20112.96%10.61%$45,4861.97%29.28%8.93%2.26%
20121.74%7.06%$48,69815.82%3.47%8.26%0.69%
20131.50%-2.07%$47,69032.18%-13.03%-27.33%-0.10%
20140.76%9.91%$52,41413.51%25.28%0.12%0.71%
20150.73%-2.99%$50,8501.25%-1.54%-12.11%0.45%
20162.07%5.53%$53,66011.82%1.20%8.10%0.99%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)Vanguard Short-Term Treasury Inv (VFISX)
19921-1.32%$9,868-1.88%-3.21%0.27%-0.46%
199220.46%$9,9131.24%0.64%-0.28%0.24%
19923-1.63%$9,751-1.93%-1.10%-3.23%-0.25%
199240.56%$9,8062.91%-0.07%-1.57%0.95%
199251.17%$9,9210.48%2.70%0.34%1.16%
199260.64%$9,984-1.49%1.12%1.75%1.23%
199273.43%$10,3264.04%4.02%4.21%1.52%
19928-1.26%$10,196-2.07%0.71%-4.99%1.21%
199291.54%$10,3531.17%1.36%2.65%1.09%
199210-1.36%$10,2130.33%-1.89%-2.79%-1.11%
1992110.61%$10,2753.40%0.50%-1.49%-0.10%
1992121.18%$10,3961.21%2.63%-0.39%1.11%
199311.08%$10,5080.81%2.85%-0.74%1.40%
199321.27%$10,6411.36%3.20%-0.86%1.30%
199331.38%$10,7882.11%0.19%3.11%0.21%
199341.00%$10,895-2.42%0.76%4.88%0.87%
199352.29%$11,1452.65%0.38%6.53%-0.45%
199361.39%$11,3000.27%4.17%0.26%0.87%
199371.87%$11,511-0.42%1.39%6.16%0.01%
199380.12%$11,5243.79%3.99%-7.52%1.06%
19939-1.11%$11,397-0.79%0.33%-4.32%0.37%
1993101.67%$11,5872.08%0.62%3.97%0.10%
199311-0.84%$11,489-1.00%-2.48%0.35%-0.10%
1993121.95%$11,7131.22%0.42%5.62%0.50%
199410.69%$11,7933.38%2.23%-3.54%0.67%
19942-1.70%$11,592-2.71%-3.99%0.97%-0.90%
19943-1.79%$11,385-4.39%-3.82%2.00%-0.86%
19944-0.95%$11,2771.29%-1.29%-3.28%-0.48%
199451.06%$11,3971.60%-0.47%2.96%0.13%
19946-0.72%$11,315-2.45%-0.81%0.17%0.22%
199471.48%$11,4823.28%2.94%-1.09%0.95%
199481.05%$11,6034.08%-0.67%0.46%0.25%
19949-0.86%$11,504-2.45%-3.00%2.36%-0.36%
199410-0.15%$11,4862.25%-0.36%-2.79%0.27%
199411-1.01%$11,371-3.65%0.62%-0.20%-0.55%
1994120.82%$11,4641.46%1.62%0.04%0.20%
199511.15%$11,5952.58%2.62%-2.18%1.56%
199522.18%$11,8473.88%2.73%0.40%1.60%
199532.07%$12,0922.95%0.72%4.14%0.54%
199541.29%$12,2482.94%1.65%-0.57%1.02%
199553.11%$12,6293.95%7.52%-1.40%2.02%
199561.22%$12,7832.31%1.13%0.72%0.60%
199570.36%$12,8293.30%-1.40%-0.96%0.23%
199580.70%$12,9190.26%2.05%-0.26%0.62%
199591.88%$13,1614.21%1.81%0.43%0.60%
1995100.81%$13,268-0.36%2.97%-0.35%0.91%
1995112.37%$13,5824.38%2.31%1.35%0.99%
1995121.41%$13,7741.93%2.70%-0.21%0.80%
199612.25%$14,0853.39%-0.05%4.79%0.88%
19962-1.45%$13,8800.92%-4.93%-1.21%-0.70%
19963-0.54%$13,8050.98%-1.98%-1.07%-0.20%
19964-0.41%$13,7491.46%-1.78%-1.27%-0.22%
199650.55%$13,8242.54%-0.46%-0.19%0.09%
199660.25%$13,8590.38%2.14%-2.19%0.87%
19967-0.94%$13,730-4.42%-0.05%0.86%0.29%
199680.40%$13,7852.10%-1.29%0.30%0.29%
199691.91%$14,0485.61%2.79%-1.93%0.97%
1996102.02%$14,3312.76%3.88%0.13%1.28%
1996112.59%$14,7027.56%3.24%-2.16%0.87%
199612-1.29%$14,512-1.96%-2.38%-0.55%-0.10%
19971-0.12%$14,4956.22%-0.65%-6.43%0.40%
199721.12%$14,6570.79%-0.11%3.79%0.20%
19973-2.41%$14,304-4.14%-2.29%-2.91%-0.20%
199741.80%$14,5625.96%2.35%-2.30%0.88%
199752.45%$14,9186.09%0.98%1.60%0.74%
199761.12%$15,0864.45%1.78%-3.20%0.67%
199773.37%$15,5957.97%5.34%-2.45%1.18%
19978-2.40%$15,221-5.61%-2.57%-0.31%0.01%
199792.89%$15,6605.47%2.63%2.07%0.78%
199710-1.37%$15,446-3.35%2.99%-6.23%0.79%
1997110.80%$15,5694.60%1.27%-4.69%0.18%
1997120.71%$15,6801.72%1.66%-2.22%0.69%
199812.29%$16,0381.11%1.91%5.05%1.07%
199820.95%$16,1907.19%-0.75%-2.44%-0.07%
199831.77%$16,4765.10%0.14%1.21%0.37%
199841.30%$16,6891.01%0.40%3.22%0.54%
19985-1.28%$16,475-1.74%1.83%-5.50%0.56%
199862.03%$16,8094.07%2.35%0.92%0.54%
19987-0.93%$16,653-1.05%-0.51%-2.51%0.36%
19988-3.62%$16,050-14.47%4.83%-5.35%1.63%
199894.63%$16,7926.41%3.29%7.48%1.79%
1998101.50%$17,0458.16%-1.69%-0.53%0.25%
1998111.98%$17,3836.07%0.88%0.82%-0.15%
1998121.08%$17,5705.81%-0.16%-2.34%0.25%
199911.19%$17,7794.20%0.98%-0.83%0.41%
19992-2.07%$17,411-3.12%-4.76%0.58%-0.88%
199930.44%$17,4884.00%-0.34%-2.65%0.69%
199941.76%$17,7973.85%0.19%2.56%0.31%
19995-2.67%$17,322-2.39%-1.68%-6.28%-0.34%
199960.62%$17,4295.56%-1.05%-2.83%0.16%
19997-1.46%$17,174-3.13%-0.58%-2.07%0.13%
19998-0.29%$17,124-0.50%-0.49%-0.31%0.14%
199993.61%$17,742-2.74%0.91%17.35%0.84%
1999101.75%$18,0536.33%0.12%0.03%0.26%
199911-0.20%$18,0172.02%-0.59%-2.59%0.16%
1999121.20%$18,2335.98%-1.60%-0.38%-0.03%
20001-1.60%$17,942-5.03%1.25%-2.39%-0.22%
200021.40%$18,193-1.91%2.96%3.65%0.76%
200031.81%$18,5239.76%3.14%-5.76%0.70%
20004-1.03%$18,332-3.01%-0.66%-0.61%0.19%
20005-0.79%$18,188-2.04%-0.46%-1.02%0.30%
200062.92%$18,7202.49%2.30%5.84%1.30%
20007-0.77%$18,575-1.49%1.49%-3.96%0.61%
200082.31%$19,0046.19%2.08%0.09%0.92%
20009-1.63%$18,694-5.29%-0.85%-1.21%0.79%
200010-0.29%$18,640-0.43%1.57%-3.34%0.60%
200011-0.37%$18,571-7.88%2.99%1.74%1.18%
2000121.63%$18,8740.50%2.45%1.99%1.38%
200110.36%$18,9433.55%0.28%-3.63%1.26%
20012-1.51%$18,658-9.14%1.80%0.83%0.80%
20013-2.30%$18,229-6.36%-0.60%-3.37%0.77%
200141.63%$18,5267.77%-2.56%2.11%0.06%
200150.73%$18,6610.65%0.21%1.65%0.44%
20016-0.03%$18,655-2.45%0.76%1.16%0.33%
200170.61%$18,769-1.00%3.61%-1.74%1.40%
20018-0.07%$18,756-6.27%2.02%2.67%0.79%
200190.76%$18,899-8.09%0.88%7.36%1.68%
2001100.73%$19,0381.90%5.12%-4.90%1.13%
200111-0.39%$18,9657.65%-5.07%-1.17%-0.83%
200112-0.27%$18,9130.87%-1.82%0.36%-0.27%
200210.57%$19,020-1.47%1.20%2.10%0.44%
200221.31%$19,270-1.94%1.24%5.15%0.67%
200230.12%$19,2933.74%-3.86%1.53%-0.82%
200240.39%$19,368-6.07%3.73%2.26%1.54%
200251.69%$19,696-0.75%0.39%5.97%0.59%
20026-1.64%$19,373-7.13%1.76%-2.48%0.93%
20027-1.72%$19,039-7.72%2.93%-4.35%1.54%
200282.23%$19,4630.65%4.28%2.68%0.86%
200290.23%$19,508-10.87%4.02%3.48%1.21%
2002100.14%$19,5358.78%-2.84%-2.10%0.02%
2002110.86%$19,7035.88%-0.98%0.68%-0.66%
2002122.74%$20,243-5.89%4.05%8.82%1.46%
200310.66%$20,377-2.62%-0.45%5.85%-0.13%
20032-0.89%$20,196-1.52%3.03%-5.46%0.68%
20033-0.91%$20,0120.96%-1.13%-3.63%0.23%
200342.42%$20,4968.25%0.91%0.57%0.11%
200354.81%$21,4825.26%5.67%7.32%1.05%
20036-1.09%$21,2471.26%-1.48%-4.26%0.01%
20037-1.33%$20,9641.74%-8.57%2.53%-0.91%
200382.32%$21,4511.93%1.43%5.88%0.02%
200392.00%$21,880-1.07%5.07%3.30%1.15%
2003100.68%$22,0295.64%-2.58%-0.45%-0.34%
2003111.10%$22,2710.86%0.31%3.13%-0.07%
2003123.04%$22,9485.22%1.23%4.49%0.59%
20041-0.04%$22,9381.82%1.74%-3.96%0.22%
200420.76%$23,1121.38%1.96%-0.98%0.58%
200431.74%$23,515-1.51%1.45%7.04%0.40%
20044-4.17%$22,535-1.58%-5.52%-8.31%-1.20%
200450.45%$22,6381.36%-0.56%1.22%-0.16%
200460.87%$22,8361.93%0.87%0.65%0.02%
20047-0.67%$22,684-3.31%1.52%-1.11%0.32%
200482.13%$23,1670.38%3.39%4.05%0.80%
200491.02%$23,4021.07%0.94%2.06%0.04%
2004101.42%$23,7341.51%1.46%2.38%0.33%
2004111.89%$24,1824.05%-2.25%6.54%-0.63%
2004120.48%$24,2983.39%2.22%-3.93%0.33%
20051-0.73%$24,122-2.45%2.59%-3.09%0.04%
200520.87%$24,3322.09%-1.24%3.15%-0.36%
20053-1.10%$24,065-1.76%-0.76%-1.83%-0.05%
200541.00%$24,307-1.91%3.22%1.92%0.72%
200550.31%$24,3823.17%2.55%-4.88%0.44%
200561.82%$24,8270.13%1.64%5.47%0.24%
20057-0.34%$24,7433.71%-2.58%-1.85%-0.41%
200580.94%$24,975-0.91%2.87%0.99%0.75%
200591.62%$25,3790.79%-2.78%9.23%-0.31%
200510-1.01%$25,122-1.68%-1.74%-0.53%-0.11%
2005112.54%$25,7603.76%0.57%5.29%0.39%
2005121.62%$26,1760.02%2.33%3.50%0.41%
200613.19%$27,0112.65%-0.90%10.87%0.14%
20062-0.34%$26,9190.26%0.81%-2.24%0.01%
200630.73%$27,1151.23%-3.39%4.68%0.05%
200642.88%$27,8941.33%-1.96%10.65%0.33%
20065-0.30%$27,811-2.90%-0.03%1.40%0.05%
20066-1.56%$27,3760.13%0.71%-6.05%0.25%
200671.64%$27,8240.61%1.84%3.10%0.76%
200680.97%$28,0932.36%2.74%-1.42%0.75%
200690.03%$28,1002.56%1.58%-3.89%0.55%
2006101.32%$28,4703.25%0.77%0.75%0.46%
2006112.99%$29,3211.89%1.91%7.11%0.55%
200612-0.83%$29,0781.39%-2.14%-2.27%-0.20%
200710.94%$29,3521.49%-0.85%2.93%0.19%
200720.99%$29,643-1.97%2.93%2.11%0.93%
20073-0.04%$29,6321.11%-1.13%-0.37%0.28%
200742.01%$30,2284.42%0.86%2.30%0.46%
20075-0.37%$30,1153.48%-1.93%-2.64%-0.40%
20076-0.89%$29,846-1.68%-0.88%-1.30%0.37%
200770.61%$30,029-3.08%2.39%2.31%1.06%
200781.39%$30,4481.50%1.97%0.98%1.15%
200793.85%$31,6213.72%0.21%10.57%0.74%
2007102.53%$32,4211.58%1.40%6.26%0.45%
2007110.34%$32,531-4.19%4.59%-0.76%2.16%
2007121.55%$33,036-0.70%-0.48%6.41%0.25%
200812.34%$33,809-6.02%2.64%10.73%2.01%
200821.03%$34,157-3.25%0.35%5.23%1.09%
20083-0.88%$33,856-0.44%1.02%-3.91%0.25%
20084-1.47%$33,3594.85%-1.84%-6.70%-0.96%
200850.08%$33,3851.29%-2.13%1.69%-0.51%
20086-0.16%$33,331-8.44%1.80%5.02%0.33%
20087-0.34%$33,218-0.83%0.30%-1.32%0.52%
20088-1.62%$32,6801.45%1.80%-9.26%0.56%
20089-0.22%$32,608-8.91%0.28%6.18%0.53%
200810-8.93%$29,696-16.79%-3.63%-17.38%0.49%
2008115.12%$31,218-7.17%12.07%11.46%1.03%
2008124.90%$32,7461.07%8.87%6.78%1.17%
20091-2.81%$31,825-8.41%-8.47%5.72%-0.09%
20092-1.79%$31,255-10.66%-1.01%3.53%-0.01%
200932.29%$31,9728.76%5.27%-3.73%0.90%
20094-0.08%$31,9459.56%-4.99%-3.63%-0.25%
200953.55%$33,0815.62%-2.68%10.44%0.21%
20096-1.00%$32,7500.22%0.70%-4.20%-0.17%
200972.32%$33,5097.58%0.80%0.48%0.22%
200981.90%$34,1453.60%1.68%1.76%0.37%
200992.64%$35,0463.72%1.98%4.21%0.29%
2009100.41%$35,190-1.87%-1.45%4.44%0.24%
2009115.87%$37,2555.98%1.91%13.05%0.87%
200912-3.11%$36,0961.95%-5.66%-7.51%-1.13%
20101-0.20%$36,022-3.60%2.66%-0.83%0.95%
201021.43%$36,5363.09%-0.21%2.76%0.19%
201031.17%$36,9626.01%-1.51%0.65%-0.36%
201042.61%$37,9281.58%2.76%5.71%0.39%
20105-0.26%$37,829-8.01%4.23%2.40%0.48%
201060.91%$38,173-5.24%4.67%3.02%0.56%
20107-0.04%$38,1577.00%-0.17%-6.03%0.38%
201082.58%$39,144-4.53%7.08%6.59%0.37%
201092.79%$40,2348.92%-1.82%4.90%0.18%
2010100.89%$40,5913.79%-3.29%3.04%0.26%
2010110.27%$40,7020.00%-1.60%2.73%-0.30%
2010121.04%$41,1246.67%-3.58%1.59%-0.48%
20111-1.34%$40,5742.36%-2.38%-5.59%0.25%
201122.65%$41,6493.42%1.24%6.33%-0.22%
201130.47%$41,8450.03%0.02%1.98%-0.13%
201143.12%$43,1522.95%2.04%6.71%0.71%
201150.64%$43,427-1.15%3.29%0.07%0.52%
20116-1.45%$42,797-1.67%-2.00%-2.02%-0.04%
201172.73%$43,967-2.05%4.18%8.17%0.52%
201184.04%$45,742-5.45%8.68%11.36%0.52%
20119-2.06%$44,801-7.04%10.16%-10.67%-0.22%
2011103.01%$46,15010.91%-3.34%6.30%0.15%
2011110.82%$46,527-0.23%1.82%1.39%-0.04%
201112-2.24%$45,4861.02%3.13%-12.31%0.21%
201214.67%$47,6114.46%0.08%13.91%0.23%
201220.94%$48,0594.31%-2.11%1.49%-0.14%
20123-1.72%$47,2323.28%-3.77%-6.07%-0.13%
201240.72%$47,572-0.64%4.37%-0.68%0.32%
20125-1.22%$46,993-6.02%7.79%-5.65%0.06%
201261.28%$47,5964.11%-1.44%2.60%-0.13%
201271.62%$48,3691.37%3.32%1.47%0.29%
201280.75%$48,7302.24%-1.06%1.63%0.11%
201292.11%$49,7582.58%-2.10%7.73%0.03%
201210-1.49%$49,019-1.86%-0.43%-3.21%-0.16%
2012110.61%$49,3170.56%1.35%0.41%0.12%
201212-1.25%$48,6980.90%-1.99%-3.97%0.09%
201310.57%$48,9755.18%-3.27%0.44%-0.06%
20132-0.46%$48,7491.34%1.26%-4.58%0.12%
201331.16%$49,3143.74%0.03%0.61%0.03%
20134-0.44%$49,0981.91%3.87%-8.09%0.12%
20135-2.12%$48,0562.33%-6.23%-5.07%-0.34%
20136-4.34%$45,970-1.35%-3.26%-14.52%-0.26%
201373.05%$47,3705.07%-1.93%10.28%0.12%
201380.01%$47,376-2.91%-1.28%6.10%-0.16%
201390.18%$47,4603.12%0.88%-4.89%0.40%
2013101.71%$48,2714.59%1.32%-0.19%0.13%
201311-0.67%$47,9493.03%-2.49%-5.36%0.13%
201312-0.54%$47,6902.51%-2.37%-3.87%-0.33%
201411.74%$48,520-3.47%6.26%3.86%0.32%
201422.79%$49,8724.56%0.60%6.04%0.03%
20143-0.38%$49,6820.82%0.63%-2.62%-0.21%
201440.64%$49,9980.72%1.82%-0.25%0.23%
201450.56%$50,2802.33%2.73%-2.95%0.13%
201461.75%$51,1592.05%-0.16%5.16%0.04%
20147-0.80%$50,749-1.39%0.59%-2.26%-0.14%
201482.15%$51,8423.98%4.23%0.04%0.14%
20149-2.25%$50,675-1.41%-1.99%-5.39%-0.14%
2014100.38%$50,8692.42%2.61%-4.30%0.33%
2014111.91%$51,8392.68%2.86%1.59%0.23%
2014121.11%$52,414-0.26%2.82%1.97%-0.24%
201512.77%$53,863-3.02%8.97%4.50%0.61%
20152-1.18%$53,2275.74%-5.66%-3.67%-0.42%
20153-0.59%$52,915-1.59%1.13%-2.22%0.33%
20154-0.68%$52,5550.95%-3.07%-0.57%0.05%
201550.03%$52,5691.27%-2.16%0.94%0.06%
20156-1.84%$51,600-1.93%-3.73%-1.71%-0.04%
201570.06%$51,6302.08%4.21%-6.20%0.15%
20158-1.02%$51,101-6.04%-0.71%3.33%-0.13%
20159-0.47%$50,860-2.49%1.91%-1.85%0.43%
2015102.50%$52,1328.42%-0.48%2.54%-0.13%
201511-1.88%$51,1500.29%-0.81%-7.04%-0.31%
201512-0.59%$50,850-1.59%-0.34%-0.18%-0.16%
201611.49%$51,608-4.98%5.24%4.89%0.82%
201623.61%$53,469-0.15%2.86%11.07%0.15%
201631.65%$54,3516.78%0.05%0.17%0.26%
201641.00%$54,8930.37%-0.63%3.93%-0.03%
20165-1.04%$54,3231.78%0.69%-5.72%-0.10%
201664.30%$56,6600.25%6.57%8.96%0.75%
201671.80%$57,6823.68%2.01%1.61%-0.10%
20168-0.97%$57,1200.13%-1.00%-2.44%-0.29%
20169-0.01%$57,1140.01%-1.32%1.01%0.23%
201610-2.61%$55,623-1.83%-4.23%-3.82%-0.12%
201611-3.24%$53,8183.70%-7.86%-7.38%-0.58%
201612-0.29%$53,6601.96%-0.35%-2.73%-0.00%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth4.46%
Mid-cap Value6.24%
Mid-cap Growth0.95%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets13.07%
Corporate Bonds0.00%
Long-Term Treasuries3.37%
Intermediate-Term Treasuries59.58%
Short-Term Treasuries12.32%
R Squared62.85%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 and uses total portfolio return with monthly rebalancing.

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 1
Arithmetic Mean (monthly)0.58%
Arithmetic Mean (annualized)7.15%
Geometric Mean (monthly)0.56%
Geometric Mean (annualized)6.95%
Volatility (monthly)1.76%
Volatility (annualized)6.11%
Downside Deviation (monthly)1.01%
Max. Drawdown-13.06%
US Market Correlation0.47
Beta(*)0.20
Alpha (annualized)4.96%
R222.43%
Sharpe Ratio0.72
Sortino Ratio1.16
Treynor Ratio (%)22.21
Calmar Ratio0.58
Active Return-2.21%
Tracking Error12.85%
Information Ratio-0.17
Skewness-0.45
Excess Kurtosis2.48
Historical Value-at-Risk (5%)-2.12%
Analytical Value-at-Risk (5%)-2.31%
Conditional Value-at-Risk (5%)-3.28%
Upside Capture Ratio (%)30.01
Downside Capture Ratio (%)8.82
Safe Withdrawal Rate6.89%
Perpetual Withdrawal Rate4.38%
Positive Periods191 out of 300 (63.67%)
Gain/Loss Ratio1.31
* 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 1
Asian CrisisJul 1997Jan 1998-2.40%
Russian Debt DefaultJul 1998Oct 1998-4.52%
Dotcom CrashMar 2000Oct 2002-4.08%
Subprime CrisisNov 2007Mar 2009-13.06%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-13.06%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-7.61%
3Aug 2016Dec 20165 months-6.97%
4Feb 2015Dec 201511 monthsMar 20163 months1 year 2 months-5.60%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-4.52%
6Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-4.38%
7Apr 2004Apr 20041 monthOct 20046 months7 months-4.17%
8Sep 2000Mar 20017 monthsOct 20017 months1 year 2 months-4.08%
9May 1999Aug 19994 monthsOct 19992 months6 months-3.78%
10Jun 2002Jul 20022 monthsNov 20024 months6 months-3.34%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.04%14.21%37.45%-37.02%-50.97%0.510.730.99
VUSTXVanguard Long-Term Treasury Inv7.21%9.95%30.09%-13.03%-16.68%0.500.81-0.19
^GOLDGold Price Index4.82%16.09%31.92%-27.33%-41.55%0.220.330.02
VFISXVanguard Short-Term Treasury Inv4.03%1.99%12.11%-0.48%-2.23%0.781.36-0.17

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVUSTX^GOLDVFISXPortfolio 1
VFINXVanguard 500 Index Investor--0.17-0.01-0.140.47
VUSTXVanguard Long-Term Treasury Inv-0.17-0.140.650.47
^GOLDGold Price Index-0.010.14-0.170.74
VFISXVanguard Short-Term Treasury Inv-0.140.650.17-0.39

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$16,978
VUSTXVanguard Long-Term Treasury Inv$11,954
^GOLDGold Price Index$9,572
VFISXVanguard Short-Term Treasury Inv$5,156

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor27.92%
VUSTXVanguard Long-Term Treasury Inv19.57%
^GOLDGold Price Index49.25%
VFISXVanguard Short-Term Treasury Inv3.26%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.11%20.16%-2.99%
3 years7.19%11.58%1.45%
5 years7.37%10.29%3.36%
7 years7.46%9.37%5.65%
10 years7.41%9.18%6.32%
15 years7.45%8.01%6.83%
Result statistics are based on annualized rolling returns over full calendar year periods