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 
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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 1997 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
VGTSX Vanguard Total Intl Stock Index Inv 20.00%
VGSIX Vanguard REIT Index Investor 10.00%
VBMFX Vanguard Total Bond Market Index Inv 30.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$39,502 7.11% 10.67%25.37%-25.82%-39.59% 0.500.710.96
   
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 t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard REIT Index Investor (VGSIX)Vanguard Total Bond Market Index Inv (VBMFX)Total ReturnInflation Adjusted ReturnYear End Balance
19971.70%30.99%-0.77%18.77%9.44%16.95%15.00%$11,695
19981.61%23.26%15.60%-16.32%8.58%13.37%11.57%$13,259
19992.68%23.81%29.92%-4.04%-0.76%14.88%11.87%$15,231
20003.39%-10.57%-15.61%26.35%11.39%-1.30%-4.53%$15,033
20011.55%-10.97%-20.15%12.35%8.43%-4.65%-6.11%$14,334
20022.38%-20.96%-15.08%3.75%8.26%-8.55%-10.67%$13,108
20031.88%31.35%40.34%35.65%3.97%25.37%23.05%$16,434
20043.26%12.51%20.84%30.76%4.24%13.52%9.94%$18,656
20053.42%5.98%15.57%11.89%2.40%7.41%3.87%$20,039
20062.54%15.51%26.64%35.07%4.27%16.32%13.44%$23,309
20074.08%5.49%15.52%-16.46%6.92%5.73%1.58%$24,645
20080.09%-37.04%-44.10%-37.05%5.05%-25.82%-25.89%$18,280
20092.72%28.70%36.73%29.58%5.93%23.56%20.29%$22,588
20101.50%17.09%11.12%28.30%6.42%13.82%12.14%$25,709
20112.96%0.96%-14.56%8.47%7.56%0.59%-2.31%$25,860
20121.74%16.25%18.14%17.53%4.05%13.10%11.16%$29,246
20131.50%33.35%15.04%2.31%-2.26%15.90%14.19%$33,897
20140.76%12.43%-4.24%30.13%5.76%8.86%8.05%$36,902
20150.73%0.29%-4.37%2.22%0.30%-0.45%-1.17%$36,737
20162.07%12.53%4.65%8.34%2.50%7.53%5.34%$39,502
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard REIT Index Investor (VGSIX)Vanguard Total Bond Market Index Inv (VBMFX)Total ReturnMonth End Balance
199715.46%-2.37%0.16%0.25%1.80%$10,180
19972-0.11%1.82%-0.32%0.11%0.31%$10,211
19973-4.45%-0.10%0.38%-0.97%-2.11%$9,996
199744.50%0.20%-3.10%1.49%1.98%$10,194
199757.10%6.54%2.95%0.87%4.75%$10,678
199764.37%5.40%5.13%1.16%3.73%$11,076
199777.77%1.59%2.85%2.80%4.67%$11,594
19978-3.72%-8.60%-0.75%-0.85%-3.61%$11,175
199795.77%5.51%9.24%1.45%4.84%$11,716
199710-3.40%-9.10%-2.80%1.45%-3.08%$11,355
1997113.33%-1.19%1.73%0.33%1.52%$11,527
1997121.70%0.92%2.48%1.04%1.46%$11,695
199810.44%3.04%-1.27%1.32%1.05%$11,819
199827.34%6.88%-1.65%-0.10%4.13%$12,307
199835.06%3.22%2.55%0.33%3.08%$12,686
199841.10%0.53%-3.36%0.51%0.40%$12,737
19985-2.71%-1.51%-0.89%1.02%-1.25%$12,578
199863.54%-0.27%-0.03%0.81%1.64%$12,785
19987-2.27%1.08%-6.90%0.23%-1.28%$12,622
19988-15.65%-13.66%-9.21%1.90%-9.62%$11,407
199896.68%-2.07%5.99%1.96%3.32%$11,787
1998107.51%10.77%-1.81%-0.55%4.74%$12,346
1998116.17%5.34%1.58%0.49%3.90%$12,827
1998126.45%3.26%-1.80%0.38%3.36%$13,259
199913.65%-0.63%-2.44%0.79%1.33%$13,435
19992-3.73%-2.16%-1.57%-1.77%-2.63%$13,082
199933.93%4.97%-0.44%0.56%2.70%$13,434
199944.68%5.08%9.55%0.40%3.96%$13,966
19995-2.00%-5.00%2.09%-0.88%-1.89%$13,703
199965.16%4.39%-1.87%-0.50%2.65%$14,067
19997-3.20%2.27%-2.91%-0.39%-1.29%$13,885
19998-0.92%0.33%-1.00%-0.08%-0.43%$13,825
19999-2.44%0.82%-4.12%1.26%-0.88%$13,704
1999106.29%3.74%-2.25%0.33%3.23%$14,147
1999113.42%4.08%-1.50%0.02%2.17%$14,454
1999127.59%9.37%3.07%-0.48%5.38%$15,231
20001-4.18%-6.22%0.61%-0.17%-2.91%$14,788
200022.54%2.83%-1.51%1.18%1.76%$15,048
200035.69%3.48%3.50%1.40%3.72%$15,608
20004-5.21%-5.41%6.73%-0.49%-2.64%$15,197
20005-3.41%-2.67%1.03%-0.16%-1.79%$14,925
200064.42%4.27%2.49%2.15%3.47%$15,442
20007-1.95%-4.46%8.77%0.88%-0.36%$15,387
200087.28%1.00%-3.99%1.40%2.94%$15,839
20009-4.67%-5.00%2.93%0.76%-2.20%$15,491
200010-2.04%-3.03%-4.63%0.57%-1.70%$15,227
200011-9.90%-4.44%1.74%1.58%-3.91%$14,632
2000121.78%3.72%6.88%1.79%2.74%$15,033
200113.83%1.10%0.43%1.76%2.32%$15,382
20012-9.41%-7.61%-1.72%0.91%-5.22%$14,579
20013-6.72%-7.15%0.81%0.54%-3.73%$14,035
200148.16%7.89%2.28%-0.46%4.63%$14,684
200151.01%-3.52%2.15%0.73%0.17%$14,710
20016-1.64%-3.84%5.92%0.52%-0.55%$14,628
20017-1.71%-2.43%-2.10%2.23%-0.62%$14,537
20018-6.00%-2.30%3.54%1.11%-1.94%$14,255
20019-9.00%-10.73%-3.87%0.89%-5.33%$13,495
2001102.52%2.97%-3.37%1.86%1.65%$13,718
2001117.63%3.56%5.76%-1.34%3.48%$14,196
2001121.78%1.35%2.47%-0.58%0.97%$14,334
20021-1.24%-4.63%-0.25%0.69%-1.24%$14,156
20022-2.05%0.90%1.98%0.85%-0.18%$14,130
200234.38%5.71%6.24%-1.46%3.03%$14,557
20024-4.90%0.42%0.62%1.69%-1.30%$14,368
20025-1.22%1.16%1.30%0.80%0.15%$14,391
20026-7.06%-4.28%2.81%0.29%-3.15%$13,937
20027-8.02%-9.80%-5.28%0.48%-5.36%$13,189
200280.53%-0.12%0.16%1.66%0.74%$13,287
20029-10.07%-10.88%-3.53%1.53%-5.52%$12,553
2002107.65%5.70%-4.95%-0.61%2.78%$12,903
2002116.06%4.75%4.43%0.02%3.50%$13,355
200212-5.57%-3.43%0.85%2.07%-1.85%$13,108
20031-2.54%-3.76%-2.70%0.05%-2.02%$12,843
20032-1.69%-2.42%1.74%1.38%-0.55%$12,772
200331.09%-1.93%2.04%-0.13%0.22%$12,801
200348.21%9.70%4.05%0.87%5.78%$13,540
200356.11%6.15%5.52%1.82%4.79%$14,188
200361.43%2.66%2.25%-0.13%1.31%$14,374
200372.36%3.18%5.18%-3.34%1.19%$14,545
200382.39%2.51%0.65%0.61%1.74%$14,799
20039-1.15%2.78%3.41%2.71%1.18%$14,974
2003106.12%6.49%1.63%-0.96%3.78%$15,540
2003111.38%2.13%4.31%0.27%1.57%$15,783
2003124.48%7.80%3.08%0.88%4.12%$16,434
200412.23%1.60%4.28%0.86%1.90%$16,746
200421.43%2.50%1.64%1.03%1.55%$17,005
20043-1.07%0.45%5.43%0.80%0.45%$17,082
20044-2.11%-3.14%-14.56%-2.61%-3.80%$16,432
200451.35%0.46%7.09%-0.43%1.18%$16,626
200462.09%2.40%2.79%0.56%1.77%$16,921
20047-3.80%-3.34%0.51%0.96%-1.88%$16,603
200480.31%0.75%7.83%1.94%1.67%$16,881
200491.74%2.96%-0.23%0.16%1.29%$17,098
2004101.68%3.24%5.39%0.85%2.15%$17,466
2004114.68%7.23%4.15%-0.81%3.53%$18,082
2004123.63%4.44%4.83%0.92%3.17%$18,656
20051-2.68%-1.67%-8.46%0.65%-2.05%$18,272
200522.07%4.68%2.85%-0.63%1.84%$18,608
20053-1.75%-2.93%-1.58%-0.49%-1.60%$18,311
20054-2.32%-2.07%5.81%1.35%-0.38%$18,240
200553.77%0.08%3.24%1.05%2.14%$18,630
200560.81%1.30%4.96%0.55%1.25%$18,863
200574.11%3.68%6.97%-0.99%2.77%$19,386
20058-0.94%2.85%-3.74%1.36%0.18%$19,420
200590.86%4.73%0.57%-1.10%1.03%$19,620
200510-1.86%-3.37%-2.35%-0.81%-1.93%$19,243
2005113.97%2.67%4.25%0.48%2.70%$19,763
2005120.14%5.14%-0.10%0.99%1.39%$20,039
200613.50%6.87%7.53%-0.11%3.49%$20,739
200620.00%-0.72%1.83%0.37%0.15%$20,770
200631.80%3.17%4.83%-1.00%1.59%$21,100
200641.11%5.12%-3.63%-0.21%1.06%$21,323
20065-3.23%-4.45%-2.80%-0.09%-2.57%$20,774
200660.17%-0.38%5.29%0.10%0.57%$20,891
20067-0.13%1.15%3.49%1.35%0.95%$21,091
200682.31%2.53%3.72%1.64%2.32%$21,581
200692.27%0.25%1.90%0.81%1.39%$21,880
2006103.53%4.00%6.11%0.72%3.13%$22,564
2006112.23%3.73%4.69%1.11%2.52%$23,133
2006121.13%3.09%-1.81%-0.48%0.76%$23,309
200711.88%0.96%8.52%-0.08%1.77%$23,722
20072-1.61%0.06%-2.41%1.50%-0.45%$23,615
200731.11%2.80%-2.37%0.02%0.76%$23,794
200744.01%3.92%-0.04%0.51%2.54%$24,398
200753.69%3.09%-0.11%-0.78%1.89%$24,858
20076-1.67%0.61%-9.26%-0.39%-1.56%$24,469
20077-3.41%-1.06%-7.77%0.84%-2.08%$23,961
200781.45%-0.72%6.49%1.34%1.38%$24,291
200793.59%6.38%4.25%0.72%3.39%$25,114
2007101.85%5.90%1.22%0.93%2.41%$25,719
200711-4.49%-4.57%-9.32%1.91%-3.11%$24,919
200712-0.60%-2.28%-5.11%0.22%-1.10%$24,645
20081-6.08%-8.55%-0.34%1.69%-3.67%$23,740
20082-3.07%0.33%-3.73%0.19%-1.46%$23,394
20083-0.58%-0.71%6.45%0.30%0.39%$23,484
200845.02%5.85%5.89%-0.30%3.56%$24,320
200852.09%1.51%0.14%-0.79%0.87%$24,532
20086-8.19%-8.99%-10.77%-0.01%-6.14%$23,027
20087-0.77%-3.67%3.15%0.00%-0.67%$22,874
200881.58%-5.10%2.25%0.70%0.13%$22,903
20089-9.26%-13.09%-0.11%-1.10%-6.25%$21,472
200810-17.63%-22.09%-31.23%-2.53%-14.71%$18,313
200811-7.90%-6.29%-23.39%3.64%-4.55%$17,480
2008121.86%8.16%17.39%3.32%4.58%$18,280
20091-8.26%-11.96%-17.39%-0.70%-7.64%$16,883
20092-10.45%-9.58%-20.76%-0.42%-7.97%$15,537
200938.65%9.31%3.76%1.48%5.90%$16,454
2009410.61%12.78%31.31%0.36%9.16%$17,961
200955.38%14.35%2.36%0.85%5.50%$18,950
200960.34%-1.32%-3.25%0.54%-0.28%$18,897
200977.82%9.96%10.64%1.43%6.63%$20,149
200983.63%3.50%13.99%1.01%3.78%$20,911
200994.23%5.15%6.69%1.19%3.84%$21,713
200910-2.57%-2.17%-4.64%0.41%-1.89%$21,303
2009115.63%3.86%6.85%1.36%4.18%$22,194
2009122.86%1.53%7.03%-1.68%1.77%$22,588
20101-3.50%-5.07%-5.32%1.57%-2.47%$22,029
201023.36%0.22%5.55%0.20%1.97%$22,464
201036.27%6.71%10.09%-0.08%4.79%$23,539
201042.17%-1.71%7.09%1.06%1.61%$23,919
20105-8.00%-10.78%-5.41%0.87%-5.65%$22,566
20106-5.66%-1.17%-5.24%1.61%-2.55%$21,991
201076.99%10.33%9.73%0.94%5.93%$23,295
20108-4.75%-3.22%-1.24%1.48%-2.14%$22,796
201099.47%10.41%4.37%-0.01%6.03%$24,170
2010103.94%3.55%4.80%0.36%2.88%$24,866
2010110.58%-4.52%-2.04%-0.57%-1.05%$24,603
2010126.81%8.34%4.63%-1.15%4.49%$25,709
201112.19%0.70%3.32%0.08%1.37%$26,061
201123.60%2.71%4.58%0.16%2.50%$26,714
201130.45%-0.43%-1.44%-0.01%-0.05%$26,700
201142.99%5.24%5.66%1.32%3.23%$27,561
20115-1.16%-2.87%1.36%1.30%-0.54%$27,412
20116-1.79%-1.51%-3.35%-0.39%-1.49%$27,002
20117-2.28%-1.53%1.55%1.58%-0.60%$26,840
20118-5.99%-8.45%-5.53%1.46%-4.19%$25,714
20119-7.75%-12.29%-10.98%0.89%-6.20%$24,119
20111011.51%10.22%14.39%0.16%7.70%$25,977
201111-0.29%-2.88%-3.73%-0.30%-1.12%$25,685
2011120.80%-2.64%4.61%1.08%0.68%$25,860
201215.08%7.27%6.49%0.87%4.40%$26,997
201224.26%5.14%-1.12%-0.05%2.64%$27,711
201233.07%-0.75%5.14%-0.58%1.44%$28,109
20124-0.65%-1.78%2.88%1.14%-0.03%$28,101
20125-6.24%-11.14%-4.60%0.95%-5.05%$26,683
201263.91%6.03%5.64%0.04%3.34%$27,574
201271.03%0.44%1.93%1.39%1.12%$27,882
201282.48%2.72%-0.14%0.03%1.54%$28,311
201292.58%3.62%-1.83%0.11%1.61%$28,766
201210-1.76%0.56%-0.83%0.11%-0.68%$28,571
2012110.74%1.82%-0.37%0.19%0.69%$28,768
2012121.19%4.17%3.69%-0.20%1.66%$29,246
201315.50%3.34%3.71%-0.71%3.02%$30,131
201321.28%-1.23%1.24%0.54%0.56%$30,299
201333.88%0.77%2.89%0.08%2.07%$30,926
201341.70%3.58%6.70%0.91%2.35%$31,654
201352.32%-2.95%-5.96%-1.71%-0.72%$31,424
20136-1.27%-3.75%-1.96%-1.65%-1.92%$30,820
201375.49%4.56%0.83%0.20%3.37%$31,860
20138-2.82%-1.63%-6.86%-0.64%-2.41%$31,094
201393.66%7.21%3.28%0.96%3.57%$32,204
2013104.22%3.41%4.46%0.78%3.16%$33,223
2013112.88%0.12%-5.23%-0.35%0.72%$33,462
2013122.63%1.25%0.26%-0.65%1.30%$33,897
20141-3.11%-4.78%4.19%1.54%-1.32%$33,451
201424.73%5.39%4.96%0.48%3.57%$34,645
201430.51%0.41%0.49%-0.15%0.29%$34,746
201440.06%1.31%3.37%0.77%0.87%$35,050
201452.17%1.88%2.35%1.05%1.80%$35,681
201462.54%1.74%1.14%0.11%1.51%$36,219
20147-1.98%-1.61%0.04%-0.26%-1.18%$35,791
201484.18%1.05%2.93%1.13%2.53%$36,696
20149-2.14%-5.01%-5.96%-0.72%-2.71%$35,700
2014102.74%-0.31%9.93%0.94%2.41%$36,559
2014112.41%-0.25%1.98%0.65%1.36%$37,055
201412-0.01%-3.65%1.93%0.09%-0.41%$36,902
20151-2.77%0.13%6.72%2.31%0.28%$37,006
201525.76%5.52%-3.59%-1.08%2.63%$37,977
20153-1.04%-1.54%1.72%0.41%-0.44%$37,811
201540.42%5.08%-5.92%-0.36%0.49%$37,995
201551.39%-0.94%-0.27%-0.45%0.19%$38,068
20156-1.71%-2.69%-4.60%-1.01%-1.99%$37,313
201571.63%-0.80%5.60%0.76%1.23%$37,773
20158-6.03%-7.29%-6.25%-0.36%-4.64%$36,022
20159-2.93%-3.90%3.02%0.76%-1.42%$35,509
2015107.84%6.26%5.78%0.01%4.87%$37,238
2015110.54%-1.32%-0.64%-0.27%-0.19%$37,169
201512-2.03%-2.07%1.79%-0.38%-1.16%$36,737
20161-5.67%-5.59%-3.36%1.43%-3.29%$35,527
20162-0.04%-2.27%-0.43%0.66%-0.29%$35,422
201637.01%8.19%10.41%0.94%5.65%$37,423
201640.63%2.22%-2.41%0.38%0.55%$37,628
201651.79%-1.02%2.36%0.01%0.75%$37,910
201660.23%-0.94%6.88%1.94%1.20%$38,364
201673.95%4.41%4.18%0.64%3.06%$39,538
201680.26%0.74%-3.68%-0.17%-0.21%$39,456
201690.15%1.37%-1.83%-0.09%0.11%$39,499
201610-2.21%-1.72%-5.72%-0.81%-2.06%$38,683
2016114.44%-2.15%-1.73%-2.64%0.39%$38,834
2016121.92%2.02%4.66%0.24%1.72%$39,502

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend40.00%$14,99755.22%Asset Allocation, Capitalization, Sector
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend20.00%$4,21630.10%Asset Allocation, Capitalization, Sector
VGSIXVanguard REIT Index InvestorReal Estate10.00%$4,51313.66%Asset Allocation, Capitalization, Sector
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond30.00%$5,7761.02%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/03/2017. © 2017 Morningstar. All Rights Reserved. The 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
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.62%
Mean Return (annualized)7.72%
Compound Return (monthly)0.57%
Compound Return (annualized)7.11%
Volatility (monthly)3.08%
Volatility (annualized)10.67%
Downside Deviation (monthly)2.08%
Max. Drawdown-39.59%
Market Correlation0.96
Beta(*)0.65
Alpha (annualized)1.72%
R291.71%
Sharpe Ratio0.50
Sortino Ratio0.71
Treynor Ratio (%)8.23
Diversification Ratio1.21
Skewness-0.86
Excess Kurtosis2.53
Historical Value-at-Risk (95%)-5.21%
Delta Normal Value-at-Risk (95%)-5.17%
Conditional Value-at-Risk (95%)-7.14%
Positive Periods152 out of 240 (63.33%)
Gain/Loss Ratio0.97

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1
Asian CrisisJul 1997Jan 1998-3.61%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-10.77%
Dotcom CrashMar 2000Oct 2002-20.74%
Subprime CrisisNov 2007Mar 2009-39.59%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20113 years 3 months-39.59%
2Sep 2000Sep 20022 years 1 monthDec 20033 years 4 months-20.74%
3May 2011Sep 20115 monthsFeb 201210 months-12.49%
4Jul 1998Aug 19982 monthsNov 19985 months-10.77%
5Jun 2015Feb 20169 monthsJun 20161 year 1 month-6.95%
6Apr 2012May 20122 monthsAug 20125 months-5.07%
7Apr 2000May 20002 monthsAug 20005 months-4.38%
8Apr 2004Apr 20041 monthSep 20046 months-3.80%
9Aug 1997Aug 19971 monthSep 19972 months-3.61%
10Jun 2007Jul 20072 monthsSep 20074 months-3.61%
11Oct 1997Oct 19971 monthJan 19984 months-3.08%
12Jan 2000Jan 20001 monthMar 20003 months-2.91%
13Sep 2014Sep 20141 monthNov 20143 months-2.71%
14May 2013Jun 20132 monthsJul 20133 months-2.63%
15Feb 1999Feb 19991 monthApr 19993 months-2.63%
16Jul 1999Sep 19993 monthsOct 19994 months-2.57%
17May 2006May 20061 monthAug 20064 months-2.57%
18Aug 2013Aug 20131 monthSep 20132 months-2.41%
19Jan 2005Apr 20054 monthsJun 20056 months-2.23%
20Aug 2016Oct 20163 months-2.16%
21Mar 1997Mar 19971 monthMay 19973 months-2.11%
22Oct 2005Oct 20051 monthNov 20052 months-1.93%
23May 1999May 19991 monthJun 19992 months-1.89%
24Jan 2014Jan 20141 monthFeb 20142 months-1.32%
25May 1998May 19981 monthJun 19982 months-1.25%
26Jul 2014Jul 20141 monthAug 20142 months-1.18%
27Oct 2012Oct 20121 monthNov 20122 months-0.68%
28Feb 2007Feb 20071 monthMar 20072 months-0.45%
29Mar 2015Mar 20151 monthApr 20152 months-0.44%
30Dec 2014Dec 20141 monthFeb 20153 months-0.41%
31Mar 2011Mar 20111 monthApr 20112 months-0.05%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv7.84%15.70%33.35%-37.04%-50.89%0.430.611.00
VGTSXVanguard Total Intl Stock Index Inv4.28%17.66%40.34%-44.10%-58.50%0.210.290.86
VGSIXVanguard REIT Index Investor9.54%20.67%35.65%-37.05%-68.28%0.450.640.58
VBMFXVanguard Total Bond Market Index Inv5.07%3.48%11.39%-2.26%-3.99%0.841.38-0.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVGSIXVBMFXPF #1
VTSMXVanguard Total Stock Mkt Idx Inv-0.860.58-0.060.96
VGTSXVanguard Total Intl Stock Index Inv0.86-0.570.020.93
VGSIXVanguard REIT Index Investor0.580.57-0.170.72
VBMFXVanguard Total Bond Market Index Inv-0.060.020.17-0.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1
VTSMXVanguard Total Stock Mkt Idx Inv$14,997
VGTSXVanguard Total Intl Stock Index Inv$4,216
VGSIXVanguard REIT Index Investor$4,513
VBMFXVanguard Total Bond Market Index Inv$5,776

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1
VTSMXVanguard Total Stock Mkt Idx Inv55.22%
VGTSXVanguard Total Intl Stock Index Inv30.10%
VGSIXVanguard REIT Index Investor13.66%
VBMFXVanguard Total Bond Market Index Inv1.02%

Annual Asset Returns