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 1997 - Nov 2018)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,320 7.14% 10.35%25.37%-25.82%-39.59% 0.520.740.96
   
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
  • The annual results for 2018 are based on full calendar months from January to November
  • 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
  • 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 Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Real Estate Index Investor (VGSIX)Vanguard Total Bond Market Index Inv (VBMFX)
19971.70%16.95%$11,69530.99%-0.77%18.77%9.44%
19981.61%13.37%$13,25923.26%15.60%-16.32%8.58%
19992.68%14.88%$15,23123.81%29.92%-4.04%-0.76%
20003.39%-1.30%$15,033-10.57%-15.61%26.35%11.39%
20011.55%-4.65%$14,334-10.97%-20.15%12.35%8.43%
20022.38%-8.55%$13,108-20.96%-15.08%3.75%8.26%
20031.88%25.37%$16,43431.35%40.34%35.65%3.97%
20043.26%13.52%$18,65612.51%20.84%30.76%4.24%
20053.42%7.41%$20,0395.98%15.57%11.89%2.40%
20062.54%16.32%$23,30915.51%26.64%35.07%4.27%
20074.08%5.73%$24,6455.49%15.52%-16.46%6.92%
20080.09%-25.82%$18,280-37.04%-44.10%-37.05%5.05%
20092.72%23.56%$22,58828.70%36.73%29.58%5.93%
20101.50%13.82%$25,70917.09%11.12%28.30%6.42%
20112.96%0.59%$25,8600.96%-14.56%8.47%7.56%
20121.74%13.10%$29,24616.25%18.14%17.53%4.05%
20131.50%15.90%$33,89733.35%15.04%2.31%-2.26%
20140.76%8.86%$36,90212.43%-4.24%30.13%5.76%
20150.73%-0.45%$36,7370.29%-4.37%2.22%0.30%
20162.07%7.53%$39,50212.53%4.65%8.34%2.50%
20172.11%15.42%$45,59421.05%27.40%4.83%3.46%
20182.58%-0.60%$45,3204.45%-10.08%2.03%-1.89%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Real Estate Index Investor (VGSIX)Vanguard Total Bond Market Index Inv (VBMFX)
199711.80%$10,1805.46%-2.37%0.16%0.25%
199720.31%$10,211-0.11%1.82%-0.32%0.11%
19973-2.11%$9,996-4.45%-0.10%0.38%-0.97%
199741.98%$10,1944.50%0.20%-3.10%1.49%
199754.75%$10,6787.10%6.54%2.95%0.87%
199763.73%$11,0764.37%5.40%5.13%1.16%
199774.67%$11,5947.77%1.59%2.85%2.80%
19978-3.61%$11,175-3.72%-8.60%-0.75%-0.85%
199794.84%$11,7165.77%5.51%9.24%1.45%
199710-3.08%$11,355-3.40%-9.10%-2.80%1.45%
1997111.52%$11,5273.33%-1.19%1.73%0.33%
1997121.46%$11,6951.70%0.92%2.48%1.04%
199811.05%$11,8190.44%3.04%-1.27%1.32%
199824.13%$12,3077.34%6.88%-1.65%-0.10%
199833.08%$12,6865.06%3.22%2.55%0.33%
199840.40%$12,7371.10%0.53%-3.36%0.51%
19985-1.25%$12,578-2.71%-1.51%-0.89%1.02%
199861.64%$12,7853.54%-0.27%-0.03%0.81%
19987-1.28%$12,622-2.27%1.08%-6.90%0.23%
19988-9.62%$11,407-15.65%-13.66%-9.21%1.90%
199893.32%$11,7876.68%-2.07%5.99%1.96%
1998104.74%$12,3467.51%10.77%-1.81%-0.55%
1998113.90%$12,8276.17%5.34%1.58%0.49%
1998123.36%$13,2596.45%3.26%-1.80%0.38%
199911.33%$13,4353.65%-0.63%-2.44%0.79%
19992-2.63%$13,082-3.73%-2.16%-1.57%-1.77%
199932.70%$13,4343.93%4.97%-0.44%0.56%
199943.96%$13,9664.68%5.08%9.55%0.40%
19995-1.89%$13,703-2.00%-5.00%2.09%-0.88%
199962.65%$14,0675.16%4.39%-1.87%-0.50%
19997-1.29%$13,885-3.20%2.27%-2.91%-0.39%
19998-0.43%$13,825-0.92%0.33%-1.00%-0.08%
19999-0.88%$13,704-2.44%0.82%-4.12%1.26%
1999103.23%$14,1476.29%3.74%-2.25%0.33%
1999112.17%$14,4543.42%4.08%-1.50%0.02%
1999125.38%$15,2317.59%9.37%3.07%-0.48%
20001-2.91%$14,788-4.18%-6.22%0.61%-0.17%
200021.76%$15,0482.54%2.83%-1.51%1.18%
200033.72%$15,6085.69%3.48%3.50%1.40%
20004-2.64%$15,197-5.21%-5.41%6.73%-0.49%
20005-1.79%$14,925-3.41%-2.67%1.03%-0.16%
200063.47%$15,4424.42%4.27%2.49%2.15%
20007-0.36%$15,387-1.95%-4.46%8.77%0.88%
200082.94%$15,8397.28%1.00%-3.99%1.40%
20009-2.20%$15,491-4.67%-5.00%2.93%0.76%
200010-1.70%$15,227-2.04%-3.03%-4.63%0.57%
200011-3.91%$14,632-9.90%-4.44%1.74%1.58%
2000122.74%$15,0331.78%3.72%6.88%1.79%
200112.32%$15,3823.83%1.10%0.43%1.76%
20012-5.22%$14,579-9.41%-7.61%-1.72%0.91%
20013-3.73%$14,035-6.72%-7.15%0.81%0.54%
200144.63%$14,6848.16%7.89%2.28%-0.46%
200150.17%$14,7101.01%-3.52%2.15%0.73%
20016-0.55%$14,628-1.64%-3.84%5.92%0.52%
20017-0.62%$14,537-1.71%-2.43%-2.10%2.23%
20018-1.94%$14,255-6.00%-2.30%3.54%1.11%
20019-5.33%$13,495-9.00%-10.73%-3.87%0.89%
2001101.65%$13,7182.52%2.97%-3.37%1.86%
2001113.48%$14,1967.63%3.56%5.76%-1.34%
2001120.97%$14,3341.78%1.35%2.47%-0.58%
20021-1.24%$14,156-1.24%-4.63%-0.25%0.69%
20022-0.18%$14,130-2.05%0.90%1.98%0.85%
200233.03%$14,5574.38%5.71%6.24%-1.46%
20024-1.30%$14,368-4.90%0.42%0.62%1.69%
200250.15%$14,391-1.22%1.16%1.30%0.80%
20026-3.15%$13,937-7.06%-4.28%2.81%0.29%
20027-5.36%$13,189-8.02%-9.80%-5.28%0.48%
200280.74%$13,2870.53%-0.12%0.16%1.66%
20029-5.52%$12,553-10.07%-10.88%-3.53%1.53%
2002102.78%$12,9037.65%5.70%-4.95%-0.61%
2002113.50%$13,3556.06%4.75%4.43%0.02%
200212-1.85%$13,108-5.57%-3.43%0.85%2.07%
20031-2.02%$12,843-2.54%-3.76%-2.70%0.05%
20032-0.55%$12,772-1.69%-2.42%1.74%1.38%
200330.22%$12,8011.09%-1.93%2.04%-0.13%
200345.78%$13,5408.21%9.70%4.05%0.87%
200354.79%$14,1886.11%6.15%5.52%1.82%
200361.31%$14,3741.43%2.66%2.25%-0.13%
200371.19%$14,5452.36%3.18%5.18%-3.34%
200381.74%$14,7992.39%2.51%0.65%0.61%
200391.18%$14,974-1.15%2.78%3.41%2.71%
2003103.78%$15,5406.12%6.49%1.63%-0.96%
2003111.57%$15,7831.38%2.13%4.31%0.27%
2003124.12%$16,4344.48%7.80%3.08%0.88%
200411.90%$16,7462.23%1.60%4.28%0.86%
200421.55%$17,0051.43%2.50%1.64%1.03%
200430.45%$17,082-1.07%0.45%5.43%0.80%
20044-3.80%$16,432-2.11%-3.14%-14.56%-2.61%
200451.18%$16,6261.35%0.46%7.09%-0.43%
200461.77%$16,9212.09%2.40%2.79%0.56%
20047-1.88%$16,603-3.80%-3.34%0.51%0.96%
200481.67%$16,8810.31%0.75%7.83%1.94%
200491.29%$17,0981.74%2.96%-0.23%0.16%
2004102.15%$17,4661.68%3.24%5.39%0.85%
2004113.53%$18,0824.68%7.23%4.15%-0.81%
2004123.17%$18,6563.63%4.44%4.83%0.92%
20051-2.05%$18,272-2.68%-1.67%-8.46%0.65%
200521.84%$18,6082.07%4.68%2.85%-0.63%
20053-1.60%$18,311-1.75%-2.93%-1.58%-0.49%
20054-0.38%$18,240-2.32%-2.07%5.81%1.35%
200552.14%$18,6303.77%0.08%3.24%1.05%
200561.25%$18,8630.81%1.30%4.96%0.55%
200572.77%$19,3864.11%3.68%6.97%-0.99%
200580.18%$19,420-0.94%2.85%-3.74%1.36%
200591.03%$19,6200.86%4.73%0.57%-1.10%
200510-1.93%$19,243-1.86%-3.37%-2.35%-0.81%
2005112.70%$19,7633.97%2.67%4.25%0.48%
2005121.39%$20,0390.14%5.14%-0.10%0.99%
200613.49%$20,7393.50%6.87%7.53%-0.11%
200620.15%$20,7700.00%-0.72%1.83%0.37%
200631.59%$21,1001.80%3.17%4.83%-1.00%
200641.06%$21,3231.11%5.12%-3.63%-0.21%
20065-2.57%$20,774-3.23%-4.45%-2.80%-0.09%
200660.57%$20,8910.17%-0.38%5.29%0.10%
200670.95%$21,091-0.13%1.15%3.49%1.35%
200682.32%$21,5812.31%2.53%3.72%1.64%
200691.39%$21,8802.27%0.25%1.90%0.81%
2006103.13%$22,5643.53%4.00%6.11%0.72%
2006112.52%$23,1332.23%3.73%4.69%1.11%
2006120.76%$23,3091.13%3.09%-1.81%-0.48%
200711.77%$23,7221.88%0.96%8.52%-0.08%
20072-0.45%$23,615-1.61%0.06%-2.41%1.50%
200730.76%$23,7941.11%2.80%-2.37%0.02%
200742.54%$24,3984.01%3.92%-0.04%0.51%
200751.89%$24,8583.69%3.09%-0.11%-0.78%
20076-1.56%$24,469-1.67%0.61%-9.26%-0.39%
20077-2.08%$23,961-3.41%-1.06%-7.77%0.84%
200781.38%$24,2911.45%-0.72%6.49%1.34%
200793.39%$25,1143.59%6.38%4.25%0.72%
2007102.41%$25,7191.85%5.90%1.22%0.93%
200711-3.11%$24,919-4.49%-4.57%-9.32%1.91%
200712-1.10%$24,645-0.60%-2.28%-5.11%0.22%
20081-3.67%$23,740-6.08%-8.55%-0.34%1.69%
20082-1.46%$23,394-3.07%0.33%-3.73%0.19%
200830.39%$23,484-0.58%-0.71%6.45%0.30%
200843.56%$24,3205.02%5.85%5.89%-0.30%
200850.87%$24,5322.09%1.51%0.14%-0.79%
20086-6.14%$23,027-8.19%-8.99%-10.77%-0.01%
20087-0.67%$22,874-0.77%-3.67%3.15%0.00%
200880.13%$22,9031.58%-5.10%2.25%0.70%
20089-6.25%$21,472-9.26%-13.09%-0.11%-1.10%
200810-14.71%$18,313-17.63%-22.09%-31.23%-2.53%
200811-4.55%$17,480-7.90%-6.29%-23.39%3.64%
2008124.58%$18,2801.86%8.16%17.39%3.32%
20091-7.64%$16,883-8.26%-11.96%-17.39%-0.70%
20092-7.97%$15,537-10.45%-9.58%-20.76%-0.42%
200935.90%$16,4548.65%9.31%3.76%1.48%
200949.16%$17,96110.61%12.78%31.31%0.36%
200955.50%$18,9505.38%14.35%2.36%0.85%
20096-0.28%$18,8970.34%-1.32%-3.25%0.54%
200976.63%$20,1497.82%9.96%10.64%1.43%
200983.78%$20,9113.63%3.50%13.99%1.01%
200993.84%$21,7134.23%5.15%6.69%1.19%
200910-1.89%$21,303-2.57%-2.17%-4.64%0.41%
2009114.18%$22,1945.63%3.86%6.85%1.36%
2009121.77%$22,5882.86%1.53%7.03%-1.68%
20101-2.47%$22,029-3.50%-5.07%-5.32%1.57%
201021.97%$22,4643.36%0.22%5.55%0.20%
201034.79%$23,5396.27%6.71%10.09%-0.08%
201041.61%$23,9192.17%-1.71%7.09%1.06%
20105-5.65%$22,566-8.00%-10.78%-5.41%0.87%
20106-2.55%$21,991-5.66%-1.17%-5.24%1.61%
201075.93%$23,2956.99%10.33%9.73%0.94%
20108-2.14%$22,796-4.75%-3.22%-1.24%1.48%
201096.03%$24,1709.47%10.41%4.37%-0.01%
2010102.88%$24,8663.94%3.55%4.80%0.36%
201011-1.05%$24,6030.58%-4.52%-2.04%-0.57%
2010124.49%$25,7096.81%8.34%4.63%-1.15%
201111.37%$26,0612.19%0.70%3.32%0.08%
201122.50%$26,7143.60%2.71%4.58%0.16%
20113-0.05%$26,7000.45%-0.43%-1.44%-0.01%
201143.23%$27,5612.99%5.24%5.66%1.32%
20115-0.54%$27,412-1.16%-2.87%1.36%1.30%
20116-1.49%$27,002-1.79%-1.51%-3.35%-0.39%
20117-0.60%$26,840-2.28%-1.53%1.55%1.58%
20118-4.19%$25,714-5.99%-8.45%-5.53%1.46%
20119-6.20%$24,119-7.75%-12.29%-10.98%0.89%
2011107.70%$25,97711.51%10.22%14.39%0.16%
201111-1.12%$25,685-0.29%-2.88%-3.73%-0.30%
2011120.68%$25,8600.80%-2.64%4.61%1.08%
201214.40%$26,9975.08%7.27%6.49%0.87%
201222.64%$27,7114.26%5.14%-1.12%-0.05%
201231.44%$28,1093.07%-0.75%5.14%-0.58%
20124-0.03%$28,101-0.65%-1.78%2.88%1.14%
20125-5.05%$26,683-6.24%-11.14%-4.60%0.95%
201263.34%$27,5743.91%6.03%5.64%0.04%
201271.12%$27,8821.03%0.44%1.93%1.39%
201281.54%$28,3112.48%2.72%-0.14%0.03%
201291.61%$28,7662.58%3.62%-1.83%0.11%
201210-0.68%$28,571-1.76%0.56%-0.83%0.11%
2012110.69%$28,7680.74%1.82%-0.37%0.19%
2012121.66%$29,2461.19%4.17%3.69%-0.20%
201313.02%$30,1315.50%3.34%3.71%-0.71%
201320.56%$30,2991.28%-1.23%1.24%0.54%
201332.07%$30,9263.88%0.77%2.89%0.08%
201342.35%$31,6541.70%3.58%6.70%0.91%
20135-0.72%$31,4242.32%-2.95%-5.96%-1.71%
20136-1.92%$30,820-1.27%-3.75%-1.96%-1.65%
201373.37%$31,8605.49%4.56%0.83%0.20%
20138-2.41%$31,094-2.82%-1.63%-6.86%-0.64%
201393.57%$32,2043.66%7.21%3.28%0.96%
2013103.16%$33,2234.22%3.41%4.46%0.78%
2013110.72%$33,4622.88%0.12%-5.23%-0.35%
2013121.30%$33,8972.63%1.25%0.26%-0.65%
20141-1.32%$33,451-3.11%-4.78%4.19%1.54%
201423.57%$34,6454.73%5.39%4.96%0.48%
201430.29%$34,7460.51%0.41%0.49%-0.15%
201440.87%$35,0500.06%1.31%3.37%0.77%
201451.80%$35,6812.17%1.88%2.35%1.05%
201461.51%$36,2192.54%1.74%1.14%0.11%
20147-1.18%$35,791-1.98%-1.61%0.04%-0.26%
201482.53%$36,6964.18%1.05%2.93%1.13%
20149-2.71%$35,700-2.14%-5.01%-5.96%-0.72%
2014102.41%$36,5592.74%-0.31%9.93%0.94%
2014111.36%$37,0552.41%-0.25%1.98%0.65%
201412-0.41%$36,902-0.01%-3.65%1.93%0.09%
201510.28%$37,006-2.77%0.13%6.72%2.31%
201522.63%$37,9775.76%5.52%-3.59%-1.08%
20153-0.44%$37,811-1.04%-1.54%1.72%0.41%
201540.49%$37,9950.42%5.08%-5.92%-0.36%
201550.19%$38,0681.39%-0.94%-0.27%-0.45%
20156-1.99%$37,313-1.71%-2.69%-4.60%-1.01%
201571.23%$37,7731.63%-0.80%5.60%0.76%
20158-4.64%$36,022-6.03%-7.29%-6.25%-0.36%
20159-1.42%$35,509-2.93%-3.90%3.02%0.76%
2015104.87%$37,2387.84%6.26%5.78%0.01%
201511-0.19%$37,1690.54%-1.32%-0.64%-0.27%
201512-1.16%$36,737-2.03%-2.07%1.79%-0.38%
20161-3.29%$35,527-5.67%-5.59%-3.36%1.43%
20162-0.29%$35,422-0.04%-2.27%-0.43%0.66%
201635.65%$37,4237.01%8.19%10.41%0.94%
201640.55%$37,6280.63%2.22%-2.41%0.38%
201650.75%$37,9101.79%-1.02%2.36%0.01%
201661.20%$38,3640.23%-0.94%6.88%1.94%
201673.06%$39,5383.95%4.41%4.18%0.64%
20168-0.21%$39,4560.26%0.74%-3.68%-0.17%
201690.11%$39,4990.15%1.37%-1.83%-0.09%
201610-2.06%$38,683-2.21%-1.72%-5.72%-0.81%
2016110.39%$38,8344.44%-2.15%-1.73%-2.64%
2016121.72%$39,5021.92%2.02%4.66%0.24%
201711.62%$40,1431.91%3.87%-0.04%0.29%
201722.33%$41,0783.71%1.50%3.43%0.66%
201730.34%$41,2190.07%2.82%-2.36%-0.07%
201741.12%$41,6801.05%2.20%0.15%0.76%
201751.17%$42,1681.01%3.01%-0.65%0.67%
201760.69%$42,4570.92%0.52%2.10%0.01%
201771.71%$43,1851.87%3.42%1.23%0.39%
201780.41%$43,3640.15%0.64%-0.25%0.85%
201791.22%$43,8942.45%1.81%-0.13%-0.54%
2017101.24%$44,4402.16%1.94%-1.01%0.11%
2017111.62%$45,1623.04%0.78%2.64%-0.17%
2017120.96%$45,5940.99%2.01%-0.23%0.44%
201812.49%$46,7305.31%5.59%-4.21%-1.09%
20182-3.60%$45,048-3.72%-5.14%-7.65%-1.03%
20183-0.42%$44,860-1.99%-0.64%3.83%0.63%
201840.15%$44,9270.38%0.83%0.84%-0.83%
201851.26%$45,4932.79%-1.92%3.60%0.61%
201860.27%$45,6170.68%-2.08%4.13%0.03%
201871.94%$46,5023.34%2.48%0.74%0.03%
201881.41%$47,1563.44%-2.19%2.46%0.52%
20189-0.29%$47,0170.16%0.30%-2.63%-0.54%
201810-5.24%$44,553-7.40%-8.35%-2.98%-0.73%
2018111.72%$45,3202.06%1.26%4.73%0.53%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value18.52%
Large-cap Growth16.03%
Mid-cap Value10.68%
Mid-cap Growth1.77%
Small-cap Value1.90%
Small-cap Growth1.45%
Global ex-US Developed Markets16.38%
Emerging Markets4.66%
Corporate Bonds9.26%
Long-Term Treasuries2.92%
Intermediate-Term Treasuries10.67%
Short-Term Treasuries5.76%
R Squared98.42%
Style analysis is based on monthly returns from Apr 2005 to Nov 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%40.00%$19,13555.30%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%20.00%$5,46130.07%
VGSIXVanguard Real Estate Index InvestorReal Estate0.26%10.00%$4,79613.51%
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond6.240.15%30.00%$5,9281.12%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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)0.62%
Arithmetic Mean (annualized)7.72%
Geometric Mean (monthly)0.58%
Geometric Mean (annualized)7.14%
Volatility (monthly)2.99%
Volatility (annualized)10.35%
Downside Deviation (monthly)2.03%
Max. Drawdown-39.59%
US Market Correlation0.96
Beta(*)0.65
Alpha (annualized)1.50%
R291.65%
Sharpe Ratio0.52
Sortino Ratio0.74
Treynor Ratio (%)8.34
Calmar Ratio1.24
Information Ratio-0.28
Diversification Ratio1.21
Skewness-0.90
Excess Kurtosis2.77
Historical Value-at-Risk (5%)-5.19%
Analytical Value-at-Risk (5%)-4.40%
Conditional Value-at-Risk (5%)-6.99%
Upside Capture Ratio (%)66.53
Downside Capture Ratio (%)63.17
Sustainable Withdrawal Rate7.90%
Positive Periods171 out of 263 (65.02%)
Gain/Loss Ratio0.92
* 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 1
Asian CrisisJul 1997Jan 1998-3.61%
Russian Debt 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-39.59%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-20.74%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.77%
5Jun 2015Feb 20169 monthsJun 20164 months1 year 1 month-6.95%
6Sep 2018Oct 20182 months-5.52%
7Apr 2012May 20122 monthsAug 20123 months5 months-5.07%
8Apr 2000May 20002 monthsAug 20003 months5 months-4.38%
9Feb 2018Mar 20182 monthsAug 20185 months7 months-4.00%
10Apr 2004Apr 20041 monthSep 20045 months6 months-3.80%
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 Inv8.28%15.24%33.35%-37.04%-50.89%0.470.661.00
VGTSXVanguard Total Intl Stock Index Inv4.54%17.14%40.34%-44.10%-58.50%0.230.320.85
VGSIXVanguard Real Estate Index Investor9.01%19.97%35.65%-37.05%-68.28%0.430.620.57
VBMFXVanguard Total Bond Market Index Inv4.68%3.39%11.39%-2.26%-3.99%0.771.26-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVGSIXVBMFXPortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv-0.850.57-0.050.96
VGTSXVanguard Total Intl Stock Index Inv0.85-0.560.020.93
VGSIXVanguard Real Estate Index Investor0.570.56-0.190.71
VBMFXVanguard Total Bond Market Index Inv-0.050.020.19-0.12

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv$19,135
VGTSXVanguard Total Intl Stock Index Inv$5,461
VGSIXVanguard Real Estate Index Investor$4,796
VBMFXVanguard Total Bond Market Index Inv$5,928

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VTSMXVanguard Total Stock Mkt Idx Inv55.30%
VGTSXVanguard Total Intl Stock Index Inv30.07%
VGSIXVanguard Real Estate Index Investor13.51%
VBMFXVanguard Total Bond Market Index Inv1.12%

Annual Asset Returns