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 
Portfolio #1
Portfolio #2
Portfolio #3
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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 2008 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 18.00%
VTV Vanguard Value ETF 18.00%
VOE Vanguard Mid-Cap Value ETF 5.00%
VBR Vanguard Small-Cap Value ETF 5.00%
VEA Vanguard FTSE Developed Markets ETF 41.00%
VWO Vanguard FTSE Emerging Markets ETF 13.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 35.00%
VEA Vanguard FTSE Developed Markets ETF 22.00%
VWO Vanguard FTSE Emerging Markets ETF 28.00%
VIG Vanguard Dividend Appreciation ETF 5.00%
XLE Energy Select Sector SPDR ETF 5.00%
MUB iShares National Muni Bond ETF 5.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$945,516 -0.62% 3.52%2.86%18.28%33.42%-40.05%-52.24%
(-54.15%) 		0.270.380.97
Portfolio 2$1,000,000$931,415 -0.79% 3.35%2.81%17.57%39.94%-39.81%-49.34%
(-51.36%) 		0.260.370.95
Portfolio 3$1,000,000$1,318,153 3.12% 7.41%6.65%16.36%33.52%-36.99%-48.23%
(-50.30%) 		0.500.721.00
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 yearFull
Portfolio 11.68%10.09%3.48%10.06%3.52%
Portfolio 20.15%10.49%2.68%8.19%3.35%
Portfolio 34.12%12.66%8.38%14.62%7.41%
Trailing returns are for full months ending in December 2016 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 withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
Annual returns for the configured portfolios
YearInflationReturnBalanceAdjustmentVanguard Total Stock Market ETF (VTI)Vanguard Value ETF (VTV)Vanguard Mid-Cap Value ETF (VOE)Vanguard Small-Cap Value ETF (VBR)Vanguard FTSE Developed Markets ETF (VEA)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Dividend Appreciation ETF (VIG)Energy Select Sector SPDR ETF (XLE)iShares National Muni Bond ETF (MUB)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%-40.05%-39.81%-36.99%$575,560$577,856$604,913-$23,982-$24,077-$25,205-36.98%-35.87%-36.65%-32.20%-40.65%-52.49%-26.69%-38.97%1.16%-36.99%
20092.72%33.42%39.94%28.83%$737,198$776,308$748,109-$30,717-$32,346-$31,17128.89%19.86%38.23%30.92%27.49%76.28%19.57%21.79%7.07%28.83%
20101.50%14.05%15.22%17.26%$807,140$858,665$842,113-$33,631-$35,778-$35,08817.42%14.54%21.76%25.10%8.35%19.47%14.74%21.78%0.10%17.26%
20112.96%-7.34%-6.52%1.08%$717,970$770,557$817,178-$29,915-$32,107-$34,0490.97%1.11%-0.40%-4.23%-12.30%-18.76%6.16%2.84%12.98%1.08%
20121.74%17.55%16.32%16.38%$810,209$860,452$913,019-$33,759-$35,852-$38,04216.45%15.19%16.02%18.98%18.56%19.20%11.65%5.20%5.19%16.38%
20131.50%24.01%17.72%33.52%$964,516$972,395$1,170,337-$40,188-$40,516-$48,76433.45%33.10%37.76%36.55%21.83%-4.92%28.87%26.25%-3.44%33.52%
20140.76%3.39%3.59%12.56%$957,363$967,042$1,264,612-$39,890-$40,293-$52,69212.54%13.17%13.96%10.55%-5.98%-0.07%10.08%-8.70%9.35%12.56%
20150.73%-2.66%-5.41%0.39%$894,665$878,137$1,218,733-$37,278-$36,589-$50,7810.36%-0.98%-1.89%-4.76%-0.38%-15.81%-1.95%-21.47%2.91%0.39%
20162.07%10.09%10.49%12.66%$945,516$931,415$1,318,153-$39,397-$38,809-$54,92312.83%17.12%15.40%24.90%2.67%12.21%11.97%28.02%-0.17%12.66%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard Value ETF (VTV)Vanguard Mid-Cap Value ETF (VOE)Vanguard Small-Cap Value ETF (VBR)Vanguard FTSE Developed Markets ETF (VEA)Vanguard FTSE Emerging Markets ETF (VWO)Vanguard Dividend Appreciation ETF (VIG)Energy Select Sector SPDR ETF (XLE)iShares National Muni Bond ETF (MUB)Vanguard Total Stock Mkt Idx Adm (VTSAX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20081-6.54%-7.17%-6.08%$934,585$928,258$939,197-6.17%-4.73%-3.69%-3.88%-7.39%-9.02%-5.27%-12.29%0.26%-6.08%
20082-1.55%-0.21%-3.04%$920,129$926,325$910,633-2.50%-3.91%-3.81%-2.62%-1.01%2.88%-1.55%9.27%-4.64%-3.04%
20083-0.63%-1.12%-0.59%$914,309$915,905$905,240-0.90%-0.45%-0.82%-0.39%0.38%-3.68%2.03%-2.34%3.13%-0.59%
200845.44%5.95%5.02%$964,073$970,427$950,7014.89%4.28%5.27%4.68%5.38%8.43%2.57%10.38%1.55%5.02%
200851.38%1.78%2.12%$977,403$987,740$970,8742.02%-0.57%3.68%4.14%1.21%1.79%0.33%5.20%0.59%2.12%
20086-9.07%-7.76%-8.20%$888,710$911,102$891,270-8.12%-9.53%-9.82%-11.36%-8.68%-9.81%-7.86%3.16%-1.73%-8.20%
20087-2.07%-3.16%-0.77%$870,301$882,282$884,419-0.62%-0.18%-1.54%4.06%-3.47%-4.72%1.06%-15.91%0.56%-0.77%
20088-1.73%-2.29%1.61%$855,234$862,059$898,6931.46%1.63%3.19%3.60%-4.01%-7.92%2.08%0.34%1.45%1.61%
20089-10.27%-11.20%-9.28%$767,380$765,550$815,323-9.24%-6.85%-9.16%-5.32%-11.59%-15.59%-6.72%-14.95%-3.38%-9.28%
200810-20.08%-19.33%-17.63%$613,327$617,544$671,594-17.48%-16.23%-22.16%-21.96%-20.56%-27.26%-14.11%-18.80%-0.97%-17.63%
200811-7.34%-6.64%-7.86%$568,312$576,533$618,808-8.01%-6.65%-7.71%-9.56%-6.62%-8.65%-2.55%-2.18%-0.54%-7.86%
2008125.50%4.41%1.83%$575,560$577,856$604,9131.78%1.51%5.66%4.46%8.97%7.59%0.88%-4.50%5.28%1.83%
20091-11.43%-8.86%-8.26%$509,786$526,630$554,966-8.05%-11.10%-9.14%-12.39%-14.02%-8.91%-7.62%-1.78%-0.01%-8.26%
20092-10.06%-7.64%-10.45%$458,521$486,377$496,972-10.53%-13.56%-12.07%-14.01%-10.08%-2.38%-10.52%-12.34%0.51%-10.45%
200938.95%8.75%8.73%$499,547$528,957$540,3718.26%8.20%8.37%8.83%8.42%12.40%7.03%3.79%0.29%8.73%
2009412.97%12.32%10.60%$564,346$594,127$597,65010.99%11.02%16.54%19.56%11.82%17.44%7.29%7.82%2.32%10.60%
2009510.50%11.01%5.33%$623,628$659,558$629,5025.46%7.10%4.18%3.83%13.06%17.89%4.95%12.89%0.07%5.33%
20096-1.30%-1.44%0.37%$615,527$650,030$631,8030.36%-1.08%-0.87%-0.09%-1.82%-2.45%0.49%-6.54%-1.45%0.37%
200979.71%8.95%7.87%$675,311$708,206$681,5047.74%7.96%10.78%10.65%10.57%10.91%6.56%5.35%1.79%7.87%
200983.80%2.11%3.63%$700,976$723,174$706,2153.71%5.22%6.63%6.18%4.50%-0.71%2.41%1.09%1.89%3.63%
200994.99%6.03%4.25%$735,927$766,767$736,2484.14%3.23%5.94%5.41%3.94%9.96%3.15%5.84%3.30%4.25%
200910-2.93%-2.27%-2.61%$714,332$749,361$717,066-2.63%-2.65%-4.81%-6.09%-2.77%-2.41%-0.43%2.47%-2.61%-2.61%
2009115.26%5.54%5.66%$751,928$790,890$757,6865.69%6.06%5.69%3.55%4.11%7.18%5.79%2.84%0.52%5.66%
2009122.13%2.25%2.85%$737,198$776,308$748,1092.86%1.22%5.37%6.92%0.79%3.10%0.73%0.88%0.38%2.85%
20101-4.45%-4.65%-3.46%$704,384$740,243$722,218-3.57%-2.45%-2.28%-2.99%-5.44%-6.73%-2.30%-4.40%0.38%-3.46%
201022.14%2.21%3.36%$719,484$756,637$746,4743.44%2.62%4.75%5.01%0.74%1.88%2.42%3.01%0.84%3.36%
201036.66%6.26%6.26%$767,428$803,976$793,2166.40%6.15%7.01%8.20%6.30%8.19%4.62%2.82%-0.06%6.26%
201040.13%0.50%2.21%$768,437$807,958$810,7282.18%1.78%3.93%6.23%-2.77%-0.21%2.17%4.16%1.14%2.21%
20105-9.42%-8.72%-8.00%$696,065$737,522$745,880-7.88%-7.77%-7.45%-7.95%-11.53%-9.18%-7.24%-11.45%0.83%-8.00%
20106-3.66%-3.20%-5.67%$670,562$713,923$703,570-5.83%-5.16%-6.27%-8.16%-1.81%-0.55%-4.34%-5.93%-0.34%-5.67%
201079.17%8.59%7.03%$732,038$775,243$753,0597.02%6.63%6.73%7.46%11.66%10.21%6.38%8.37%1.41%7.03%
20108-4.02%-3.44%-4.75%$702,612$748,553$717,317-4.71%-4.24%-5.13%-6.66%-3.58%-2.56%-3.44%-4.90%2.16%-4.75%
201099.49%9.51%9.50%$769,317$819,724$785,4389.45%7.56%9.22%10.43%9.66%11.42%8.31%10.00%-0.04%9.50%
2010103.63%3.53%3.94%$797,208$848,699$816,3924.03%2.73%3.45%3.60%4.06%3.10%2.83%5.67%-0.81%3.94%
201011-2.22%-1.53%0.58%$779,506$835,746$821,0900.51%-0.62%0.36%2.28%-4.90%-2.84%0.30%5.86%-2.79%0.58%
2010127.86%7.02%6.83%$807,140$858,665$842,1136.96%7.97%7.38%7.69%8.44%7.56%5.34%9.32%-2.51%6.83%
201111.47%0.65%2.19%$818,980$864,225$860,5192.05%2.85%2.38%0.60%2.16%-3.45%1.43%7.18%-0.18%2.19%
201123.31%2.76%3.63%$846,112$888,079$891,7283.70%4.03%3.72%4.70%3.66%-0.17%3.41%7.37%2.30%3.63%
20113-0.17%1.11%0.45%$844,647$897,967$895,7080.42%-0.03%1.29%1.47%-2.50%5.47%1.06%1.88%-1.20%0.45%
201144.27%3.65%2.99%$880,742$930,780$922,4942.90%2.96%2.91%2.34%6.19%3.37%3.49%0.92%2.77%2.99%
20115-2.06%-1.96%-1.16%$862,640$912,573$911,779-1.06%-1.37%-0.55%-2.12%-2.70%-2.94%-1.27%-4.19%2.33%-1.16%
20116-1.60%-1.32%-1.79%$848,870$900,483$895,495-1.79%-2.12%-3.02%-2.08%-1.22%-1.00%-0.77%-1.92%-0.13%-1.79%
20117-2.47%-1.57%-2.22%$827,902$886,340$875,589-2.27%-3.50%-3.89%-3.32%-2.39%-0.62%-3.46%1.46%0.55%-2.22%
20118-7.59%-7.04%-6.02%$765,079$823,923$822,866-6.09%-5.90%-6.56%-8.19%-8.58%-9.09%-3.20%-10.22%3.39%-6.02%
20119-10.54%-11.14%-7.75%$684,466$732,167$759,086-7.57%-6.85%-8.70%-10.64%-11.33%-18.44%-6.26%-14.42%-0.04%-7.75%
20111011.23%11.66%11.54%$761,316$817,532$846,70411.37%10.27%12.37%14.43%9.76%15.91%9.60%19.14%-0.53%11.54%
201111-1.21%-0.78%-0.29%$752,107$811,120$844,270-0.37%-0.56%0.15%-0.14%-2.09%-1.71%1.87%1.66%0.64%-0.29%
201112-0.56%-1.04%0.82%$717,970$770,557$817,1780.98%2.53%1.10%0.82%-2.12%-4.17%1.00%-2.05%2.50%0.82%
201215.85%6.45%5.08%$759,976$820,244$858,6905.07%3.47%5.23%6.97%5.62%10.78%2.60%2.26%3.53%5.08%
201224.48%4.47%4.26%$794,050$856,929$895,2414.22%3.89%3.62%2.55%4.88%5.43%2.76%5.93%-1.07%4.26%
201231.04%0.24%3.07%$802,289$858,967$922,7103.06%2.84%2.00%2.41%0.33%-2.60%2.09%-3.81%-0.82%3.07%
20124-1.62%-1.36%-0.63%$789,331$847,321$916,941-0.64%-0.92%-0.77%-0.99%-2.38%-2.09%-0.34%-0.71%0.87%-0.63%
20125-8.79%-8.33%-6.23%$719,985$776,728$859,780-6.23%-5.91%-6.75%-6.31%-11.17%-10.67%-4.37%-10.68%1.20%-6.23%
201265.45%4.63%3.94%$759,255$812,700$893,6494.05%4.79%3.37%4.47%6.98%5.02%2.18%4.80%-0.71%3.94%
201270.52%0.85%1.03%$763,236$819,632$902,8730.88%1.18%0.78%-0.43%0.25%0.20%1.96%4.94%2.07%1.03%
201282.40%1.97%2.51%$781,558$835,778$925,5372.70%1.48%2.51%2.99%3.29%0.25%1.90%2.70%-0.15%2.51%
201292.97%3.19%2.58%$804,766$862,464$949,3762.49%2.90%2.03%2.80%2.64%5.31%1.87%3.12%0.57%2.58%
201210-0.10%-0.72%-1.76%$804,000$856,279$932,692-1.81%-0.39%-0.14%-0.70%1.06%-0.55%-1.26%-2.03%0.47%-1.76%
2012111.38%1.33%0.74%$815,108$867,645$939,5770.77%-0.74%1.23%1.01%2.71%1.28%1.44%-1.22%1.85%0.74%
2012123.54%3.30%1.22%$810,209$860,452$913,0191.29%2.12%2.36%3.34%4.24%7.06%0.47%1.02%-2.58%1.22%
201314.39%3.51%5.50%$845,742$890,655$963,2165.42%6.36%7.26%6.46%3.83%0.07%5.93%8.30%0.81%5.50%
20132-0.13%-0.33%1.28%$844,640$887,749$975,5091.28%1.31%1.47%1.62%-1.15%-2.36%1.16%0.44%0.53%1.28%
201332.30%1.60%3.91%$864,082$901,943$1,013,6603.95%4.04%5.00%4.56%1.19%-1.27%3.38%2.54%-1.31%3.91%
201343.13%2.35%1.70%$891,154$923,147$1,030,8971.61%2.21%1.70%0.09%5.22%2.00%1.67%-1.31%1.75%1.70%
20135-0.61%-1.01%2.35%$885,744$913,836$1,055,0812.44%2.58%1.87%3.11%-2.97%-5.07%1.15%2.85%-3.05%2.35%
20136-2.30%-2.79%-1.24%$865,341$888,329$1,041,963-1.43%-1.02%-1.35%-1.27%-2.77%-5.33%-1.51%-2.27%-2.69%-1.24%
201374.97%4.07%5.46%$908,324$924,444$1,098,8315.75%5.38%5.64%6.85%5.20%0.70%5.41%5.26%-0.80%5.46%
20138-2.69%-2.67%-2.80%$883,895$899,766$1,068,071-3.03%-3.68%-2.92%-4.17%-1.60%-3.43%-3.57%-1.03%-1.72%-2.80%
201395.60%5.42%3.67%$933,360$948,526$1,107,2653.90%2.29%3.99%5.30%7.85%7.27%3.97%2.12%2.80%3.67%
2013103.90%3.90%4.25%$969,729$985,496$1,154,2774.27%4.59%4.53%3.92%3.21%4.34%4.17%4.20%1.21%4.25%
2013111.61%1.08%2.88%$985,298$996,183$1,187,5242.70%3.18%2.90%2.93%0.66%-0.93%2.32%0.06%-0.47%2.88%
2013121.97%1.68%2.66%$964,516$972,395$1,170,3372.73%2.09%2.83%2.74%1.90%-0.28%1.96%2.87%-0.41%2.66%
20141-4.73%-5.03%-3.11%$918,852$923,498$1,133,991-3.17%-3.69%-2.58%-2.78%-5.21%-8.43%-5.01%-5.80%2.56%-3.11%
201424.97%4.47%4.75%$964,545$964,800$1,187,8834.87%3.97%5.39%4.97%5.95%3.24%4.90%5.12%1.05%4.75%
201431.12%1.48%0.52%$975,350$979,110$1,194,0860.51%2.69%1.15%1.31%-0.37%4.62%0.79%2.11%0.08%0.52%
201440.88%0.99%0.06%$983,964$988,788$1,194,8410.06%0.86%0.41%-1.13%1.57%0.89%1.01%5.25%1.24%0.06%
201451.92%2.20%2.17%$1,002,824$1,010,590$1,220,7722.10%1.38%1.71%1.64%1.77%3.10%1.61%1.67%1.12%2.17%
201462.01%2.38%2.57%$1,023,026$1,034,659$1,252,1192.62%1.92%2.78%4.32%1.04%3.17%1.49%5.51%-0.16%2.57%
20147-1.74%-1.16%-1.98%$1,005,242$1,022,671$1,227,345-1.99%-1.20%-2.60%-4.79%-2.37%1.37%-3.31%-3.47%0.45%-1.98%
201482.45%2.96%4.18%$1,029,895$1,052,938$1,278,6634.15%3.44%3.86%5.12%0.26%3.84%3.65%2.18%1.26%4.18%
20149-3.69%-4.14%-2.11%$991,861$1,009,396$1,251,730-2.10%-1.28%-3.47%-5.54%-4.16%-7.18%-1.00%-7.75%-0.08%-2.11%
2014101.43%1.52%2.74%$1,006,091$1,024,787$1,286,0132.75%1.80%3.56%4.85%-0.35%2.23%2.65%-3.53%0.55%2.74%
2014110.99%0.35%2.43%$1,016,087$1,028,371$1,317,2492.48%2.47%2.72%1.10%0.00%-1.10%3.22%-8.69%0.12%2.43%
201412-1.85%-2.05%0.00%$957,363$967,042$1,264,612-0.04%0.35%0.65%1.79%-3.77%-4.69%0.11%-0.23%0.81%0.00%
20151-1.25%-1.17%-2.77%$945,426$955,691$1,229,565-2.74%-4.10%-2.37%-3.30%0.71%-0.20%-3.38%-4.56%1.60%-2.77%
201525.67%5.11%5.76%$999,076$1,004,555$1,300,3935.74%5.31%5.35%5.66%6.16%4.66%5.59%4.59%-1.12%5.76%
20153-1.15%-1.41%-1.01%$987,573$990,387$1,287,272-1.16%-1.32%-0.05%1.30%-1.22%-2.05%-2.27%-1.16%0.22%-1.01%
201542.83%3.44%0.42%$1,015,527$1,024,418$1,292,6890.62%1.28%-0.29%-1.30%3.87%7.41%-0.21%6.57%-0.71%0.42%
201550.05%-0.84%1.39%$1,016,057$1,015,810$1,310,6641.30%1.18%1.20%1.37%-0.05%-3.55%0.96%-5.19%-0.49%1.39%
20156-2.43%-2.27%-1.70%$991,329$992,774$1,288,350-1.67%-2.24%-2.34%-1.51%-2.91%-2.54%-2.54%-3.48%-0.34%-1.70%
201570.28%-1.04%1.65%$994,125$982,422$1,309,6171.70%1.02%0.94%-0.95%1.46%-6.26%2.16%-7.69%1.12%1.65%
20158-6.85%-6.98%-6.00%$926,040$913,861$1,230,980-6.09%-5.84%-4.41%-4.84%-7.23%-9.86%-5.87%-4.25%-0.11%-6.00%
20159-3.40%-3.12%-2.94%$894,555$885,360$1,194,741-2.92%-2.54%-3.40%-3.58%-4.08%-2.88%-1.84%-7.18%0.86%-2.94%
2015106.91%6.62%7.86%$956,404$944,006$1,288,6907.91%7.65%6.31%6.63%6.73%5.29%6.74%11.16%0.36%7.86%
201511-0.28%-0.51%0.56%$953,697$939,231$1,295,8980.60%0.54%0.62%1.32%-0.76%-2.30%0.27%-0.01%0.50%0.56%
201512-2.28%-2.61%-2.04%$894,665$878,137$1,218,733-2.13%-1.15%-2.87%-4.90%-2.14%-3.44%-0.87%-10.50%1.02%-2.04%
20161-5.56%-5.08%-5.65%$844,899$833,529$1,149,866-5.72%-4.76%-6.86%-6.37%-5.53%-5.75%-2.29%-3.50%0.77%-5.65%
20162-1.15%-0.85%-0.04%$835,195$826,427$1,149,386-0.01%0.10%1.36%1.50%-3.08%-0.32%1.13%-2.80%0.02%-0.04%
201637.93%8.45%7.03%$901,422$896,256$1,230,2307.11%6.70%7.76%8.94%7.20%12.72%6.28%10.16%0.44%7.03%
201641.61%1.49%0.65%$915,974$909,575$1,238,1850.66%1.52%0.99%2.10%2.31%1.01%-0.33%9.06%0.67%0.65%
201650.09%-0.39%1.77%$916,781$906,002$1,260,1241.73%1.06%1.44%1.40%-0.30%-3.24%0.95%-0.93%0.28%1.77%
201660.11%1.39%0.25%$917,787$918,618$1,263,2630.27%1.13%0.32%0.15%-2.04%4.93%2.37%2.71%1.61%0.25%
201674.04%3.78%3.95%$954,837$953,318$1,313,1443.98%2.81%4.19%4.64%4.16%5.14%2.29%-1.26%-0.04%3.95%
201680.52%0.48%0.28%$959,758$957,901$1,316,7760.21%0.68%0.93%0.73%0.41%0.78%0.01%1.68%0.13%0.28%
201690.92%1.14%0.15%$968,622$968,796$1,318,8020.21%-0.46%0.43%0.30%1.65%2.05%-0.97%3.69%-0.56%0.15%
201610-1.77%-1.45%-2.21%$951,450$954,736$1,289,603-2.19%-1.09%-2.42%-2.92%-2.41%0.32%-1.93%-2.82%-0.96%-2.21%
2016111.55%0.40%4.45%$966,210$958,522$1,347,0274.49%6.00%5.94%10.21%-1.51%-4.05%2.98%8.47%-4.10%4.45%
2016121.94%1.22%1.93%$945,516$931,415$1,318,1531.98%2.73%1.10%2.86%2.45%-0.74%1.17%1.73%1.72%1.93%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value25.24%12.08%38.23%
Large-cap Growth9.09%20.74%42.33%
Mid-cap Value6.23%8.25%5.63%
Mid-cap Growth0.63%1.19%7.90%
Small-cap Value2.47%0.00%2.04%
Small-cap Growth1.14%0.00%2.86%
Global ex-US Developed Markets41.45%22.62%0.72%
Emerging Markets13.41%29.72%0.28%
Corporate Bonds0.20%0.26%0.00%
Long-Term Treasuries0.15%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%5.14%0.00%
R Squared99.94%99.85%99.90%
Style analysis is based on monthly returns from Jan 2008 to Dec 2016 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend18.00%0.03%26.42$100,99815.53%
VTVVanguard Value ETFLarge Value18.00%0.04%18.91$93,52615.18%
VOEVanguard Mid-Cap Value ETFMid-Cap Value5.00%0.07%18.97$34,3024.81%
VBRVanguard Small-Cap Value ETFSmall Value5.00%0.07%16.54$35,9145.15%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend41.00%0.05%18.67-$5,47543.67%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts13.00%0.10%15.37-$4,99315.68%
100.00%0.05%19.59$254,272100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend35.00%0.03%26.42$207,70430.75%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend22.00%0.05%18.67$87623.94%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts28.00%0.10%15.37-$9,69836.39%
VIGVanguard Dividend Appreciation ETFLarge Blend5.00%0.06%26.52$26,7993.53%
XLEEnergy Select Sector SPDR ETFEquity Energy5.00%0.13%$7,4725.13%
MUBiShares National Muni Bond ETFMuni National Interm5.00%0.07%5.84$14,6300.27%
100.00%0.06%21.095.84$247,783100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%0.04%26.42$688,869100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/29/2020. (c) 2020 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)0.43%0.40%0.71%
Arithmetic Mean (annualized)5.28%4.96%8.86%
Geometric Mean (monthly)0.29%0.27%0.60%
Geometric Mean (annualized)3.52%3.35%7.41%
Volatility (monthly)5.28%5.07%4.72%
Volatility (annualized)18.28%17.57%16.36%
Downside Deviation (monthly)3.74%3.55%3.28%
Max. Drawdown-52.24%-49.34%-48.23%
US Market Correlation0.970.951.00
Beta(*)1.081.021.00
Alpha (annualized)-3.92%-3.74%0.11%
R293.24%90.31%100.00%
Sharpe Ratio0.270.260.50
Sortino Ratio0.380.370.72
Treynor Ratio (%)4.534.498.25
Calmar Ratio0.240.170.95
Active Return-3.77%-3.95%0.12%
Tracking Error4.93%5.48%0.07%
Information Ratio-0.77-0.721.78
Skewness-0.60-0.51-0.72
Excess Kurtosis1.631.681.52
Historical Value-at-Risk (5%)-9.77%-8.54%-8.11%
Analytical Value-at-Risk (5%)-8.24%-7.98%-7.06%
Conditional Value-at-Risk (5%)-12.47%-11.85%-10.76%
Upside Capture Ratio (%)95.9189.94100.36
Downside Capture Ratio (%)112.88107.0999.85
Safe Withdrawal Rate10.00%10.29%11.47%
Perpetual Withdrawal Rate1.90%1.73%5.45%
Positive Periods61 out of 108 (56.48%)59 out of 108 (54.63%)70 out of 108 (64.81%)
Gain/Loss Ratio0.961.030.80
* 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 monthsJan 20133 years 11 months5 years 1 month-52.24%
2Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-14.38%
3Jan 2014Jan 20141 monthFeb 20141 month2 months-4.73%
4Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.38%
5May 2013Jun 20132 monthsJul 20131 month3 months-2.90%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.69%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.74%
8Mar 2015Mar 20151 monthApr 20151 month2 months-1.15%
9Feb 2013Feb 20131 monthMar 20131 month2 months-0.13%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20112 years3 years 2 months-49.34%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.34%
3May 2015Feb 201610 months-15.97%
4Sep 2014Jan 20155 monthsApr 20153 months8 months-5.45%
5Jan 2014Jan 20141 monthMar 20142 months3 months-5.03%
6May 2013Jun 20132 monthsJul 20131 month3 months-3.77%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.67%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.16%
9Feb 2013Feb 20131 monthMar 20131 month2 months-0.33%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20112 years3 years 2 months-48.23%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.71%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-2.77%
8Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
9Sep 2014Sep 20141 monthOct 20141 month2 months-2.11%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF7.44%16.36%33.45%-36.98%-48.15%0.500.731.00
VTVVanguard Value ETF6.69%16.22%33.10%-35.87%-50.72%0.460.660.98
VOEVanguard Mid-Cap Value ETF9.10%18.55%38.23%-36.65%-49.53%0.550.800.98
VBRVanguard Small-Cap Value ETF9.55%20.62%36.55%-32.20%-49.75%0.530.780.95
VEAVanguard FTSE Developed Markets ETF-0.02%19.94%27.49%-40.65%-54.11%0.090.120.90
VWOVanguard FTSE Emerging Markets ETF-1.54%24.20%76.28%-52.49%-57.75%0.050.070.82
VIGVanguard Dividend Appreciation ETF7.12%13.67%28.87%-26.69%-39.40%0.550.790.97
XLEEnergy Select Sector SPDR ETF1.42%22.76%28.02%-38.97%-53.13%0.160.230.75
MUBiShares National Muni Bond ETF3.79%5.59%12.98%-3.44%-8.79%0.641.000.12
VTSAXVanguard Total Stock Mkt Idx Adm7.41%16.36%33.52%-36.99%-48.23%0.500.721.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVTVVOEVBRVEAVWOVIGXLEMUBVTSAXPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.000.980.980.950.900.820.960.750.121.000.970.951.00
VTVVanguard Value ETF0.981.000.960.940.890.780.960.720.100.980.950.920.98
VOEVanguard Mid-Cap Value ETF0.980.961.000.980.880.810.930.720.180.980.950.930.98
VBRVanguard Small-Cap Value ETF0.950.940.981.000.830.770.910.690.110.950.910.890.95
VEAVanguard FTSE Developed Markets ETF0.900.890.880.831.000.890.870.730.200.900.980.970.90
VWOVanguard FTSE Emerging Markets ETF0.820.780.810.770.891.000.780.740.180.820.910.950.82
VIGVanguard Dividend Appreciation ETF0.960.960.930.910.870.781.000.720.140.970.930.910.97
XLEEnergy Select Sector SPDR ETF0.750.720.720.690.730.740.721.00-0.090.750.760.800.75
MUBiShares National Muni Bond ETF0.120.100.180.110.200.180.14-0.091.000.120.170.170.12
VTSAXVanguard Total Stock Mkt Idx Adm1.000.980.980.950.900.820.970.750.121.000.970.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$100,998$207,704
VTVVanguard Value ETF$93,526
VOEVanguard Mid-Cap Value ETF$34,302
VBRVanguard Small-Cap Value ETF$35,914
VEAVanguard FTSE Developed Markets ETF-$5,475$876
VWOVanguard FTSE Emerging Markets ETF-$4,993-$9,698
VIGVanguard Dividend Appreciation ETF$26,799
XLEEnergy Select Sector SPDR ETF$7,472
MUBiShares National Muni Bond ETF$14,630
VTSAXVanguard Total Stock Mkt Idx Adm$688,869

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF15.53%30.75%
VTVVanguard Value ETF15.18%
VOEVanguard Mid-Cap Value ETF4.81%
VBRVanguard Small-Cap Value ETF5.15%
VEAVanguard FTSE Developed Markets ETF43.67%23.94%
VWOVanguard FTSE Emerging Markets ETF15.68%36.39%
VIGVanguard Dividend Appreciation ETF3.53%
XLEEnergy Select Sector SPDR ETF5.13%
MUBiShares National Muni Bond ETF0.27%
VTSAXVanguard Total Stock Mkt Idx Adm100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year5.83%33.42%-40.05%5.73%39.94%-39.81%9.52%33.52%-36.99%
3 years7.56%14.65%-3.01%7.14%14.65%-0.99%12.09%20.49%-1.63%
5 years8.30%15.50%-0.13%7.67%15.59%1.08%12.73%18.86%2.29%
7 years7.47%10.94%3.52%7.06%10.58%3.67%11.93%15.13%7.72%
Result statistics are based on annualized rolling returns over full calendar year periods