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 
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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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 RatioMarket 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
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Portfolio 11.68%10.09%10.09%3.48%10.06%3.52%11.22%11.47%
Portfolio 20.15%10.49%10.49%2.68%8.19%3.35%11.26%11.28%
Portfolio 34.12%12.66%12.66%8.38%14.62%7.41%11.02%10.64%
Trailing return and volatility are as of last full calendar month ending December 2016
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • 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
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 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)
ReturnBalanceCashflowReturnBalanceCashflowReturnBalanceCashflow
20080.09%-40.05%$575,560-$23,982-39.81%$577,856-$24,077-36.99%$604,913-$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%$737,198-$30,71739.94%$776,308-$32,34628.83%$748,109-$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%$807,140-$33,63115.22%$858,665-$35,77817.26%$842,113-$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%$717,970-$29,915-6.52%$770,557-$32,1071.08%$817,178-$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%$810,209-$33,75916.32%$860,452-$35,85216.38%$913,019-$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%$964,516-$40,18817.72%$972,395-$40,51633.52%$1,170,337-$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%$957,363-$39,8903.59%$967,042-$40,29312.56%$1,264,612-$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%$894,665-$37,278-5.41%$878,137-$36,5890.39%$1,218,733-$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%$945,516-$39,39710.49%$931,415-$38,80912.66%$1,318,153-$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
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard 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)
ReturnBalanceReturnBalanceReturnBalance
20081-6.54%$934,585-7.17%$928,258-6.08%$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%$920,129-0.21%$926,325-3.04%$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%$914,309-1.12%$915,905-0.59%$905,240-0.90%-0.45%-0.82%-0.39%0.38%-3.68%2.03%-2.34%3.13%-0.59%
200845.44%$964,0735.95%$970,4275.02%$950,7014.89%4.28%5.27%4.68%5.38%8.43%2.57%10.38%1.55%5.02%
200851.38%$977,4031.78%$987,7402.12%$970,8742.02%-0.57%3.68%4.14%1.21%1.79%0.33%5.20%0.59%2.12%
20086-9.07%$888,710-7.76%$911,102-8.20%$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%$870,301-3.16%$882,282-0.77%$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%$855,234-2.29%$862,0591.61%$898,6931.46%1.63%3.19%3.60%-4.01%-7.92%2.08%0.34%1.45%1.61%
20089-10.27%$767,380-11.20%$765,550-9.28%$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%$613,327-19.33%$617,544-17.63%$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%$568,312-6.64%$576,533-7.86%$618,808-8.01%-6.65%-7.71%-9.56%-6.62%-8.65%-2.55%-2.18%-0.54%-7.86%
2008125.50%$575,5604.41%$577,8561.83%$604,9131.78%1.51%5.66%4.46%8.97%7.59%0.88%-4.50%5.28%1.83%
20091-11.43%$509,786-8.86%$526,630-8.26%$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%$458,521-7.64%$486,377-10.45%$496,972-10.53%-13.56%-12.07%-14.01%-10.08%-2.38%-10.52%-12.34%0.51%-10.45%
200938.95%$499,5478.75%$528,9578.73%$540,3718.26%8.20%8.37%8.83%8.42%12.40%7.03%3.79%0.29%8.73%
2009412.97%$564,34612.32%$594,12710.60%$597,65010.99%11.02%16.54%19.56%11.82%17.44%7.29%7.82%2.32%10.60%
2009510.50%$623,62811.01%$659,5585.33%$629,5025.46%7.10%4.18%3.83%13.06%17.89%4.95%12.89%0.07%5.33%
20096-1.30%$615,527-1.44%$650,0300.37%$631,8030.36%-1.08%-0.87%-0.09%-1.82%-2.45%0.49%-6.54%-1.45%0.37%
200979.71%$675,3118.95%$708,2067.87%$681,5047.74%7.96%10.78%10.65%10.57%10.91%6.56%5.35%1.79%7.87%
200983.80%$700,9762.11%$723,1743.63%$706,2153.71%5.22%6.63%6.18%4.50%-0.71%2.41%1.09%1.89%3.63%
200994.99%$735,9276.03%$766,7674.25%$736,2484.14%3.23%5.94%5.41%3.94%9.96%3.15%5.84%3.30%4.25%
200910-2.93%$714,332-2.27%$749,361-2.61%$717,066-2.63%-2.65%-4.81%-6.09%-2.77%-2.41%-0.43%2.47%-2.61%-2.61%
2009115.26%$751,9285.54%$790,8905.66%$757,6865.69%6.06%5.69%3.55%4.11%7.18%5.79%2.84%0.52%5.66%
2009122.13%$737,1982.25%$776,3082.85%$748,1092.86%1.22%5.37%6.92%0.79%3.10%0.73%0.88%0.38%2.85%
20101-4.45%$704,384-4.65%$740,243-3.46%$722,218-3.57%-2.45%-2.28%-2.99%-5.44%-6.73%-2.30%-4.40%0.38%-3.46%
201022.14%$719,4842.21%$756,6373.36%$746,4743.44%2.62%4.75%5.01%0.74%1.88%2.42%3.01%0.84%3.36%
201036.66%$767,4286.26%$803,9766.26%$793,2166.40%6.15%7.01%8.20%6.30%8.19%4.62%2.82%-0.06%6.26%
201040.13%$768,4370.50%$807,9582.21%$810,7282.18%1.78%3.93%6.23%-2.77%-0.21%2.17%4.16%1.14%2.21%
20105-9.42%$696,065-8.72%$737,522-8.00%$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%$670,562-3.20%$713,923-5.67%$703,570-5.83%-5.16%-6.27%-8.16%-1.81%-0.55%-4.34%-5.93%-0.34%-5.67%
201079.17%$732,0388.59%$775,2437.03%$753,0597.02%6.63%6.73%7.46%11.66%10.21%6.38%8.37%1.41%7.03%
20108-4.02%$702,612-3.44%$748,553-4.75%$717,317-4.71%-4.24%-5.13%-6.66%-3.58%-2.56%-3.44%-4.90%2.16%-4.75%
201099.49%$769,3179.51%$819,7249.50%$785,4389.45%7.56%9.22%10.43%9.66%11.42%8.31%10.00%-0.04%9.50%
2010103.63%$797,2083.53%$848,6993.94%$816,3924.03%2.73%3.45%3.60%4.06%3.10%2.83%5.67%-0.81%3.94%
201011-2.22%$779,506-1.53%$835,7460.58%$821,0900.51%-0.62%0.36%2.28%-4.90%-2.84%0.30%5.86%-2.79%0.58%
2010127.86%$807,1407.02%$858,6656.83%$842,1136.96%7.97%7.38%7.69%8.44%7.56%5.34%9.32%-2.51%6.83%
201111.47%$818,9800.65%$864,2252.19%$860,5192.05%2.85%2.38%0.60%2.16%-3.45%1.43%7.18%-0.18%2.19%
201123.31%$846,1122.76%$888,0793.63%$891,7283.70%4.03%3.72%4.70%3.66%-0.17%3.41%7.37%2.30%3.63%
20113-0.17%$844,6471.11%$897,9670.45%$895,7080.42%-0.03%1.29%1.47%-2.50%5.47%1.06%1.88%-1.20%0.45%
201144.27%$880,7423.65%$930,7802.99%$922,4942.90%2.96%2.91%2.34%6.19%3.37%3.49%0.92%2.77%2.99%
20115-2.06%$862,640-1.96%$912,573-1.16%$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%$848,870-1.32%$900,483-1.79%$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%$827,902-1.57%$886,340-2.22%$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%$765,079-7.04%$823,923-6.02%$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%$684,466-11.14%$732,167-7.75%$759,086-7.57%-6.85%-8.70%-10.64%-11.33%-18.44%-6.26%-14.42%-0.04%-7.75%
20111011.23%$761,31611.66%$817,53211.54%$846,70411.37%10.27%12.37%14.43%9.76%15.91%9.60%19.14%-0.53%11.54%
201111-1.21%$752,107-0.78%$811,120-0.29%$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%$717,970-1.04%$770,5570.82%$817,1780.98%2.53%1.10%0.82%-2.12%-4.17%1.00%-2.05%2.50%0.82%
201215.85%$759,9766.45%$820,2445.08%$858,6905.07%3.47%5.23%6.97%5.62%10.78%2.60%2.26%3.53%5.08%
201224.48%$794,0504.47%$856,9294.26%$895,2414.22%3.89%3.62%2.55%4.88%5.43%2.76%5.93%-1.07%4.26%
201231.04%$802,2890.24%$858,9673.07%$922,7103.06%2.84%2.00%2.41%0.33%-2.60%2.09%-3.81%-0.82%3.07%
20124-1.62%$789,331-1.36%$847,321-0.63%$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%$719,985-8.33%$776,728-6.23%$859,780-6.23%-5.91%-6.75%-6.31%-11.17%-10.67%-4.37%-10.68%1.20%-6.23%
201265.45%$759,2554.63%$812,7003.94%$893,6494.05%4.79%3.37%4.47%6.98%5.02%2.18%4.80%-0.71%3.94%
201270.52%$763,2360.85%$819,6321.03%$902,8730.88%1.18%0.78%-0.43%0.25%0.20%1.96%4.94%2.07%1.03%
201282.40%$781,5581.97%$835,7782.51%$925,5372.70%1.48%2.51%2.99%3.29%0.25%1.90%2.70%-0.15%2.51%
201292.97%$804,7663.19%$862,4642.58%$949,3762.49%2.90%2.03%2.80%2.64%5.31%1.87%3.12%0.57%2.58%
201210-0.10%$804,000-0.72%$856,279-1.76%$932,692-1.81%-0.39%-0.14%-0.70%1.06%-0.55%-1.26%-2.03%0.47%-1.76%
2012111.38%$815,1081.33%$867,6450.74%$939,5770.77%-0.74%1.23%1.01%2.71%1.28%1.44%-1.22%1.85%0.74%
2012123.54%$810,2093.30%$860,4521.22%$913,0191.29%2.12%2.36%3.34%4.24%7.06%0.47%1.02%-2.58%1.22%
201314.39%$845,7423.51%$890,6555.50%$963,2165.42%6.36%7.26%6.46%3.83%0.07%5.93%8.30%0.81%5.50%
20132-0.13%$844,640-0.33%$887,7491.28%$975,5091.28%1.31%1.47%1.62%-1.15%-2.36%1.16%0.44%0.53%1.28%
201332.30%$864,0821.60%$901,9433.91%$1,013,6603.95%4.04%5.00%4.56%1.19%-1.27%3.38%2.54%-1.31%3.91%
201343.13%$891,1542.35%$923,1471.70%$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%$885,744-1.01%$913,8362.35%$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%$865,341-2.79%$888,329-1.24%$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%$908,3244.07%$924,4445.46%$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%$883,895-2.67%$899,766-2.80%$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%$933,3605.42%$948,5263.67%$1,107,2653.90%2.29%3.99%5.30%7.85%7.27%3.97%2.12%2.80%3.67%
2013103.90%$969,7293.90%$985,4964.25%$1,154,2774.27%4.59%4.53%3.92%3.21%4.34%4.17%4.20%1.21%4.25%
2013111.61%$985,2981.08%$996,1832.88%$1,187,5242.70%3.18%2.90%2.93%0.66%-0.93%2.32%0.06%-0.47%2.88%
2013121.97%$964,5161.68%$972,3952.66%$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%$918,852-5.03%$923,498-3.11%$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%$964,5454.47%$964,8004.75%$1,187,8834.87%3.97%5.39%4.97%5.95%3.24%4.90%5.12%1.05%4.75%
201431.12%$975,3501.48%$979,1100.52%$1,194,0860.51%2.69%1.15%1.31%-0.37%4.62%0.79%2.11%0.08%0.52%
201440.88%$983,9640.99%$988,7880.06%$1,194,8410.06%0.86%0.41%-1.13%1.57%0.89%1.01%5.25%1.24%0.06%
201451.92%$1,002,8242.20%$1,010,5902.17%$1,220,7722.10%1.38%1.71%1.64%1.77%3.10%1.61%1.67%1.12%2.17%
201462.01%$1,023,0262.38%$1,034,6592.57%$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%$1,005,242-1.16%$1,022,671-1.98%$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%$1,029,8952.96%$1,052,9384.18%$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%$991,861-4.14%$1,009,396-2.11%$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%$1,006,0911.52%$1,024,7872.74%$1,286,0132.75%1.80%3.56%4.85%-0.35%2.23%2.65%-3.53%0.55%2.74%
2014110.99%$1,016,0870.35%$1,028,3712.43%$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%$957,363-2.05%$967,0420.00%$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%$945,426-1.17%$955,691-2.77%$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%$999,0765.11%$1,004,5555.76%$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%$987,573-1.41%$990,387-1.01%$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%$1,015,5273.44%$1,024,4180.42%$1,292,6890.62%1.28%-0.29%-1.30%3.87%7.41%-0.21%6.57%-0.71%0.42%
201550.05%$1,016,057-0.84%$1,015,8101.39%$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%$991,329-2.27%$992,774-1.70%$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%$994,125-1.04%$982,4221.65%$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%$926,040-6.98%$913,861-6.00%$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%$894,555-3.12%$885,360-2.94%$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%$956,4046.62%$944,0067.86%$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%$953,697-0.51%$939,2310.56%$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%$894,665-2.61%$878,137-2.04%$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%$844,899-5.08%$833,529-5.65%$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%$835,195-0.85%$826,427-0.04%$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%$901,4228.45%$896,2567.03%$1,230,2307.11%6.70%7.76%8.94%7.20%12.72%6.28%10.16%0.44%7.03%
201641.61%$915,9741.49%$909,5750.65%$1,238,1850.66%1.52%0.99%2.10%2.31%1.01%-0.33%9.06%0.67%0.65%
201650.09%$916,781-0.39%$906,0021.77%$1,260,1241.73%1.06%1.44%1.40%-0.30%-3.24%0.95%-0.93%0.28%1.77%
201660.11%$917,7871.39%$918,6180.25%$1,263,2630.27%1.13%0.32%0.15%-2.04%4.93%2.37%2.71%1.61%0.25%
201674.04%$954,8373.78%$953,3183.95%$1,313,1443.98%2.81%4.19%4.64%4.16%5.14%2.29%-1.26%-0.04%3.95%
201680.52%$959,7580.48%$957,9010.28%$1,316,7760.21%0.68%0.93%0.73%0.41%0.78%0.01%1.68%0.13%0.28%
201690.92%$968,6221.14%$968,7960.15%$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%$951,450-1.45%$954,736-2.21%$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%$966,2100.40%$958,5224.45%$1,347,0274.49%6.00%5.94%10.21%-1.51%-4.05%2.98%8.47%-4.10%4.45%
2016121.94%$945,5161.22%$931,4151.93%$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 January 2008 to December 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
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VTIVanguard Total Stock Market ETFLarge Blend18.00%1.37%1.43%0.03%0.03%19.44$100,99815.53%
VTVVanguard Value ETFLarge Value18.00%2.32%2.30%0.04%0.04%15.75$93,52615.18%
VOEVanguard Mid-Cap Value ETFMid-Cap Value5.00%2.03%1.97%0.07%0.07%15.52$34,3024.81%
VBRVanguard Small-Cap Value ETFSmall Value5.00%1.74%1.89%0.07%0.07%11.85$35,9145.15%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend41.00%3.27%0.05%0.05%13.50-$5,47543.67%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts13.00%3.13%0.08%0.08%12.11-$4,99315.68%
100.00%0.85%2.61%0.05%0.05%14.81$254,272100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTIVanguard Total Stock Market ETFLarge Blend35.00%1.37%1.43%0.03%0.03%19.44$207,70430.75%
VEAVanguard FTSE Developed Markets ETFForeign Large Blend22.00%3.27%0.05%0.05%13.50$87623.94%
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts28.00%3.13%0.08%0.08%12.11-$9,69836.39%
VIGVanguard Dividend Appreciation ETFLarge Blend5.00%1.75%1.85%0.06%0.06%20.84$26,7993.53%
XLEEnergy Select Sector SPDR ETFEquity Energy5.00%2.89%3.35%0.10%0.10%17.28$7,4725.13%
MUBiShares National Muni Bond ETFMuni National Interm5.00%2.58%1.92%0.07%0.07%5.37$14,6300.27%
100.00%0.84%2.45%0.06%0.06%15.865.37$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
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%1.36%1.42%0.04%0.04%19.44$688,869100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/18/2022. (c) 2022 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%
Standard Deviation (monthly)5.28%5.07%4.72%
Standard Deviation (annualized)18.28%17.57%16.36%
Downside Deviation (monthly)3.74%3.55%3.28%
Maximum Drawdown-52.24%-49.34%-48.23%
Stock 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%)-9.30%-8.13%-7.95%
Analytical Value-at-Risk (5%)-8.24%-7.98%-7.06%
Conditional Value-at-Risk (5%)-11.96%-11.26%-10.30%
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 RatioMarket 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

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard Total Stock Market ETF4.23%12.83%12.83%8.42%14.64%0.03%0.03%
Vanguard Value ETF7.70%17.12%17.12%9.48%15.01%0.04%0.04%
Vanguard Mid-Cap Value ETF4.52%15.40%15.40%8.86%15.57%0.07%0.07%
Vanguard Small-Cap Value ETF10.06%24.90%24.90%9.56%16.40%0.07%0.07%
Vanguard FTSE Developed Markets ETF-1.52%2.67%2.67%-1.29%6.79%0.05%0.05%
Vanguard FTSE Emerging Markets ETF-4.46%12.21%12.21%-1.90%1.36%0.08%0.08%
Vanguard Dividend Appreciation ETF2.17%11.97%11.97%6.52%11.70%0.06%0.06%
Energy Select Sector SPDR ETF7.23%28.02%28.02%-2.82%4.04%0.10%0.10%
iShares National Muni Bond ETF-3.39%-0.17%-0.17%3.96%2.67%0.07%0.07%
Vanguard Total Stock Mkt Idx Adm4.12%12.66%12.66%8.38%14.62%0.04%0.04%
Trailing returns as of last calendar month ending December 2016

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
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

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%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.29%63.45%-48.09%6.96%62.05%-45.31%10.91%56.46%-43.15%
3 years9.20%25.09%-3.01%8.54%25.81%-0.99%13.61%26.75%-1.63%
5 years9.29%20.87%-0.13%8.51%19.46%1.08%13.77%24.00%2.29%
7 years8.32%13.48%3.52%7.83%12.36%3.67%12.54%17.42%7.72%