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 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%)
0.510.731.00
* The number in parenthesis shows the calculated value taking into account the percentage based periodic withdrawals.
   
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
  • 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 (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
  • 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

Portfolio Returns Based Style Analysis

Portfolio 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.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTIVanguard Total Stock Market ETFLarge Blend18.00%$100,99815.53%Asset Allocation, Capitalization, Sector
VTVVanguard Value ETFLarge Value18.00%$93,52615.18%Asset Allocation, Capitalization, Sector
VOEVanguard Mid-Cap Value ETFMid-Cap Value5.00%$34,3024.81%Asset Allocation, Capitalization, Sector
VBRVanguard Small-Cap Value ETFSmall Value5.00%$35,9145.15%Asset Allocation, Capitalization, Sector
VEAVanguard FTSE Developed Markets ETFForeign Large Blend41.00%-$5,47543.67%Asset Allocation, Capitalization, Sector
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts13.00%-$4,99315.68%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTIVanguard Total Stock Market ETFLarge Blend35.00%$207,70430.75%Asset Allocation, Capitalization, Sector
VEAVanguard FTSE Developed Markets ETFForeign Large Blend22.00%$87623.94%Asset Allocation, Capitalization, Sector
VWOVanguard FTSE Emerging Markets ETFDiversified Emerging Mkts28.00%-$9,69836.39%Asset Allocation, Capitalization, Sector
VIGVanguard Dividend Appreciation ETFLarge Blend5.00%$26,7993.53%Asset Allocation, Capitalization, Sector
XLEEnergy Select Sector SPDR ETFEquity Energy5.00%$7,4725.13%Asset Allocation, Capitalization, Sector
MUBiShares National Muni Bond ETFMuni National Interm5.00%$14,6300.27%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%$688,869100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/06/2018. © 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 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%90.30%100.00%
Sharpe Ratio0.270.260.51
Sortino Ratio0.380.370.73
Treynor Ratio (%)4.564.528.28
Information Ratio-0.66-0.651.71
Diversification Ratio1.051.081.00
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
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 monthsMay 20145 years 3 months6 years 5 months-54.15%
2Sep 2014Feb 20161 year 6 months-18.90%
3Jul 2014Jul 20141 monthAug 20141 month2 months-1.74%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsMay 20145 years 3 months6 years 5 months-51.36%
2Sep 2014Feb 20161 year 6 months-21.51%
3Jul 2014Jul 20141 monthAug 20141 month2 months-1.16%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsMar 20134 years 1 month5 years 3 months-50.30%
2Dec 2014Feb 20161 year 3 monthsSep 20167 months1 year 10 months-12.74%
3Dec 2013Jan 20142 monthsFeb 20141 month3 months-4.51%
4Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
5Oct 2016Oct 20161 monthNov 20161 month2 months-2.21%
6Dec 2016Dec 20161 month-2.14%
7Sep 2014Sep 20141 monthOct 20141 month2 months-2.11%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.98%
9Jun 2013Jun 20131 monthJul 20131 month2 months-1.24%

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%0.510.731.00
VTVVanguard Value ETF6.69%16.22%33.10%-35.87%-50.72%0.470.660.98
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%0.540.790.95
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%0.550.800.97
XLEEnergy Select Sector SPDR ETF1.42%22.76%28.02%-38.97%-53.13%0.170.230.75
MUBiShares National Muni Bond ETF3.79%5.59%12.98%-3.44%-8.79%0.651.010.12
VTSAXVanguard Total Stock Mkt Idx Adm7.41%16.36%33.52%-36.99%-48.23%0.510.731.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVTVVOEVBRVEAVWOVIGXLEMUBVTSAXPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF-0.980.980.950.900.820.960.750.121.000.970.951.00
VTVVanguard Value ETF0.98-0.960.940.890.780.960.720.100.980.950.920.98
VOEVanguard Mid-Cap Value ETF0.980.96-0.980.880.810.930.720.180.980.950.930.98
VBRVanguard Small-Cap Value ETF0.950.940.98-0.830.770.910.690.110.950.910.890.95
VEAVanguard FTSE Developed Markets ETF0.900.890.880.83-0.890.870.730.200.900.980.970.90
VWOVanguard FTSE Emerging Markets ETF0.820.780.810.770.89-0.780.740.180.820.910.950.82
VIGVanguard Dividend Appreciation ETF0.960.960.930.910.870.78-0.720.140.970.930.910.97
XLEEnergy Select Sector SPDR ETF0.750.720.720.690.730.740.72--0.090.750.760.800.75
MUBiShares National Muni Bond ETF0.120.100.180.110.200.180.14-0.09-0.120.170.170.12
VTSAXVanguard Total Stock Mkt Idx Adm1.000.980.980.950.900.820.970.750.12-0.970.951.00

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