This 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.
| Ticker | Name | Allocation |
|---|---|---|
| VBMFX | Vanguard Total Bond Market Index Inv | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $60,306 | 5.78% | 3.81% | 18.18% | -2.66% | -5.86% | 0.70 | 1.11 | 0.07 |
| Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total Bond Market Index Inv (VBMFX) |
|---|---|---|---|---|
| 1987 | 4.43% | 1.54% | $10,154 | 1.54% |
| 1988 | 4.42% | 7.35% | $10,900 | 7.35% |
| 1989 | 4.65% | 13.64% | $12,387 | 13.64% |
| 1990 | 6.11% | 8.65% | $13,459 | 8.65% |
| 1991 | 3.06% | 15.25% | $15,511 | 15.25% |
| 1992 | 2.90% | 7.14% | $16,619 | 7.14% |
| 1993 | 2.75% | 9.68% | $18,228 | 9.68% |
| 1994 | 2.67% | -2.66% | $17,743 | -2.66% |
| 1995 | 2.54% | 18.18% | $20,969 | 18.18% |
| 1996 | 3.32% | 3.58% | $21,721 | 3.58% |
| 1997 | 1.70% | 9.44% | $23,772 | 9.44% |
| 1998 | 1.61% | 8.58% | $25,812 | 8.58% |
| 1999 | 2.68% | -0.76% | $25,616 | -0.76% |
| 2000 | 3.39% | 11.39% | $28,534 | 11.39% |
| 2001 | 1.55% | 8.43% | $30,939 | 8.43% |
| 2002 | 2.38% | 8.26% | $33,493 | 8.26% |
| 2003 | 1.88% | 3.97% | $34,824 | 3.97% |
| 2004 | 3.26% | 4.24% | $36,300 | 4.24% |
| 2005 | 3.42% | 2.40% | $37,169 | 2.40% |
| 2006 | 2.54% | 4.27% | $38,756 | 4.27% |
| 2007 | 4.08% | 6.92% | $41,438 | 6.92% |
| 2008 | 0.09% | 5.05% | $43,532 | 5.05% |
| 2009 | 2.72% | 5.93% | $46,116 | 5.93% |
| 2010 | 1.50% | 6.42% | $49,077 | 6.42% |
| 2011 | 2.96% | 7.56% | $52,786 | 7.56% |
| 2012 | 1.74% | 4.05% | $54,923 | 4.05% |
| 2013 | 1.50% | -2.26% | $53,680 | -2.26% |
| 2014 | 0.76% | 5.76% | $56,771 | 5.76% |
| 2015 | 0.73% | 0.30% | $56,941 | 0.30% |
| 2016 | 2.07% | 2.50% | $58,363 | 2.50% |
| 2017 | 2.11% | 3.46% | $60,383 | 3.46% |
| 2018 | 1.91% | -0.13% | $60,306 | -0.13% |
| Year | Month | Portfolio 1 Return | Portfolio 1 Balance | Vanguard Total Bond Market Index Inv (VBMFX) |
|---|---|---|---|---|
| 1987 | 1 | 1.29% | $10,129 | 1.29% |
| 1987 | 2 | 0.54% | $10,185 | 0.54% |
| 1987 | 3 | -0.64% | $10,119 | -0.64% |
| 1987 | 4 | -3.20% | $9,796 | -3.20% |
| 1987 | 5 | -0.39% | $9,757 | -0.39% |
| 1987 | 6 | 1.42% | $9,896 | 1.42% |
| 1987 | 7 | -0.11% | $9,885 | -0.11% |
| 1987 | 8 | -0.77% | $9,808 | -0.77% |
| 1987 | 9 | -2.25% | $9,587 | -2.25% |
| 1987 | 10 | 3.50% | $9,922 | 3.50% |
| 1987 | 11 | 0.69% | $9,991 | 0.69% |
| 1987 | 12 | 1.62% | $10,154 | 1.62% |
| 1988 | 1 | 3.09% | $10,467 | 3.09% |
| 1988 | 2 | 1.19% | $10,592 | 1.19% |
| 1988 | 3 | -1.15% | $10,470 | -1.15% |
| 1988 | 4 | -0.56% | $10,412 | -0.56% |
| 1988 | 5 | -0.96% | $10,312 | -0.96% |
| 1988 | 6 | 2.68% | $10,588 | 2.68% |
| 1988 | 7 | -0.48% | $10,538 | -0.48% |
| 1988 | 8 | 0.18% | $10,557 | 0.18% |
| 1988 | 9 | 2.19% | $10,788 | 2.19% |
| 1988 | 10 | 1.46% | $10,946 | 1.46% |
| 1988 | 11 | -0.86% | $10,851 | -0.86% |
| 1988 | 12 | 0.45% | $10,900 | 0.45% |
| 1989 | 1 | 0.87% | $10,995 | 0.87% |
| 1989 | 2 | -0.62% | $10,927 | -0.62% |
| 1989 | 3 | 0.26% | $10,955 | 0.26% |
| 1989 | 4 | 1.98% | $11,172 | 1.98% |
| 1989 | 5 | 2.54% | $11,456 | 2.54% |
| 1989 | 6 | 2.93% | $11,792 | 2.93% |
| 1989 | 7 | 2.19% | $12,049 | 2.19% |
| 1989 | 8 | -1.60% | $11,856 | -1.60% |
| 1989 | 9 | 0.47% | $11,912 | 0.47% |
| 1989 | 10 | 2.46% | $12,205 | 2.46% |
| 1989 | 11 | 0.75% | $12,297 | 0.75% |
| 1989 | 12 | 0.74% | $12,387 | 0.74% |
| 1990 | 1 | -1.89% | $12,153 | -1.89% |
| 1990 | 2 | 0.75% | $12,245 | 0.75% |
| 1990 | 3 | 0.08% | $12,254 | 0.08% |
| 1990 | 4 | -0.90% | $12,143 | -0.90% |
| 1990 | 5 | 2.86% | $12,491 | 2.86% |
| 1990 | 6 | 1.60% | $12,690 | 1.60% |
| 1990 | 7 | 1.27% | $12,851 | 1.27% |
| 1990 | 8 | -1.21% | $12,695 | -1.21% |
| 1990 | 9 | 0.72% | $12,786 | 0.72% |
| 1990 | 10 | 1.49% | $12,977 | 1.49% |
| 1990 | 11 | 2.23% | $13,266 | 2.23% |
| 1990 | 12 | 1.45% | $13,459 | 1.45% |
| 1991 | 1 | 1.12% | $13,609 | 1.12% |
| 1991 | 2 | 0.78% | $13,715 | 0.78% |
| 1991 | 3 | 0.69% | $13,810 | 0.69% |
| 1991 | 4 | 0.99% | $13,946 | 0.99% |
| 1991 | 5 | 0.68% | $14,041 | 0.68% |
| 1991 | 6 | -0.06% | $14,032 | -0.06% |
| 1991 | 7 | 1.32% | $14,217 | 1.32% |
| 1991 | 8 | 2.05% | $14,508 | 2.05% |
| 1991 | 9 | 2.01% | $14,800 | 2.01% |
| 1991 | 10 | 0.96% | $14,942 | 0.96% |
| 1991 | 11 | 0.74% | $15,053 | 0.74% |
| 1991 | 12 | 3.04% | $15,511 | 3.04% |
| 1992 | 1 | -1.39% | $15,296 | -1.39% |
| 1992 | 2 | 0.62% | $15,390 | 0.62% |
| 1992 | 3 | -0.50% | $15,313 | -0.50% |
| 1992 | 4 | 0.71% | $15,422 | 0.71% |
| 1992 | 5 | 1.84% | $15,706 | 1.84% |
| 1992 | 6 | 1.31% | $15,913 | 1.31% |
| 1992 | 7 | 1.91% | $16,217 | 1.91% |
| 1992 | 8 | 0.98% | $16,376 | 0.98% |
| 1992 | 9 | 1.26% | $16,583 | 1.26% |
| 1992 | 10 | -1.22% | $16,381 | -1.22% |
| 1992 | 11 | -0.02% | $16,377 | -0.02% |
| 1992 | 12 | 1.48% | $16,619 | 1.48% |
| 1993 | 1 | 1.79% | $16,915 | 1.79% |
| 1993 | 2 | 1.96% | $17,248 | 1.96% |
| 1993 | 3 | 0.37% | $17,311 | 0.37% |
| 1993 | 4 | 0.74% | $17,440 | 0.74% |
| 1993 | 5 | 0.14% | $17,464 | 0.14% |
| 1993 | 6 | 1.80% | $17,778 | 1.80% |
| 1993 | 7 | 0.61% | $17,887 | 0.61% |
| 1993 | 8 | 1.69% | $18,189 | 1.69% |
| 1993 | 9 | 0.40% | $18,262 | 0.40% |
| 1993 | 10 | 0.30% | $18,317 | 0.30% |
| 1993 | 11 | -0.97% | $18,140 | -0.97% |
| 1993 | 12 | 0.48% | $18,228 | 0.48% |
| 1994 | 1 | 1.39% | $18,481 | 1.39% |
| 1994 | 2 | -1.78% | $18,151 | -1.78% |
| 1994 | 3 | -2.30% | $17,734 | -2.30% |
| 1994 | 4 | -0.83% | $17,587 | -0.83% |
| 1994 | 5 | 0.00% | $17,588 | 0.00% |
| 1994 | 6 | -0.18% | $17,555 | -0.18% |
| 1994 | 7 | 1.84% | $17,879 | 1.84% |
| 1994 | 8 | 0.14% | $17,905 | 0.14% |
| 1994 | 9 | -1.44% | $17,646 | -1.44% |
| 1994 | 10 | -0.07% | $17,634 | -0.07% |
| 1994 | 11 | -0.18% | $17,602 | -0.18% |
| 1994 | 12 | 0.80% | $17,743 | 0.80% |
| 1995 | 1 | 1.90% | $18,080 | 1.90% |
| 1995 | 2 | 2.17% | $18,473 | 2.17% |
| 1995 | 3 | 0.67% | $18,598 | 0.67% |
| 1995 | 4 | 1.31% | $18,842 | 1.31% |
| 1995 | 5 | 3.95% | $19,586 | 3.95% |
| 1995 | 6 | 0.66% | $19,715 | 0.66% |
| 1995 | 7 | -0.25% | $19,664 | -0.25% |
| 1995 | 8 | 1.18% | $19,896 | 1.18% |
| 1995 | 9 | 0.95% | $20,085 | 0.95% |
| 1995 | 10 | 1.47% | $20,379 | 1.47% |
| 1995 | 11 | 1.44% | $20,672 | 1.44% |
| 1995 | 12 | 1.44% | $20,969 | 1.44% |
| 1996 | 1 | 0.63% | $21,101 | 0.63% |
| 1996 | 2 | -1.76% | $20,730 | -1.76% |
| 1996 | 3 | -0.77% | $20,570 | -0.77% |
| 1996 | 4 | -0.49% | $20,469 | -0.49% |
| 1996 | 5 | -0.17% | $20,434 | -0.17% |
| 1996 | 6 | 1.27% | $20,694 | 1.27% |
| 1996 | 7 | 0.25% | $20,746 | 0.25% |
| 1996 | 8 | -0.16% | $20,712 | -0.16% |
| 1996 | 9 | 1.70% | $21,064 | 1.70% |
| 1996 | 10 | 2.21% | $21,529 | 2.21% |
| 1996 | 11 | 1.76% | $21,908 | 1.76% |
| 1996 | 12 | -0.85% | $21,721 | -0.85% |
| 1997 | 1 | 0.25% | $21,774 | 0.25% |
| 1997 | 2 | 0.11% | $21,799 | 0.11% |
| 1997 | 3 | -0.97% | $21,587 | -0.97% |
| 1997 | 4 | 1.49% | $21,908 | 1.49% |
| 1997 | 5 | 0.87% | $22,099 | 0.87% |
| 1997 | 6 | 1.16% | $22,356 | 1.16% |
| 1997 | 7 | 2.80% | $22,983 | 2.80% |
| 1997 | 8 | -0.85% | $22,787 | -0.85% |
| 1997 | 9 | 1.45% | $23,117 | 1.45% |
| 1997 | 10 | 1.45% | $23,451 | 1.45% |
| 1997 | 11 | 0.33% | $23,528 | 0.33% |
| 1997 | 12 | 1.04% | $23,772 | 1.04% |
| 1998 | 1 | 1.32% | $24,086 | 1.32% |
| 1998 | 2 | -0.10% | $24,063 | -0.10% |
| 1998 | 3 | 0.33% | $24,141 | 0.33% |
| 1998 | 4 | 0.51% | $24,265 | 0.51% |
| 1998 | 5 | 1.02% | $24,512 | 1.02% |
| 1998 | 6 | 0.81% | $24,710 | 0.81% |
| 1998 | 7 | 0.23% | $24,766 | 0.23% |
| 1998 | 8 | 1.90% | $25,236 | 1.90% |
| 1998 | 9 | 1.96% | $25,731 | 1.96% |
| 1998 | 10 | -0.55% | $25,588 | -0.55% |
| 1998 | 11 | 0.49% | $25,713 | 0.49% |
| 1998 | 12 | 0.38% | $25,812 | 0.38% |
| 1999 | 1 | 0.79% | $26,016 | 0.79% |
| 1999 | 2 | -1.77% | $25,557 | -1.77% |
| 1999 | 3 | 0.56% | $25,700 | 0.56% |
| 1999 | 4 | 0.40% | $25,803 | 0.40% |
| 1999 | 5 | -0.88% | $25,576 | -0.88% |
| 1999 | 6 | -0.50% | $25,449 | -0.50% |
| 1999 | 7 | -0.39% | $25,350 | -0.39% |
| 1999 | 8 | -0.08% | $25,330 | -0.08% |
| 1999 | 9 | 1.26% | $25,649 | 1.26% |
| 1999 | 10 | 0.33% | $25,734 | 0.33% |
| 1999 | 11 | 0.02% | $25,739 | 0.02% |
| 1999 | 12 | -0.48% | $25,616 | -0.48% |
| 2000 | 1 | -0.17% | $25,571 | -0.17% |
| 2000 | 2 | 1.18% | $25,872 | 1.18% |
| 2000 | 3 | 1.40% | $26,235 | 1.40% |
| 2000 | 4 | -0.49% | $26,107 | -0.49% |
| 2000 | 5 | -0.16% | $26,064 | -0.16% |
| 2000 | 6 | 2.15% | $26,624 | 2.15% |
| 2000 | 7 | 0.88% | $26,859 | 0.88% |
| 2000 | 8 | 1.40% | $27,234 | 1.40% |
| 2000 | 9 | 0.76% | $27,441 | 0.76% |
| 2000 | 10 | 0.57% | $27,597 | 0.57% |
| 2000 | 11 | 1.58% | $28,033 | 1.58% |
| 2000 | 12 | 1.79% | $28,534 | 1.79% |
| 2001 | 1 | 1.76% | $29,036 | 1.76% |
| 2001 | 2 | 0.91% | $29,300 | 0.91% |
| 2001 | 3 | 0.54% | $29,458 | 0.54% |
| 2001 | 4 | -0.46% | $29,321 | -0.46% |
| 2001 | 5 | 0.73% | $29,536 | 0.73% |
| 2001 | 6 | 0.52% | $29,691 | 0.52% |
| 2001 | 7 | 2.23% | $30,353 | 2.23% |
| 2001 | 8 | 1.11% | $30,689 | 1.11% |
| 2001 | 9 | 0.89% | $30,964 | 0.89% |
| 2001 | 10 | 1.86% | $31,540 | 1.86% |
| 2001 | 11 | -1.34% | $31,118 | -1.34% |
| 2001 | 12 | -0.58% | $30,939 | -0.58% |
| 2002 | 1 | 0.69% | $31,152 | 0.69% |
| 2002 | 2 | 0.85% | $31,417 | 0.85% |
| 2002 | 3 | -1.46% | $30,958 | -1.46% |
| 2002 | 4 | 1.69% | $31,482 | 1.69% |
| 2002 | 5 | 0.80% | $31,734 | 0.80% |
| 2002 | 6 | 0.29% | $31,826 | 0.29% |
| 2002 | 7 | 0.48% | $31,980 | 0.48% |
| 2002 | 8 | 1.66% | $32,511 | 1.66% |
| 2002 | 9 | 1.53% | $33,008 | 1.53% |
| 2002 | 10 | -0.61% | $32,806 | -0.61% |
| 2002 | 11 | 0.02% | $32,814 | 0.02% |
| 2002 | 12 | 2.07% | $33,493 | 2.07% |
| 2003 | 1 | 0.05% | $33,511 | 0.05% |
| 2003 | 2 | 1.38% | $33,972 | 1.38% |
| 2003 | 3 | -0.13% | $33,929 | -0.13% |
| 2003 | 4 | 0.87% | $34,223 | 0.87% |
| 2003 | 5 | 1.82% | $34,847 | 1.82% |
| 2003 | 6 | -0.13% | $34,800 | -0.13% |
| 2003 | 7 | -3.34% | $33,638 | -3.34% |
| 2003 | 8 | 0.61% | $33,844 | 0.61% |
| 2003 | 9 | 2.71% | $34,760 | 2.71% |
| 2003 | 10 | -0.96% | $34,426 | -0.96% |
| 2003 | 11 | 0.27% | $34,520 | 0.27% |
| 2003 | 12 | 0.88% | $34,824 | 0.88% |
| 2004 | 1 | 0.86% | $35,125 | 0.86% |
| 2004 | 2 | 1.03% | $35,487 | 1.03% |
| 2004 | 3 | 0.80% | $35,770 | 0.80% |
| 2004 | 4 | -2.61% | $34,835 | -2.61% |
| 2004 | 5 | -0.43% | $34,686 | -0.43% |
| 2004 | 6 | 0.56% | $34,880 | 0.56% |
| 2004 | 7 | 0.96% | $35,216 | 0.96% |
| 2004 | 8 | 1.94% | $35,900 | 1.94% |
| 2004 | 9 | 0.16% | $35,957 | 0.16% |
| 2004 | 10 | 0.85% | $36,262 | 0.85% |
| 2004 | 11 | -0.81% | $35,970 | -0.81% |
| 2004 | 12 | 0.92% | $36,300 | 0.92% |
| 2005 | 1 | 0.65% | $36,537 | 0.65% |
| 2005 | 2 | -0.63% | $36,308 | -0.63% |
| 2005 | 3 | -0.49% | $36,130 | -0.49% |
| 2005 | 4 | 1.35% | $36,619 | 1.35% |
| 2005 | 5 | 1.05% | $37,005 | 1.05% |
| 2005 | 6 | 0.55% | $37,209 | 0.55% |
| 2005 | 7 | -0.99% | $36,840 | -0.99% |
| 2005 | 8 | 1.36% | $37,339 | 1.36% |
| 2005 | 9 | -1.10% | $36,929 | -1.10% |
| 2005 | 10 | -0.81% | $36,630 | -0.81% |
| 2005 | 11 | 0.48% | $36,805 | 0.48% |
| 2005 | 12 | 0.99% | $37,169 | 0.99% |
| 2006 | 1 | -0.11% | $37,130 | -0.11% |
| 2006 | 2 | 0.37% | $37,269 | 0.37% |
| 2006 | 3 | -1.00% | $36,897 | -1.00% |
| 2006 | 4 | -0.21% | $36,820 | -0.21% |
| 2006 | 5 | -0.09% | $36,785 | -0.09% |
| 2006 | 6 | 0.10% | $36,823 | 0.10% |
| 2006 | 7 | 1.35% | $37,319 | 1.35% |
| 2006 | 8 | 1.64% | $37,932 | 1.64% |
| 2006 | 9 | 0.81% | $38,240 | 0.81% |
| 2006 | 10 | 0.72% | $38,515 | 0.72% |
| 2006 | 11 | 1.11% | $38,942 | 1.11% |
| 2006 | 12 | -0.48% | $38,756 | -0.48% |
| 2007 | 1 | -0.08% | $38,724 | -0.08% |
| 2007 | 2 | 1.50% | $39,307 | 1.50% |
| 2007 | 3 | 0.02% | $39,316 | 0.02% |
| 2007 | 4 | 0.51% | $39,517 | 0.51% |
| 2007 | 5 | -0.78% | $39,210 | -0.78% |
| 2007 | 6 | -0.39% | $39,058 | -0.39% |
| 2007 | 7 | 0.84% | $39,385 | 0.84% |
| 2007 | 8 | 1.34% | $39,914 | 1.34% |
| 2007 | 9 | 0.72% | $40,202 | 0.72% |
| 2007 | 10 | 0.93% | $40,574 | 0.93% |
| 2007 | 11 | 1.91% | $41,349 | 1.91% |
| 2007 | 12 | 0.22% | $41,438 | 0.22% |
| 2008 | 1 | 1.69% | $42,138 | 1.69% |
| 2008 | 2 | 0.19% | $42,218 | 0.19% |
| 2008 | 3 | 0.30% | $42,343 | 0.30% |
| 2008 | 4 | -0.30% | $42,216 | -0.30% |
| 2008 | 5 | -0.79% | $41,884 | -0.79% |
| 2008 | 6 | -0.01% | $41,881 | -0.01% |
| 2008 | 7 | 0.00% | $41,882 | 0.00% |
| 2008 | 8 | 0.70% | $42,175 | 0.70% |
| 2008 | 9 | -1.10% | $41,709 | -1.10% |
| 2008 | 10 | -2.53% | $40,652 | -2.53% |
| 2008 | 11 | 3.64% | $42,132 | 3.64% |
| 2008 | 12 | 3.32% | $43,532 | 3.32% |
| 2009 | 1 | -0.70% | $43,229 | -0.70% |
| 2009 | 2 | -0.42% | $43,046 | -0.42% |
| 2009 | 3 | 1.48% | $43,683 | 1.48% |
| 2009 | 4 | 0.36% | $43,839 | 0.36% |
| 2009 | 5 | 0.85% | $44,212 | 0.85% |
| 2009 | 6 | 0.54% | $44,450 | 0.54% |
| 2009 | 7 | 1.43% | $45,084 | 1.43% |
| 2009 | 8 | 1.01% | $45,542 | 1.01% |
| 2009 | 9 | 1.19% | $46,083 | 1.19% |
| 2009 | 10 | 0.41% | $46,272 | 0.41% |
| 2009 | 11 | 1.36% | $46,902 | 1.36% |
| 2009 | 12 | -1.68% | $46,116 | -1.68% |
| 2010 | 1 | 1.57% | $46,840 | 1.57% |
| 2010 | 2 | 0.20% | $46,932 | 0.20% |
| 2010 | 3 | -0.08% | $46,895 | -0.08% |
| 2010 | 4 | 1.06% | $47,392 | 1.06% |
| 2010 | 5 | 0.87% | $47,805 | 0.87% |
| 2010 | 6 | 1.61% | $48,575 | 1.61% |
| 2010 | 7 | 0.94% | $49,030 | 0.94% |
| 2010 | 8 | 1.48% | $49,756 | 1.48% |
| 2010 | 9 | -0.01% | $49,750 | -0.01% |
| 2010 | 10 | 0.36% | $49,930 | 0.36% |
| 2010 | 11 | -0.57% | $49,646 | -0.57% |
| 2010 | 12 | -1.15% | $49,077 | -1.15% |
| 2011 | 1 | 0.08% | $49,117 | 0.08% |
| 2011 | 2 | 0.16% | $49,198 | 0.16% |
| 2011 | 3 | -0.01% | $49,195 | -0.01% |
| 2011 | 4 | 1.32% | $49,843 | 1.32% |
| 2011 | 5 | 1.30% | $50,493 | 1.30% |
| 2011 | 6 | -0.39% | $50,297 | -0.39% |
| 2011 | 7 | 1.58% | $51,089 | 1.58% |
| 2011 | 8 | 1.46% | $51,837 | 1.46% |
| 2011 | 9 | 0.89% | $52,300 | 0.89% |
| 2011 | 10 | 0.16% | $52,383 | 0.16% |
| 2011 | 11 | -0.30% | $52,224 | -0.30% |
| 2011 | 12 | 1.08% | $52,786 | 1.08% |
| 2012 | 1 | 0.87% | $53,247 | 0.87% |
| 2012 | 2 | -0.05% | $53,223 | -0.05% |
| 2012 | 3 | -0.58% | $52,912 | -0.58% |
| 2012 | 4 | 1.14% | $53,515 | 1.14% |
| 2012 | 5 | 0.95% | $54,022 | 0.95% |
| 2012 | 6 | 0.04% | $54,042 | 0.04% |
| 2012 | 7 | 1.39% | $54,791 | 1.39% |
| 2012 | 8 | 0.03% | $54,808 | 0.03% |
| 2012 | 9 | 0.11% | $54,867 | 0.11% |
| 2012 | 10 | 0.11% | $54,928 | 0.11% |
| 2012 | 11 | 0.19% | $55,033 | 0.19% |
| 2012 | 12 | -0.20% | $54,923 | -0.20% |
| 2013 | 1 | -0.71% | $54,531 | -0.71% |
| 2013 | 2 | 0.54% | $54,827 | 0.54% |
| 2013 | 3 | 0.08% | $54,873 | 0.08% |
| 2013 | 4 | 0.91% | $55,374 | 0.91% |
| 2013 | 5 | -1.71% | $54,427 | -1.71% |
| 2013 | 6 | -1.65% | $53,527 | -1.65% |
| 2013 | 7 | 0.20% | $53,633 | 0.20% |
| 2013 | 8 | -0.64% | $53,289 | -0.64% |
| 2013 | 9 | 0.96% | $53,801 | 0.96% |
| 2013 | 10 | 0.78% | $54,219 | 0.78% |
| 2013 | 11 | -0.35% | $54,030 | -0.35% |
| 2013 | 12 | -0.65% | $53,680 | -0.65% |
| 2014 | 1 | 1.54% | $54,509 | 1.54% |
| 2014 | 2 | 0.48% | $54,770 | 0.48% |
| 2014 | 3 | -0.15% | $54,688 | -0.15% |
| 2014 | 4 | 0.77% | $55,110 | 0.77% |
| 2014 | 5 | 1.05% | $55,688 | 1.05% |
| 2014 | 6 | 0.11% | $55,749 | 0.11% |
| 2014 | 7 | -0.26% | $55,606 | -0.26% |
| 2014 | 8 | 1.13% | $56,234 | 1.13% |
| 2014 | 9 | -0.72% | $55,827 | -0.72% |
| 2014 | 10 | 0.94% | $56,353 | 0.94% |
| 2014 | 11 | 0.65% | $56,720 | 0.65% |
| 2014 | 12 | 0.09% | $56,771 | 0.09% |
| 2015 | 1 | 2.31% | $58,083 | 2.31% |
| 2015 | 2 | -1.08% | $57,455 | -1.08% |
| 2015 | 3 | 0.41% | $57,689 | 0.41% |
| 2015 | 4 | -0.36% | $57,480 | -0.36% |
| 2015 | 5 | -0.45% | $57,222 | -0.45% |
| 2015 | 6 | -1.01% | $56,644 | -1.01% |
| 2015 | 7 | 0.76% | $57,075 | 0.76% |
| 2015 | 8 | -0.36% | $56,872 | -0.36% |
| 2015 | 9 | 0.76% | $57,303 | 0.76% |
| 2015 | 10 | 0.01% | $57,311 | 0.01% |
| 2015 | 11 | -0.27% | $57,157 | -0.27% |
| 2015 | 12 | -0.38% | $56,941 | -0.38% |
| 2016 | 1 | 1.43% | $57,754 | 1.43% |
| 2016 | 2 | 0.66% | $58,136 | 0.66% |
| 2016 | 3 | 0.94% | $58,684 | 0.94% |
| 2016 | 4 | 0.38% | $58,906 | 0.38% |
| 2016 | 5 | 0.01% | $58,915 | 0.01% |
| 2016 | 6 | 1.94% | $60,056 | 1.94% |
| 2016 | 7 | 0.64% | $60,441 | 0.64% |
| 2016 | 8 | -0.17% | $60,339 | -0.17% |
| 2016 | 9 | -0.09% | $60,288 | -0.09% |
| 2016 | 10 | -0.81% | $59,801 | -0.81% |
| 2016 | 11 | -2.64% | $58,220 | -2.64% |
| 2016 | 12 | 0.24% | $58,363 | 0.24% |
| 2017 | 1 | 0.29% | $58,535 | 0.29% |
| 2017 | 2 | 0.66% | $58,921 | 0.66% |
| 2017 | 3 | -0.07% | $58,879 | -0.07% |
| 2017 | 4 | 0.76% | $59,328 | 0.76% |
| 2017 | 5 | 0.67% | $59,725 | 0.67% |
| 2017 | 6 | 0.01% | $59,734 | 0.01% |
| 2017 | 7 | 0.39% | $59,966 | 0.39% |
| 2017 | 8 | 0.85% | $60,478 | 0.85% |
| 2017 | 9 | -0.54% | $60,152 | -0.54% |
| 2017 | 10 | 0.11% | $60,219 | 0.11% |
| 2017 | 11 | -0.17% | $60,116 | -0.17% |
| 2017 | 12 | 0.44% | $60,383 | 0.44% |
| 2018 | 1 | -1.09% | $59,722 | -1.09% |
| 2018 | 2 | -1.03% | $59,109 | -1.03% |
| 2018 | 3 | 0.63% | $59,479 | 0.63% |
| 2018 | 4 | -0.83% | $58,985 | -0.83% |
| 2018 | 5 | 0.61% | $59,344 | 0.61% |
| 2018 | 6 | 0.03% | $59,361 | 0.03% |
| 2018 | 7 | 0.03% | $59,381 | 0.03% |
| 2018 | 8 | 0.52% | $59,687 | 0.52% |
| 2018 | 9 | -0.54% | $59,363 | -0.54% |
| 2018 | 10 | -0.73% | $58,930 | -0.73% |
| 2018 | 11 | 0.53% | $59,241 | 0.53% |
| 2018 | 12 | 1.80% | $60,306 | 1.80% |
| Style Category | Portfolio 1 |
|---|---|
| Large-cap Value | 0.00% |
| Large-cap Growth | 2.06% |
| Mid-cap Value | 0.00% |
| Mid-cap Growth | 0.00% |
| Small-cap Value | 0.00% |
| Small-cap Growth | 0.00% |
| Global ex-US Developed Markets | 0.00% |
| Emerging Markets | 1.83% |
| Corporate Bonds | 13.62% |
| Long-Term Treasuries | 2.12% |
| Intermediate-Term Treasuries | 30.10% |
| Short-Term Treasuries | 50.27% |
| R Squared | 90.82% |
| Style analysis is based on monthly returns from Apr 2005 to Dec 2018 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. | |
| Ticker | Name | Category | Duration | ER | Weight | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| VBMFX | Vanguard Total Bond Market Index Inv | Intermediate Core Bond | 6.00 | 0.15% | 100.00% | $50,306 | 100.00% |
Fund fundamentals data as of 07/03/2019. © 2019 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.
| Metric | Portfolio 1 |
|---|---|
| Arithmetic Mean (monthly) | 0.48% |
| Arithmetic Mean (annualized) | 5.85% |
| Geometric Mean (monthly) | 0.47% |
| Geometric Mean (annualized) | 5.78% |
| Volatility (monthly) | 1.10% |
| Volatility (annualized) | 3.81% |
| Downside Deviation (monthly) | 0.57% |
| Max. Drawdown | -5.86% |
| US Market Correlation | 0.07 |
| Beta(*) | 0.02 |
| Alpha (annualized) | 5.52% |
| R2 | 0.43% |
| Sharpe Ratio | 0.70 |
| Sortino Ratio | 1.11 |
| Treynor Ratio (%) | 157.51 |
| Calmar Ratio | 0.53 |
| Active Return | -3.99% |
| Tracking Error | 15.22% |
| Information Ratio | -0.26 |
| Skewness | -0.16 |
| Excess Kurtosis | 0.73 |
| Historical Value-at-Risk (5%) | -1.31% |
| Analytical Value-at-Risk (5%) | -1.34% |
| Conditional Value-at-Risk (5%) | -2.02% |
| Upside Capture Ratio (%) | 14.99 |
| Downside Capture Ratio (%) | -9.82 |
| Safe Withdrawal Rate | 5.48% |
| Perpetual Withdrawal Rate | 3.00% |
| Positive Periods | 264 out of 384 (68.75%) |
| Gain/Loss Ratio | 1.37 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |
| Stress Period | Start | End | Portfolio 1 |
|---|---|---|---|
| Black Monday Period | Sep 1987 | Nov 1987 | -2.25% |
| Asian Crisis | Jul 1997 | Jan 1998 | -0.85% |
| Russian Debt Default | Jul 1998 | Oct 1998 | -0.55% |
| Dotcom Crash | Mar 2000 | Oct 2002 | -1.91% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -3.99% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Mar 1987 | Sep 1987 | 7 months | Jan 1988 | 4 months | 11 months | -5.86% |
| 2 | Feb 1994 | Jun 1994 | 5 months | Mar 1995 | 9 months | 1 year 2 months | -5.01% |
| 3 | Apr 2008 | Oct 2008 | 7 months | Dec 2008 | 2 months | 9 months | -3.99% |
| 4 | May 2013 | Aug 2013 | 4 months | May 2014 | 9 months | 1 year 1 month | -3.76% |
| 5 | Aug 2016 | Nov 2016 | 4 months | Aug 2017 | 9 months | 1 year 1 month | -3.67% |
| 6 | Jun 2003 | Jul 2003 | 2 months | Jan 2004 | 6 months | 8 months | -3.47% |
| 7 | Feb 1996 | May 1996 | 4 months | Oct 1996 | 5 months | 9 months | -3.16% |
| 8 | Apr 2004 | May 2004 | 2 months | Aug 2004 | 3 months | 5 months | -3.03% |
| 9 | Mar 1988 | May 1988 | 3 months | Sep 1988 | 4 months | 7 months | -2.64% |
| 10 | Feb 1999 | Aug 1999 | 7 months | Mar 2000 | 7 months | 1 year 2 months | -2.64% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VBMFX | Vanguard Total Bond Market Index Inv | 5.78% | 3.81% | 18.18% | -2.66% | -5.86% | 0.70 | 1.11 | 0.07 |
| Roll Period | Average | High | Low |
|---|---|---|---|
| 1 year | 5.88% | 18.18% | -2.66% |
| 3 years | 6.05% | 12.48% | 1.21% |
| 5 years | 6.07% | 10.83% | 1.91% |
| 7 years | 6.05% | 9.80% | 1.92% |
| 10 years | 6.07% | 9.00% | 3.31% |
| 15 years | 6.03% | 8.28% | 3.73% |
| Result statistics are based on annualized rolling returns over full calendar year periods | |||