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 (Nov 1991 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,643 3.96% 1.99%12.11%-0.48%-2.23% 0.781.38-0.15
Portfolio 2$10,000$42,019 5.64% 4.80%20.44%-4.33%-6.47% 0.661.10-0.14
Portfolio 3$10,000$65,812 7.47% 9.83%30.09%-13.03%-16.68% 0.530.88-0.17
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 1991 are based on full calendar months from November to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19910.36%2.62%4.77%6.28%$10,262$10,477$10,6282.62%4.77%6.28%
19922.90%6.75%7.78%7.41%$10,954$11,292$11,4156.75%7.78%7.41%
19932.75%6.31%11.43%16.79%$11,645$12,583$13,3326.31%11.43%16.79%
19942.67%-0.48%-4.33%-7.04%$11,589$12,038$12,393-0.48%-4.33%-7.04%
19952.54%12.11%20.44%30.09%$12,992$14,499$16,12312.11%20.44%30.09%
19963.32%4.39%1.92%-1.26%$13,563$14,777$15,9204.39%1.92%-1.26%
19971.70%6.51%8.96%13.90%$14,446$16,101$18,1346.51%8.96%13.90%
19981.61%7.36%10.61%13.05%$15,509$17,809$20,5007.36%10.61%13.05%
19992.68%1.85%-3.52%-8.66%$15,796$17,182$18,7251.85%-3.52%-8.66%
20003.39%8.83%14.03%19.72%$17,191$19,592$22,4188.83%14.03%19.72%
20011.55%7.80%7.55%4.31%$18,532$21,071$23,3847.80%7.55%4.31%
20022.38%8.02%14.15%16.67%$20,018$24,052$27,2838.02%14.15%16.67%
20031.88%2.38%2.37%2.68%$20,495$24,622$28,0132.38%2.37%2.68%
20043.26%1.03%3.40%7.12%$20,706$25,460$30,0081.03%3.40%7.12%
20053.42%1.77%2.32%6.61%$21,072$26,049$31,9911.77%2.32%6.61%
20062.54%3.77%3.14%1.74%$21,866$26,866$32,5493.77%3.14%1.74%
20074.08%7.89%9.98%9.24%$23,590$29,548$35,5577.89%9.98%9.24%
20080.09%6.68%13.32%22.52%$25,166$33,485$43,5636.68%13.32%22.52%
20092.72%1.44%-1.69%-12.05%$25,529$32,920$38,3151.44%-1.69%-12.05%
20101.50%2.64%7.35%8.93%$26,201$35,341$41,7362.64%7.35%8.93%
20112.96%2.26%9.80%29.28%$26,793$38,803$53,9552.26%9.80%29.28%
20121.74%0.69%2.67%3.47%$26,978$39,841$55,8250.69%2.67%3.47%
20131.50%-0.10%-3.09%-13.03%$26,952$38,611$48,553-0.10%-3.09%-13.03%
20140.76%0.71%4.32%25.28%$27,144$40,278$60,8260.71%4.32%25.28%
20150.73%0.45%1.50%-1.54%$27,268$40,884$59,8910.45%1.50%-1.54%
20162.07%0.99%1.19%1.20%$27,537$41,370$60,6090.99%1.19%1.20%
20172.11%0.39%1.57%8.58%$27,643$42,019$65,8120.39%1.57%8.58%
Annual returns for 1991 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
1991110.84%1.00%0.02%$10,084$10,100$10,0020.84%1.00%0.02%
1991121.76%3.73%6.26%$10,262$10,477$10,6281.76%3.73%6.26%
19921-0.46%-2.15%-3.21%$10,214$10,251$10,287-0.46%-2.15%-3.21%
199220.24%0.52%0.64%$10,239$10,305$10,3530.24%0.52%0.64%
19923-0.25%-0.91%-1.10%$10,214$10,211$10,239-0.25%-0.91%-1.10%
199240.95%0.57%-0.07%$10,311$10,268$10,2310.95%0.57%-0.07%
199251.16%2.18%2.70%$10,430$10,492$10,5071.16%2.18%2.70%
199261.23%1.82%1.12%$10,559$10,683$10,6251.23%1.82%1.12%
199271.52%3.07%4.02%$10,719$11,012$11,0521.52%3.07%4.02%
199281.21%1.20%0.71%$10,848$11,144$11,1301.21%1.20%0.71%
199291.09%1.73%1.36%$10,966$11,337$11,2811.09%1.73%1.36%
199210-1.11%-1.71%-1.89%$10,844$11,143$11,068-1.11%-1.71%-1.89%
199211-0.10%-0.46%0.50%$10,833$11,092$11,123-0.10%-0.46%0.50%
1992121.11%1.80%2.63%$10,954$11,292$11,4151.11%1.80%2.63%
199311.40%2.72%2.85%$11,107$11,599$11,7411.40%2.72%2.85%
199321.30%2.53%3.20%$11,252$11,893$12,1161.30%2.53%3.20%
199330.21%0.40%0.19%$11,276$11,940$12,1400.21%0.40%0.19%
199340.87%0.93%0.76%$11,374$12,051$12,2320.87%0.93%0.76%
19935-0.45%-0.15%0.38%$11,322$12,033$12,279-0.45%-0.15%0.38%
199360.87%2.20%4.17%$11,421$12,298$12,7900.87%2.20%4.17%
199370.01%0.02%1.39%$11,422$12,301$12,9680.01%0.02%1.39%
199381.06%2.18%3.99%$11,543$12,569$13,4861.06%2.18%3.99%
199390.37%0.62%0.33%$11,587$12,647$13,5300.37%0.62%0.33%
1993100.10%0.09%0.62%$11,598$12,659$13,6130.10%0.09%0.62%
199311-0.10%-1.16%-2.48%$11,586$12,513$13,275-0.10%-1.16%-2.48%
1993120.50%0.56%0.42%$11,645$12,583$13,3320.50%0.56%0.42%
199410.67%1.49%2.23%$11,723$12,769$13,6290.67%1.49%2.23%
19942-0.90%-2.46%-3.99%$11,618$12,455$13,085-0.90%-2.46%-3.99%
19943-0.86%-2.62%-3.82%$11,517$12,129$12,585-0.86%-2.62%-3.82%
19944-0.48%-0.92%-1.29%$11,462$12,017$12,423-0.48%-0.92%-1.29%
199450.13%0.18%-0.47%$11,477$12,038$12,3650.13%0.18%-0.47%
199460.22%-0.33%-0.81%$11,502$11,998$12,2640.22%-0.33%-0.81%
199470.95%1.70%2.94%$11,611$12,203$12,6250.95%1.70%2.94%
199480.25%0.30%-0.67%$11,640$12,239$12,5400.25%0.30%-0.67%
19949-0.36%-1.79%-3.00%$11,598$12,021$12,164-0.36%-1.79%-3.00%
1994100.27%-0.26%-0.36%$11,629$11,989$12,1210.27%-0.26%-0.36%
199411-0.55%-0.38%0.62%$11,566$11,943$12,196-0.55%-0.38%0.62%
1994120.20%0.79%1.62%$11,589$12,038$12,3930.20%0.79%1.62%
199511.56%1.94%2.62%$11,770$12,272$12,7181.56%1.94%2.62%
199521.60%2.58%2.73%$11,958$12,589$13,0651.60%2.58%2.73%
199530.54%0.57%0.72%$12,022$12,661$13,1600.54%0.57%0.72%
199541.02%1.56%1.65%$12,145$12,858$13,3781.02%1.56%1.65%
199552.02%4.74%7.52%$12,391$13,467$14,3842.02%4.74%7.52%
199560.60%0.81%1.13%$12,466$13,576$14,5460.60%0.81%1.13%
199570.23%-0.61%-1.40%$12,494$13,494$14,3430.23%-0.61%-1.40%
199580.62%1.31%2.05%$12,572$13,671$14,6380.62%1.31%2.05%
199590.60%0.90%1.81%$12,648$13,794$14,9030.60%0.90%1.81%
1995100.91%1.76%2.97%$12,763$14,037$15,3450.91%1.76%2.97%
1995110.99%1.82%2.31%$12,889$14,293$15,6990.99%1.82%2.31%
1995120.80%1.44%2.70%$12,992$14,499$16,1230.80%1.44%2.70%
199610.88%0.69%-0.05%$13,107$14,599$16,1140.88%0.69%-0.05%
19962-0.70%-2.38%-4.93%$13,016$14,252$15,320-0.70%-2.38%-4.93%
19963-0.20%-1.09%-1.98%$12,990$14,096$15,018-0.20%-1.09%-1.98%
19964-0.22%-1.03%-1.78%$12,961$13,951$14,750-0.22%-1.03%-1.78%
199650.09%-0.44%-0.46%$12,973$13,890$14,6830.09%-0.44%-0.46%
199660.87%1.51%2.14%$13,086$14,099$14,9960.87%1.51%2.14%
199670.29%0.14%-0.05%$13,124$14,120$14,9890.29%0.14%-0.05%
199680.29%-0.35%-1.29%$13,162$14,071$14,7950.29%-0.35%-1.29%
199690.97%1.91%2.79%$13,290$14,339$15,2080.97%1.91%2.79%
1996101.28%2.48%3.88%$13,460$14,694$15,7981.28%2.48%3.88%
1996110.87%2.04%3.24%$13,577$14,994$16,3090.87%2.04%3.24%
199612-0.10%-1.45%-2.38%$13,563$14,777$15,920-0.10%-1.45%-2.38%
199710.40%0.06%-0.65%$13,617$14,785$15,8160.40%0.06%-0.65%
199720.20%0.10%-0.11%$13,644$14,800$15,7990.20%0.10%-0.11%
19973-0.20%-1.30%-2.29%$13,617$14,607$15,436-0.20%-1.30%-2.29%
199740.88%1.61%2.35%$13,737$14,842$15,7990.88%1.61%2.35%
199750.74%0.83%0.98%$13,839$14,966$15,9540.74%0.83%0.98%
199760.67%1.00%1.78%$13,932$15,116$16,2380.67%1.00%1.78%
199771.18%2.85%5.34%$14,096$15,547$17,1051.18%2.85%5.34%
199780.01%-0.99%-2.57%$14,098$15,393$16,6640.01%-0.99%-2.57%
199790.78%1.47%2.63%$14,208$15,619$17,1030.78%1.47%2.63%
1997100.79%1.66%2.99%$14,320$15,878$17,6140.79%1.66%2.99%
1997110.18%0.31%1.27%$14,346$15,928$17,8380.18%0.31%1.27%
1997120.69%1.09%1.66%$14,446$16,101$18,1340.69%1.09%1.66%
199811.07%1.73%1.91%$14,600$16,379$18,4801.07%1.73%1.91%
19982-0.07%-0.38%-0.75%$14,591$16,316$18,341-0.07%-0.38%-0.75%
199830.37%0.14%0.14%$14,645$16,338$18,3670.37%0.14%0.14%
199840.54%0.49%0.40%$14,724$16,419$18,4410.54%0.49%0.40%
199850.56%0.98%1.83%$14,806$16,579$18,7800.56%0.98%1.83%
199860.54%0.95%2.35%$14,887$16,737$19,2210.54%0.95%2.35%
199870.36%0.22%-0.51%$14,940$16,774$19,1220.36%0.22%-0.51%
199881.63%3.20%4.83%$15,183$17,310$20,0461.63%3.20%4.83%
199891.79%3.64%3.29%$15,455$17,940$20,7041.79%3.64%3.29%
1998100.25%-0.77%-1.69%$15,494$17,802$20,3530.25%-0.77%-1.69%
199811-0.15%-0.35%0.88%$15,470$17,741$20,534-0.15%-0.35%0.88%
1998120.25%0.38%-0.16%$15,509$17,809$20,5000.25%0.38%-0.16%
199910.41%0.65%0.98%$15,573$17,925$20,7020.41%0.65%0.98%
19992-0.88%-3.07%-4.76%$15,436$17,375$19,717-0.88%-3.07%-4.76%
199930.69%0.58%-0.34%$15,543$17,477$19,6500.69%0.58%-0.34%
199940.31%0.28%0.19%$15,591$17,526$19,6870.31%0.28%0.19%
19995-0.34%-1.37%-1.68%$15,538$17,287$19,356-0.34%-1.37%-1.68%
199960.16%-0.26%-1.05%$15,562$17,241$19,1520.16%-0.26%-1.05%
199970.13%-0.45%-0.58%$15,583$17,163$19,0410.13%-0.45%-0.58%
199980.14%-0.07%-0.49%$15,604$17,151$18,9480.14%-0.07%-0.49%
199990.84%1.08%0.91%$15,735$17,336$19,1200.84%1.08%0.91%
1999100.26%0.12%0.12%$15,776$17,358$19,1430.26%0.12%0.12%
1999110.16%-0.08%-0.59%$15,801$17,344$19,0300.16%-0.08%-0.59%
199912-0.03%-0.94%-1.60%$15,796$17,182$18,725-0.03%-0.94%-1.60%
20001-0.22%-0.46%1.25%$15,761$17,103$18,960-0.22%-0.46%1.25%
200020.76%1.00%2.96%$15,880$17,274$19,5210.76%1.00%2.96%
200030.70%2.04%3.14%$15,991$17,626$20,1330.70%2.04%3.14%
200040.19%-0.26%-0.66%$16,022$17,581$19,9990.19%-0.26%-0.66%
200050.30%0.16%-0.46%$16,070$17,609$19,9080.30%0.16%-0.46%
200061.30%2.20%2.30%$16,280$17,996$20,3661.30%2.20%2.30%
200070.61%0.62%1.49%$16,379$18,109$20,6680.61%0.62%1.49%
200080.92%1.62%2.08%$16,529$18,401$21,0980.92%1.62%2.08%
200090.79%0.89%-0.85%$16,660$18,565$20,9180.79%0.89%-0.85%
2000100.60%0.90%1.57%$16,760$18,733$21,2460.60%0.90%1.57%
2000111.18%2.14%2.99%$16,957$19,134$21,8811.18%2.14%2.99%
2000121.38%2.39%2.45%$17,191$19,592$22,4181.38%2.39%2.45%
200111.26%1.33%0.28%$17,407$19,852$22,4821.26%1.33%0.28%
200120.80%1.26%1.80%$17,546$20,102$22,8870.80%1.26%1.80%
200130.77%0.50%-0.60%$17,682$20,204$22,7480.77%0.50%-0.60%
200140.06%-1.16%-2.56%$17,692$19,970$22,1650.06%-1.16%-2.56%
200150.44%0.22%0.21%$17,770$20,013$22,2110.44%0.22%0.21%
200160.33%0.30%0.76%$17,829$20,074$22,3800.33%0.30%0.76%
200171.40%2.73%3.61%$18,079$20,621$23,1881.40%2.73%3.61%
200180.79%1.11%2.02%$18,221$20,850$23,6570.79%1.11%2.02%
200191.68%2.41%0.88%$18,527$21,353$23,8661.68%2.41%0.88%
2001101.13%2.22%5.12%$18,736$21,826$25,0881.13%2.22%5.12%
200111-0.83%-2.32%-5.07%$18,581$21,319$23,817-0.83%-2.32%-5.07%
200112-0.27%-1.16%-1.82%$18,532$21,071$23,384-0.27%-1.16%-1.82%
200210.44%0.45%1.20%$18,613$21,166$23,6650.44%0.45%1.20%
200220.67%1.29%1.24%$18,738$21,439$23,9580.67%1.29%1.24%
20023-0.82%-2.30%-3.86%$18,584$20,946$23,035-0.82%-2.30%-3.86%
200241.54%2.62%3.73%$18,870$21,495$23,8951.54%2.62%3.73%
200250.59%1.04%0.39%$18,980$21,718$23,9880.59%1.04%0.39%
200260.93%1.72%1.76%$19,156$22,091$24,4100.93%1.72%1.76%
200271.54%2.66%2.93%$19,452$22,678$25,1241.54%2.66%2.93%
200280.86%2.42%4.28%$19,620$23,227$26,2000.86%2.42%4.28%
200291.21%3.03%4.02%$19,856$23,930$27,2521.21%3.03%4.02%
2002100.02%-0.70%-2.84%$19,860$23,762$26,4790.02%-0.70%-2.84%
200211-0.66%-1.32%-0.98%$19,729$23,448$26,220-0.66%-1.32%-0.98%
2002121.46%2.58%4.05%$20,018$24,052$27,2831.46%2.58%4.05%
20031-0.13%-0.49%-0.45%$19,992$23,933$27,161-0.13%-0.49%-0.45%
200320.68%1.77%3.03%$20,127$24,357$27,9830.68%1.77%3.03%
200330.23%-0.19%-1.13%$20,174$24,312$27,6660.23%-0.19%-1.13%
200340.11%0.24%0.91%$20,196$24,371$27,9170.11%0.24%0.91%
200351.05%2.74%5.67%$20,407$25,037$29,5011.05%2.74%5.67%
200360.01%-0.43%-1.48%$20,410$24,929$29,0630.01%-0.43%-1.48%
20037-0.91%-3.87%-8.57%$20,224$23,964$26,572-0.91%-3.87%-8.57%
200380.02%0.19%1.43%$20,228$24,008$26,9510.02%0.19%1.43%
200391.15%3.09%5.07%$20,460$24,750$28,3161.15%3.09%5.07%
200310-0.34%-1.36%-2.58%$20,390$24,414$27,586-0.34%-1.36%-2.58%
200311-0.07%0.01%0.31%$20,376$24,415$27,672-0.07%0.01%0.31%
2003120.59%0.85%1.23%$20,495$24,622$28,0130.59%0.85%1.23%
200410.22%0.81%1.74%$20,541$24,822$28,5020.22%0.81%1.74%
200420.58%1.23%1.96%$20,659$25,127$29,0610.58%1.23%1.96%
200430.40%1.06%1.45%$20,741$25,394$29,4810.40%1.06%1.45%
20044-1.20%-3.25%-5.52%$20,493$24,569$27,854-1.20%-3.25%-5.52%
20045-0.16%-0.51%-0.56%$20,460$24,444$27,699-0.16%-0.51%-0.56%
200460.02%0.54%0.87%$20,464$24,576$27,9400.02%0.54%0.87%
200470.32%0.91%1.52%$20,529$24,799$28,3630.32%0.91%1.52%
200480.80%2.07%3.39%$20,693$25,314$29,3240.80%2.07%3.39%
200490.04%0.19%0.94%$20,701$25,361$29,5980.04%0.19%0.94%
2004100.33%0.91%1.46%$20,768$25,592$30,0300.33%0.91%1.46%
200411-0.63%-1.48%-2.25%$20,637$25,214$29,355-0.63%-1.48%-2.25%
2004120.33%0.97%2.22%$20,706$25,460$30,0080.33%0.97%2.22%
200510.04%0.56%2.59%$20,715$25,602$30,7860.04%0.56%2.59%
20052-0.36%-0.98%-1.24%$20,640$25,351$30,404-0.36%-0.98%-1.24%
20053-0.05%-0.51%-0.76%$20,631$25,222$30,175-0.05%-0.51%-0.76%
200540.72%1.75%3.22%$20,780$25,663$31,1480.72%1.75%3.22%
200550.44%1.20%2.55%$20,871$25,970$31,9420.44%1.20%2.55%
200560.24%0.55%1.64%$20,921$26,113$32,4660.24%0.55%1.64%
20057-0.41%-1.41%-2.58%$20,836$25,746$31,629-0.41%-1.41%-2.58%
200580.75%1.65%2.87%$20,993$26,169$32,5370.75%1.65%2.87%
20059-0.31%-1.14%-2.78%$20,927$25,870$31,634-0.31%-1.14%-2.78%
200510-0.11%-0.79%-1.74%$20,904$25,665$31,084-0.11%-0.79%-1.74%
2005110.39%0.48%0.57%$20,985$25,788$31,2620.39%0.48%0.57%
2005120.41%1.01%2.33%$21,072$26,049$31,9910.41%1.01%2.33%
200610.14%-0.34%-0.90%$21,101$25,962$31,7030.14%-0.34%-0.90%
200620.01%0.09%0.81%$21,104$25,984$31,9590.01%0.09%0.81%
200630.05%-0.99%-3.39%$21,114$25,728$30,8740.05%-0.99%-3.39%
200640.33%-0.37%-1.96%$21,184$25,632$30,2700.33%-0.37%-1.96%
200650.05%0.02%-0.03%$21,195$25,637$30,2610.05%0.02%-0.03%
200660.25%0.10%0.71%$21,249$25,662$30,4750.25%0.10%0.71%
200670.76%1.35%1.84%$21,410$26,010$31,0350.76%1.35%1.84%
200680.75%1.62%2.74%$21,572$26,431$31,8850.75%1.62%2.74%
200690.55%0.94%1.58%$21,690$26,679$32,3880.55%0.94%1.58%
2006100.46%0.57%0.77%$21,790$26,833$32,6370.46%0.57%0.77%
2006110.55%1.12%1.91%$21,910$27,133$33,2600.55%1.12%1.91%
200612-0.20%-0.98%-2.14%$21,866$26,866$32,549-0.20%-0.98%-2.14%
200710.19%-0.26%-0.85%$21,907$26,798$32,2730.19%-0.26%-0.85%
200720.93%1.86%2.93%$22,111$27,296$33,2180.93%1.86%2.93%
200730.28%0.03%-1.13%$22,173$27,303$32,8430.28%0.03%-1.13%
200740.46%0.57%0.86%$22,276$27,457$33,1240.46%0.57%0.86%
20075-0.40%-1.18%-1.93%$22,187$27,132$32,485-0.40%-1.18%-1.93%
200760.37%-0.18%-0.88%$22,268$27,082$32,1970.37%-0.18%-0.88%
200771.06%1.81%2.39%$22,504$27,573$32,9661.06%1.81%2.39%
200781.15%1.97%1.97%$22,763$28,116$33,6171.15%1.97%1.97%
200790.74%0.46%0.21%$22,930$28,245$33,6880.74%0.46%0.21%
2007100.45%0.84%1.40%$23,034$28,481$34,1590.45%0.84%1.40%
2007112.16%3.46%4.59%$23,532$29,467$35,7282.16%3.46%4.59%
2007120.25%0.27%-0.48%$23,590$29,548$35,5570.25%0.27%-0.48%
200812.01%3.10%2.64%$24,063$30,463$36,4972.01%3.10%2.64%
200821.09%1.35%0.35%$24,327$30,875$36,6241.09%1.35%0.35%
200830.25%0.93%1.02%$24,388$31,161$36,9990.25%0.93%1.02%
20084-0.96%-2.14%-1.84%$24,153$30,495$36,318-0.96%-2.14%-1.84%
20085-0.51%-1.32%-2.13%$24,031$30,093$35,545-0.51%-1.32%-2.13%
200860.33%0.77%1.80%$24,110$30,323$36,1850.33%0.77%1.80%
200870.52%0.77%0.30%$24,235$30,558$36,2910.52%0.77%0.30%
200880.56%0.98%1.80%$24,370$30,856$36,9460.56%0.98%1.80%
200890.53%0.51%0.28%$24,499$31,014$37,0510.53%0.51%0.28%
2008100.49%-1.36%-3.63%$24,620$30,593$35,7070.49%-1.36%-3.63%
2008111.03%5.58%12.07%$24,873$32,301$40,0161.03%5.58%12.07%
2008121.17%3.66%8.87%$25,166$33,485$43,5631.17%3.66%8.87%
20091-0.09%-2.39%-8.47%$25,144$32,684$39,873-0.09%-2.39%-8.47%
20092-0.01%-0.58%-1.01%$25,141$32,494$39,471-0.01%-0.58%-1.01%
200930.90%3.20%5.27%$25,366$33,535$41,5500.90%3.20%5.27%
20094-0.25%-1.76%-4.99%$25,302$32,947$39,477-0.25%-1.76%-4.99%
200950.21%-1.10%-2.68%$25,356$32,583$38,4200.21%-1.10%-2.68%
20096-0.17%-0.37%0.70%$25,314$32,462$38,690-0.17%-0.37%0.70%
200970.22%0.60%0.80%$25,369$32,655$38,9990.22%0.60%0.80%
200980.37%0.89%1.68%$25,463$32,946$39,6560.37%0.89%1.68%
200990.29%0.92%1.98%$25,537$33,250$40,4420.29%0.92%1.98%
2009100.24%0.25%-1.45%$25,598$33,334$39,8540.24%0.25%-1.45%
2009110.87%1.96%1.91%$25,820$33,986$40,6130.87%1.96%1.91%
200912-1.13%-3.13%-5.66%$25,529$32,920$38,315-1.13%-3.13%-5.66%
201010.95%1.97%2.66%$25,772$33,568$39,3350.95%1.97%2.66%
201020.19%0.40%-0.21%$25,821$33,704$39,2520.19%0.40%-0.21%
20103-0.36%-0.91%-1.51%$25,728$33,398$38,659-0.36%-0.91%-1.51%
201040.39%1.23%2.76%$25,828$33,810$39,7250.39%1.23%2.76%
201050.48%1.85%4.23%$25,952$34,435$41,4070.48%1.85%4.23%
201060.56%2.07%4.67%$26,098$35,146$43,3390.56%2.07%4.67%
201070.38%1.07%-0.17%$26,197$35,523$43,2650.38%1.07%-0.17%
201080.37%2.00%7.08%$26,293$36,234$46,3270.37%2.00%7.08%
201090.18%0.36%-1.82%$26,339$36,366$45,4830.18%0.36%-1.82%
2010100.26%0.45%-3.29%$26,407$36,529$43,9880.26%0.45%-3.29%
201011-0.30%-0.98%-1.60%$26,328$36,170$43,284-0.30%-0.98%-1.60%
201012-0.48%-2.29%-3.58%$26,201$35,341$41,736-0.48%-2.29%-3.58%
201110.25%0.29%-2.38%$26,268$35,445$40,7440.25%0.29%-2.38%
20112-0.22%-0.43%1.24%$26,209$35,292$41,248-0.22%-0.43%1.24%
20113-0.13%-0.12%0.02%$26,175$35,250$41,257-0.13%-0.12%0.02%
201140.71%1.60%2.04%$26,362$35,815$42,0980.71%1.60%2.04%
201150.52%1.77%3.29%$26,499$36,447$43,4840.52%1.77%3.29%
20116-0.04%-0.16%-2.00%$26,489$36,387$42,616-0.04%-0.16%-2.00%
201170.52%2.18%4.18%$26,628$37,180$44,3970.52%2.18%4.18%
201180.52%2.70%8.68%$26,765$38,185$48,2520.52%2.70%8.68%
20119-0.22%0.73%10.16%$26,705$38,465$53,155-0.22%0.73%10.16%
2011100.15%-0.42%-3.34%$26,746$38,305$51,3830.15%-0.42%-3.34%
201111-0.04%0.29%1.82%$26,736$38,417$52,316-0.04%0.29%1.82%
2011120.21%1.00%3.13%$26,793$38,803$53,9550.21%1.00%3.13%
201210.23%0.81%0.08%$26,855$39,116$53,9980.23%0.81%0.08%
20122-0.14%-0.65%-2.11%$26,817$38,860$52,857-0.14%-0.65%-2.11%
20123-0.13%-0.79%-3.77%$26,781$38,552$50,865-0.13%-0.79%-3.77%
201240.32%1.50%4.37%$26,866$39,131$53,0890.32%1.50%4.37%
201250.06%1.24%7.79%$26,884$39,617$57,2230.06%1.24%7.79%
20126-0.13%-0.22%-1.44%$26,850$39,529$56,396-0.13%-0.22%-1.44%
201270.29%0.86%3.32%$26,927$39,870$58,2700.29%0.86%3.32%
201280.11%0.10%-1.06%$26,957$39,911$57,6510.11%0.10%-1.06%
201290.03%-0.06%-2.10%$26,965$39,885$56,4420.03%-0.06%-2.10%
201210-0.16%-0.32%-0.43%$26,922$39,759$56,198-0.16%-0.32%-0.43%
2012110.12%0.62%1.35%$26,953$40,005$56,9560.12%0.62%1.35%
2012120.09%-0.41%-1.99%$26,978$39,841$55,8250.09%-0.41%-1.99%
20131-0.06%-0.74%-3.27%$26,961$39,547$53,997-0.06%-0.74%-3.27%
201320.12%0.71%1.26%$26,993$39,828$54,6780.12%0.71%1.26%
201330.03%0.27%0.03%$27,001$39,937$54,6970.03%0.27%0.03%
201340.12%0.71%3.87%$27,034$40,221$56,8140.12%0.71%3.87%
20135-0.34%-1.84%-6.23%$26,941$39,481$53,275-0.34%-1.84%-6.23%
20136-0.26%-1.62%-3.26%$26,872$38,840$51,540-0.26%-1.62%-3.26%
201370.12%0.13%-1.93%$26,905$38,890$50,5460.12%0.13%-1.93%
20138-0.16%-1.02%-1.28%$26,864$38,494$49,898-0.16%-1.02%-1.28%
201390.40%1.47%0.88%$26,972$39,058$50,3370.40%1.47%0.88%
2013100.13%0.49%1.32%$27,006$39,248$51,0030.13%0.49%1.32%
2013110.13%-0.14%-2.49%$27,041$39,195$49,7340.13%-0.14%-2.49%
201312-0.33%-1.49%-2.37%$26,952$38,611$48,553-0.33%-1.49%-2.37%
201410.32%1.67%6.26%$27,037$39,254$51,5920.32%1.67%6.26%
201420.03%0.21%0.60%$27,045$39,336$51,9010.03%0.21%0.60%
20143-0.21%-0.60%0.63%$26,989$39,101$52,226-0.21%-0.60%0.63%
201440.23%0.49%1.82%$27,050$39,293$53,1760.23%0.49%1.82%
201450.13%1.03%2.73%$27,086$39,698$54,6270.13%1.03%2.73%
201460.04%-0.13%-0.16%$27,097$39,646$54,5410.04%-0.13%-0.16%
20147-0.14%-0.39%0.59%$27,058$39,491$54,865-0.14%-0.39%0.59%
201480.14%1.03%4.23%$27,095$39,899$57,1850.14%1.03%4.23%
20149-0.14%-0.66%-1.99%$27,057$39,637$56,049-0.14%-0.66%-1.99%
2014100.33%1.12%2.61%$27,146$40,082$57,5130.33%1.12%2.61%
2014110.23%0.84%2.86%$27,209$40,421$59,1600.23%0.84%2.86%
201412-0.24%-0.35%2.82%$27,144$40,278$60,826-0.24%-0.35%2.82%
201510.61%2.70%8.97%$27,311$41,364$66,2800.61%2.70%8.97%
20152-0.42%-1.59%-5.66%$27,197$40,708$62,530-0.42%-1.59%-5.66%
201530.33%0.76%1.13%$27,286$41,019$63,2340.33%0.76%1.13%
201540.05%-0.21%-3.07%$27,300$40,932$61,2940.05%-0.21%-3.07%
201550.06%-0.12%-2.16%$27,316$40,882$59,9700.06%-0.12%-2.16%
20156-0.04%-0.74%-3.73%$27,306$40,580$57,735-0.04%-0.74%-3.73%
201570.15%0.85%4.21%$27,348$40,923$60,1640.15%0.85%4.21%
20158-0.13%-0.03%-0.71%$27,314$40,909$59,734-0.13%-0.03%-0.71%
201590.43%1.19%1.91%$27,432$41,395$60,8760.43%1.19%1.91%
201510-0.13%-0.47%-0.48%$27,397$41,200$60,584-0.13%-0.47%-0.48%
201511-0.31%-0.39%-0.81%$27,311$41,039$60,096-0.31%-0.39%-0.81%
201512-0.16%-0.38%-0.34%$27,268$40,884$59,891-0.16%-0.38%-0.34%
201610.82%2.36%5.24%$27,491$41,848$63,0270.82%2.36%5.24%
201620.15%0.82%2.86%$27,533$42,190$64,8290.15%0.82%2.86%
201630.26%0.22%0.05%$27,604$42,283$64,8630.26%0.22%0.05%
20164-0.03%-0.13%-0.63%$27,596$42,228$64,456-0.03%-0.13%-0.63%
20165-0.10%-0.21%0.69%$27,569$42,141$64,898-0.10%-0.21%0.69%
201660.75%2.05%6.57%$27,775$43,003$69,1640.75%2.05%6.57%
20167-0.10%0.04%2.01%$27,748$43,022$70,552-0.10%0.04%2.01%
20168-0.29%-0.72%-1.00%$27,668$42,710$69,847-0.29%-0.72%-1.00%
201690.23%0.29%-1.32%$27,732$42,833$68,9270.23%0.29%-1.32%
201610-0.12%-0.73%-4.23%$27,699$42,518$66,010-0.12%-0.73%-4.23%
201611-0.58%-2.65%-7.86%$27,538$41,391$60,823-0.58%-2.65%-7.86%
201612-0.00%-0.05%-0.35%$27,537$41,370$60,609-0.00%-0.05%-0.35%
201710.26%0.30%0.65%$27,608$41,495$61,0020.26%0.30%0.65%
201720.07%0.39%1.57%$27,628$41,658$61,9590.07%0.39%1.57%
201730.02%0.07%-0.59%$27,634$41,686$61,5930.02%0.07%-0.59%
201740.19%0.77%1.58%$27,687$42,008$62,5690.19%0.77%1.58%
201750.09%0.59%1.73%$27,710$42,258$63,6500.09%0.59%1.73%
20176-0.09%-0.47%0.63%$27,686$42,057$64,054-0.09%-0.47%0.63%
201770.28%0.42%-0.59%$27,763$42,232$63,6750.28%0.42%-0.59%
201780.19%0.86%3.27%$27,815$42,596$65,7590.19%0.86%3.27%
20179-0.20%-0.83%-2.27%$27,759$42,241$64,267-0.20%-0.83%-2.27%
201710-0.08%-0.21%-0.02%$27,737$42,154$64,254-0.08%-0.21%-0.02%
201711-0.27%-0.39%0.63%$27,663$41,990$64,660-0.27%-0.39%0.63%
201712-0.07%0.07%1.78%$27,643$42,019$65,812-0.07%0.07%1.78%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%0.00%0.04%
Mid-cap Value0.00%0.49%0.00%
Mid-cap Growth0.00%0.00%0.38%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%1.01%0.00%
Emerging Markets0.46%0.34%1.07%
Corporate Bonds1.09%0.00%0.00%
Long-Term Treasuries0.00%0.00%72.09%
Intermediate-Term Treasuries4.74%64.03%26.42%
Short-Term Treasuries93.71%34.13%0.00%
R Squared93.80%97.39%98.20%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFISXVanguard Short-Term Treasury InvShort Government2.140.20%100.00%$17,643100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.100.20%100.00%$32,019100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government16.870.20%100.00%$55,812100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.33%0.47%0.64%
Arithmetic Mean (annualized)3.98%5.76%7.98%
Geometric Mean (monthly)0.32%0.46%0.60%
Geometric Mean (annualized)3.96%5.64%7.47%
Volatility (monthly)0.57%1.38%2.84%
Volatility (annualized)1.99%4.80%9.83%
Downside Deviation (monthly)0.22%0.74%1.65%
Max. Drawdown-2.23%-6.47%-16.68%
US Market Correlation-0.15-0.14-0.17
Beta(*)-0.02-0.05-0.12
Alpha (annualized)4.13%6.10%8.94%
R22.28%1.94%3.02%
Sharpe Ratio0.780.660.53
Sortino Ratio1.381.100.88
Treynor Ratio (%)-69.85-68.03-44.25
Information Ratio-0.44-0.30-0.15
Diversification Ratio1.001.001.00
Skewness0.360.060.20
Excess Kurtosis0.460.671.65
Historical Value-at-Risk (5%)-0.52%-1.80%-3.78%
Analytical Value-at-Risk (5%)-0.62%-1.81%-4.03%
Conditional Value-at-Risk (5%)-0.85%-2.59%-5.57%
Upside Capture Ratio (%)8.1110.7710.83
Downside Capture Ratio (%)-11.74-18.06-30.26
Positive Periods228 out of 314 (72.61%)203 out of 314 (64.65%)190 out of 314 (60.51%)
Gain/Loss Ratio1.801.321.19
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Asian CrisisJul 1997Jan 19980.00%-0.99%-2.57%
Russian Debt DefaultJul 1998Oct 19980.00%-0.77%-1.69%
Dotcom CrashMar 2000Oct 2002-1.09%-4.03%-8.18%
Subprime CrisisNov 2007Mar 2009-1.46%-3.43%-9.39%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Apr 19943 monthsJan 19959 months1 year-2.23%
2Apr 2008May 20082 monthsSep 20084 months6 months-1.46%
3Apr 2004May 20042 monthsOct 20045 months7 months-1.36%
4Oct 1992Nov 19922 monthsJan 19932 months4 months-1.21%
5Dec 2009Dec 20091 monthFeb 20102 months3 months-1.13%
6Feb 1996Apr 19963 monthsJul 19963 months6 months-1.11%
7Nov 2001Dec 20012 monthsFeb 20022 months4 months-1.09%
8Jul 2003Jul 20031 monthSep 20032 months3 months-0.91%
9Feb 1999Feb 19991 monthApr 19992 months3 months-0.88%
10Nov 2010Mar 20115 monthsMay 20112 months7 months-0.88%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.47%
2Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
3Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
4May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
5Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
6Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
7Aug 2016Dec 20165 months-3.84%
8Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
9Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
10Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Dec 20165 months-14.09%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
6Feb 1994Oct 19949 monthsMay 19957 months1 year 4 months-11.07%
7Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
8Oct 1998Dec 19991 year 3 monthsAug 20008 months1 year 11 months-9.56%
9Jan 1996May 19965 monthsNov 19966 months11 months-8.93%
10Nov 2001Mar 20025 monthsJul 20024 months9 months-8.18%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFISXVanguard Short-Term Treasury Inv3.96%1.99%12.11%-0.48%-2.23%0.781.38-0.15
VFITXVanguard Interm-Term Treasury Inv5.64%4.80%20.44%-4.33%-6.47%0.661.10-0.14
VUSTXVanguard Long-Term Treasury Inv7.47%9.83%30.09%-13.03%-16.68%0.530.88-0.17

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVFITXVUSTXPortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv-0.900.651.000.900.65
VFITXVanguard Interm-Term Treasury Inv0.90-0.870.901.000.87
VUSTXVanguard Long-Term Treasury Inv0.650.87-0.650.871.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv$17,643
VFITXVanguard Interm-Term Treasury Inv$32,019
VUSTXVanguard Long-Term Treasury Inv$55,812

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv100.00%
VFITXVanguard Interm-Term Treasury Inv100.00%
VUSTXVanguard Long-Term Treasury Inv100.00%

Annual Asset Returns