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 (Jun 1994 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$91,552 9.84% 14.84%35.79%-37.04%-50.89% 0.550.791.00
Portfolio 2$10,000$43,814 6.46% 23.09%75.98%-52.81%-62.70% 0.290.410.77
   
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 1994 are based on full calendar months from June 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 Total Stock Mkt Idx Inv (VTSMX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19941.49%1.77%-0.62%$10,177$9,9381.77%-0.62%
19952.54%35.79%0.56%$13,818$9,99335.79%0.56%
19963.32%20.96%15.83%$16,715$11,57520.96%15.83%
19971.70%30.99%-16.82%$21,895$9,62730.99%-16.82%
19981.61%23.26%-18.12%$26,989$7,88323.26%-18.12%
19992.68%23.81%61.57%$33,416$12,73623.81%61.57%
20003.39%-10.57%-27.56%$29,883$9,226-10.57%-27.56%
20011.55%-10.97%-2.88%$26,606$8,961-10.97%-2.88%
20022.38%-20.96%-7.43%$21,029$8,295-20.96%-7.43%
20031.88%31.35%57.65%$27,622$13,07731.35%57.65%
20043.26%12.51%26.12%$31,079$16,49312.51%26.12%
20053.42%5.98%32.05%$32,938$21,7795.98%32.05%
20062.54%15.51%29.39%$38,047$28,18015.51%29.39%
20074.08%5.49%38.90%$40,135$39,1435.49%38.90%
20080.09%-37.04%-52.81%$25,270$18,470-37.04%-52.81%
20092.72%28.70%75.98%$32,522$32,50328.70%75.98%
20101.50%17.09%18.86%$38,081$38,63317.09%18.86%
20112.96%0.96%-18.78%$38,447$31,3790.96%-18.78%
20121.74%16.25%18.64%$44,696$37,22816.25%18.64%
20131.50%33.35%-5.19%$59,602$35,29633.35%-5.19%
20140.76%12.43%0.42%$67,011$35,44412.43%0.42%
20150.73%0.29%-15.47%$67,207$29,9620.29%-15.47%
20162.07%12.53%11.50%$75,631$33,40612.53%11.50%
20172.11%21.05%31.15%$91,552$43,81421.05%31.15%
Annual returns for 1994 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19946-2.73%-4.34%$9,727$9,566-2.73%-4.34%
199473.08%7.95%$10,027$10,3263.08%7.95%
199484.39%12.45%$10,467$11,6114.39%12.45%
19949-1.85%0.31%$10,274$11,647-1.85%0.31%
1994101.55%-1.55%$10,433$11,4661.55%-1.55%
199411-3.65%-6.08%$10,052$10,769-3.65%-6.08%
1994121.23%-7.72%$10,177$9,9381.23%-7.72%
199512.20%-10.67%$10,400$8,8772.20%-10.67%
199524.04%0.41%$10,821$8,9144.04%0.41%
199532.65%-1.03%$11,108$8,8222.65%-1.03%
199542.51%5.18%$11,387$9,2792.51%5.18%
199553.48%7.68%$11,783$9,9933.48%7.68%
199562.98%-0.55%$12,134$9,9382.98%-0.55%
199574.02%2.85%$12,621$10,2214.02%2.85%
199581.07%-2.42%$12,757$9,9741.07%-2.42%
199593.61%0.18%$13,218$9,9933.61%0.18%
199510-1.17%-4.30%$13,064$9,563-1.17%-4.30%
1995114.17%0.38%$13,608$9,5994.17%0.38%
1995121.54%4.10%$13,818$9,9931.54%4.10%
199612.66%10.23%$14,186$11,0162.66%10.23%
199621.62%-1.60%$14,415$10,8391.62%-1.60%
199631.14%1.54%$14,580$11,0061.14%1.54%
199642.41%2.70%$14,932$11,3042.41%2.70%
199652.66%1.48%$15,329$11,4712.66%1.48%
19966-0.84%0.00%$15,200$11,471-0.84%0.00%
19967-5.37%-6.73%$14,384$10,699-5.37%-6.73%
199683.09%3.13%$14,829$11,0343.09%3.13%
199695.38%2.28%$15,627$11,2855.38%2.28%
1996101.43%-1.48%$15,850$11,1181.43%-1.48%
1996116.81%3.51%$16,930$11,5096.81%3.51%
199612-1.27%0.58%$16,715$11,575-1.27%0.58%
199715.46%5.13%$17,627$12,1695.46%5.13%
19972-0.11%3.02%$17,608$12,536-0.11%3.02%
19973-4.45%-3.16%$16,824$12,140-4.45%-3.16%
199744.50%-1.63%$17,581$11,9424.50%-1.63%
199757.10%4.50%$18,829$12,4807.10%4.50%
199764.37%3.93%$19,652$12,9704.37%3.93%
199777.77%1.53%$21,179$13,1687.77%1.53%
19978-3.72%-15.10%$20,391$11,179-3.72%-15.10%
199795.77%5.23%$21,568$11,7635.77%5.23%
199710-3.40%-18.11%$20,835$9,633-3.40%-18.11%
1997113.33%-1.37%$21,530$9,5013.33%-1.37%
1997121.70%1.33%$21,895$9,6271.70%1.33%
199810.44%-8.02%$21,992$8,8560.44%-8.02%
199827.34%11.87%$23,607$9,9077.34%11.87%
199835.06%3.60%$24,802$10,2645.06%3.60%
199841.10%-1.03%$25,074$10,1581.10%-1.03%
19985-2.71%-12.54%$24,394$8,885-2.71%-12.54%
199863.54%-9.34%$25,259$8,0553.54%-9.34%
19987-2.27%1.80%$24,685$8,200-2.27%1.80%
19988-15.65%-26.12%$20,820$6,058-15.65%-26.12%
199896.68%9.39%$22,211$6,6276.68%9.39%
1998107.51%15.43%$23,880$7,6507.51%15.43%
1998116.17%6.31%$25,353$8,1326.17%6.31%
1998126.45%-3.07%$26,989$7,8836.45%-3.07%
199913.65%-2.91%$27,973$7,6533.65%-2.91%
19992-3.73%2.21%$26,930$7,823-3.73%2.21%
199933.93%11.72%$27,989$8,7403.93%11.72%
199944.68%15.39%$29,299$10,0854.68%15.39%
19995-2.00%-4.15%$28,713$9,666-2.00%-4.15%
199965.16%7.94%$30,195$10,4345.16%7.94%
19997-3.20%-3.44%$29,230$10,075-3.20%-3.44%
19998-0.92%-0.99%$28,961$9,975-0.92%-0.99%
19999-2.44%-0.50%$28,255$9,926-2.44%-0.50%
1999106.29%3.82%$30,031$10,3046.29%3.82%
1999113.42%8.12%$31,059$11,1413.42%8.12%
1999127.59%14.31%$33,416$12,7367.59%14.31%
20001-4.18%-4.88%$32,018$12,115-4.18%-4.88%
200022.54%3.53%$32,833$12,5432.54%3.53%
200035.69%-0.90%$34,700$12,4305.69%-0.90%
20004-5.21%-7.47%$32,893$11,502-5.21%-7.47%
20005-3.41%-5.32%$31,772$10,890-3.41%-5.32%
200064.42%6.27%$33,176$11,5734.42%6.27%
20007-1.95%-5.20%$32,528$10,972-1.95%-5.20%
200087.28%1.49%$34,897$11,1357.28%1.49%
20009-4.67%-6.14%$33,267$10,452-4.67%-6.14%
200010-2.04%-7.61%$32,587$9,656-2.04%-7.61%
200011-9.90%-9.82%$29,360$8,708-9.90%-9.82%
2000121.78%5.95%$29,883$9,2261.78%5.95%
200113.83%11.76%$31,026$10,3123.83%11.76%
20012-9.41%-8.70%$28,105$9,414-9.41%-8.70%
20013-6.72%-10.42%$26,217$8,433-6.72%-10.42%
200148.16%9.29%$28,357$9,2178.16%9.29%
200151.01%1.47%$28,644$9,3531.01%1.47%
20016-1.64%-2.12%$28,175$9,154-1.64%-2.12%
20017-1.71%-6.74%$27,693$8,538-1.71%-6.74%
20018-6.00%-0.98%$26,030$8,454-6.00%-0.98%
20019-9.00%-15.57%$23,688$7,137-9.00%-15.57%
2001102.52%6.59%$24,286$7,6082.52%6.59%
2001117.63%9.34%$26,140$8,3187.63%9.34%
2001121.78%7.73%$26,606$8,9611.78%7.73%
20021-1.24%2.87%$26,275$9,218-1.24%2.87%
20022-2.05%2.67%$25,737$9,464-2.05%2.67%
200234.38%4.52%$26,864$9,8924.38%4.52%
20024-4.90%0.32%$25,548$9,924-4.90%0.32%
20025-1.22%-0.43%$25,237$9,882-1.22%-0.43%
20026-7.06%-8.23%$23,454$9,068-7.06%-8.23%
20027-8.02%-8.50%$21,573$8,297-8.02%-8.50%
200280.53%1.42%$21,688$8,4150.53%1.42%
20029-10.07%-10.69%$19,504$7,516-10.07%-10.69%
2002107.65%6.55%$20,996$8,0087.65%6.55%
2002116.06%7.09%$22,268$8,5766.06%7.09%
200212-5.57%-3.27%$21,029$8,295-5.57%-3.27%
20031-2.54%0.13%$20,494$8,306-2.54%0.13%
20032-1.69%-3.80%$20,149$7,991-1.69%-3.80%
200331.09%-2.04%$20,368$7,8281.09%-2.04%
200348.21%8.75%$22,039$8,5138.21%8.75%
200356.11%6.39%$23,385$9,0566.11%6.39%
200361.43%5.88%$23,721$9,5891.43%5.88%
200372.36%7.03%$24,280$10,2632.36%7.03%
200382.39%6.36%$24,860$10,9152.39%6.36%
20039-1.15%0.80%$24,575$11,002-1.15%0.80%
2003106.12%9.09%$26,078$12,0026.12%9.09%
2003111.38%1.09%$26,438$12,1331.38%1.09%
2003124.48%7.78%$27,622$13,0774.48%7.78%
200412.23%3.12%$28,239$13,4862.23%3.12%
200421.43%4.17%$28,642$14,0481.43%4.17%
20043-1.07%0.39%$28,336$14,104-1.07%0.39%
20044-2.11%-7.90%$27,739$12,989-2.11%-7.90%
200451.35%-0.85%$28,112$12,8791.35%-0.85%
200462.09%-0.09%$28,699$12,8682.09%-0.09%
20047-3.80%-1.80%$27,608$12,636-3.80%-1.80%
200480.31%4.10%$27,693$13,1540.31%4.10%
200491.74%5.62%$28,175$13,8941.74%5.62%
2004101.68%2.30%$28,647$14,2141.68%2.30%
2004114.68%10.17%$29,989$15,6604.68%10.17%
2004123.63%5.32%$31,079$16,4933.63%5.32%
20051-2.68%-0.14%$30,247$16,470-2.68%-0.14%
200522.07%8.87%$30,874$17,9312.07%8.87%
20053-1.75%-6.70%$30,334$16,729-1.75%-6.70%
20054-2.32%-2.89%$29,630$16,246-2.32%-2.89%
200553.77%3.39%$30,746$16,7963.77%3.39%
200560.81%3.28%$30,996$17,3470.81%3.28%
200574.11%6.87%$32,268$18,5384.11%6.87%
20058-0.94%0.97%$31,964$18,717-0.94%0.97%
200590.86%8.64%$32,238$20,3350.86%8.64%
200510-1.86%-6.57%$31,637$18,998-1.86%-6.57%
2005113.97%7.98%$32,893$20,5153.97%7.98%
2005120.14%6.16%$32,938$21,7790.14%6.16%
200613.50%11.48%$34,090$24,2803.50%11.48%
200620.00%-1.46%$34,090$23,9260.00%-1.46%
200631.80%1.24%$34,705$24,2231.80%1.24%
200641.11%7.12%$35,091$25,9481.11%7.12%
20065-3.23%-10.74%$33,955$23,161-3.23%-10.74%
200660.17%-0.20%$34,014$23,1150.17%-0.20%
20067-0.13%1.19%$33,970$23,389-0.13%1.19%
200682.31%2.05%$34,755$23,8692.31%2.05%
200692.27%0.72%$35,543$24,0402.27%0.72%
2006103.53%4.75%$36,798$25,1823.53%4.75%
2006112.23%7.44%$37,620$27,0552.23%7.44%
2006121.13%4.16%$38,047$28,1801.13%4.16%
200711.88%-0.58%$38,761$28,0181.88%-0.58%
20072-1.61%-1.28%$38,136$27,658-1.61%-1.28%
200731.11%4.11%$38,558$28,7961.11%4.11%
200744.01%4.23%$40,105$30,0154.01%4.23%
200753.69%5.96%$41,584$31,8033.69%5.96%
20076-1.67%4.49%$40,889$33,231-1.67%4.49%
20077-3.41%4.30%$39,495$34,659-3.41%4.30%
200781.45%-0.94%$40,068$34,3341.45%-0.94%
200793.59%10.75%$41,508$38,0273.59%10.75%
2007101.85%12.31%$42,276$42,7061.85%12.31%
200711-4.49%-7.99%$40,379$39,292-4.49%-7.99%
200712-0.60%-0.38%$40,135$39,143-0.60%-0.38%
20081-6.08%-11.08%$37,695$34,806-6.08%-11.08%
20082-3.07%4.65%$36,537$36,425-3.07%4.65%
20083-0.58%-3.80%$36,324$35,042-0.58%-3.80%
200845.02%8.09%$38,148$37,8795.02%8.09%
200852.09%1.84%$38,946$38,5762.09%1.84%
20086-8.19%-10.39%$35,756$34,569-8.19%-10.39%
20087-0.77%-4.14%$35,481$33,139-0.77%-4.14%
200881.58%-7.81%$36,042$30,5511.58%-7.81%
20089-9.26%-16.25%$32,703$25,587-9.26%-16.25%
200810-17.63%-27.67%$26,938$18,508-17.63%-27.67%
200811-7.90%-7.85%$24,810$17,054-7.90%-7.85%
2008121.86%8.30%$25,270$18,4701.86%8.30%
20091-8.26%-8.19%$23,183$16,958-8.26%-8.19%
20092-10.45%-6.07%$20,761$15,929-10.45%-6.07%
200938.65%16.03%$22,557$18,4828.65%16.03%
2009410.61%16.03%$24,950$21,44510.61%16.03%
200955.38%18.27%$26,292$25,3625.38%18.27%
200960.34%-2.25%$26,382$24,7920.34%-2.25%
200977.82%11.55%$28,446$27,6557.82%11.55%
200983.63%-0.63%$29,477$27,4823.63%-0.63%
200994.23%9.29%$30,723$30,0354.23%9.29%
200910-2.57%-1.36%$29,934$29,626-2.57%-1.36%
2009115.63%5.90%$31,618$31,3745.63%5.90%
2009122.86%3.60%$32,522$32,5032.86%3.60%
20101-3.50%-6.25%$31,385$30,470-3.50%-6.25%
201023.36%1.07%$32,439$30,7963.36%1.07%
201036.27%8.15%$34,473$33,3066.27%8.15%
201042.17%0.26%$35,223$33,3942.17%0.26%
20105-8.00%-9.32%$32,404$30,281-8.00%-9.32%
20106-5.66%-0.04%$30,569$30,269-5.66%-0.04%
201076.99%9.25%$32,708$33,0676.99%9.25%
20108-4.75%-2.24%$31,155$32,327-4.75%-2.24%
201099.47%11.18%$34,105$35,9419.47%11.18%
2010103.94%2.97%$35,449$37,0083.94%2.97%
2010110.58%-2.71%$35,653$36,0040.58%-2.71%
2010126.81%7.30%$38,081$38,6336.81%7.30%
201112.19%-2.77%$38,914$37,5632.19%-2.77%
201123.60%-0.85%$40,313$37,2453.60%-0.85%
201130.45%5.57%$40,494$39,3200.45%5.57%
201142.99%3.47%$41,706$40,6832.99%3.47%
20115-1.16%-2.82%$41,221$39,537-1.16%-2.82%
20116-1.79%-1.51%$40,484$38,938-1.79%-1.51%
20117-2.28%-0.82%$39,560$38,620-2.28%-0.82%
20118-5.99%-8.54%$37,189$35,322-5.99%-8.54%
20119-7.75%-16.19%$34,305$29,605-7.75%-16.19%
20111011.51%13.51%$38,253$33,60311.51%13.51%
201111-0.29%-3.41%$38,143$32,457-0.29%-3.41%
2011120.80%-3.32%$38,447$31,3790.80%-3.32%
201215.08%11.12%$40,401$34,8675.08%11.12%
201224.26%5.56%$42,121$36,8064.26%5.56%
201233.07%-2.86%$43,413$35,7523.07%-2.86%
20124-0.65%-1.75%$43,129$35,127-0.65%-1.75%
20125-6.24%-11.08%$40,440$31,236-6.24%-11.08%
201263.91%4.83%$42,021$32,7463.91%4.83%
201271.03%0.64%$42,455$32,9541.03%0.64%
201282.48%0.43%$43,508$33,0972.48%0.43%
201292.58%5.32%$44,630$34,8572.58%5.32%
201210-1.76%-0.42%$43,845$34,712-1.76%-0.42%
2012110.74%1.33%$44,169$35,1730.74%1.33%
2012121.19%5.84%$44,696$37,2281.19%5.84%
201315.50%0.61%$47,154$37,4545.50%0.61%
201321.28%-1.74%$47,756$36,8031.28%-1.74%
201333.88%-1.54%$49,611$36,2373.88%-1.54%
201341.70%1.32%$50,454$36,7161.70%1.32%
201352.32%-3.73%$51,626$35,3462.32%-3.73%
20136-1.27%-6.14%$50,968$33,176-1.27%-6.14%
201375.49%0.97%$53,764$33,4995.49%0.97%
20138-2.82%-3.18%$52,246$32,435-2.82%-3.18%
201393.66%7.15%$54,160$34,7553.66%7.15%
2013104.22%4.65%$56,448$36,3724.22%4.65%
2013112.88%-2.02%$58,074$35,6382.88%-2.02%
2013122.63%-0.96%$59,602$35,2962.63%-0.96%
20141-3.11%-7.27%$57,751$32,730-3.11%-7.27%
201424.73%3.42%$60,484$33,8494.73%3.42%
201430.51%3.86%$60,794$35,1560.51%3.86%
201440.06%0.51%$60,833$35,3340.06%0.51%
201452.17%3.72%$62,154$36,6472.17%3.72%
201462.54%3.00%$63,731$37,7462.54%3.00%
20147-1.98%1.46%$62,470$38,298-1.98%1.46%
201484.18%3.57%$65,083$39,6654.18%3.57%
20149-2.14%-7.16%$63,692$36,825-2.14%-7.16%
2014102.74%2.31%$65,437$37,6762.74%2.31%
2014112.41%-1.00%$67,014$37,2992.41%-1.00%
201412-0.01%-4.97%$67,011$35,444-0.01%-4.97%
20151-2.77%0.67%$65,153$35,682-2.77%0.67%
201525.76%3.53%$68,907$36,9425.76%3.53%
20153-1.04%-2.08%$68,192$36,174-1.04%-2.08%
201540.42%7.79%$68,480$38,9920.42%7.79%
201551.39%-3.38%$69,432$37,6741.39%-3.38%
20156-1.71%-2.39%$68,245$36,775-1.71%-2.39%
201571.63%-6.81%$69,358$34,2731.63%-6.81%
20158-6.03%-9.32%$65,179$31,077-6.03%-9.32%
20159-2.93%-3.25%$63,267$30,069-2.93%-3.25%
2015107.84%5.57%$68,230$31,7457.84%5.57%
2015110.54%-3.25%$68,599$30,7140.54%-3.25%
201512-2.03%-2.45%$67,207$29,962-2.03%-2.45%
20161-5.67%-6.05%$63,396$28,148-5.67%-6.05%
20162-0.04%-0.87%$63,369$27,904-0.04%-0.87%
201637.01%13.04%$67,812$31,5437.01%13.04%
201640.63%0.78%$68,237$31,7880.63%0.78%
201651.79%-3.40%$69,460$30,7071.79%-3.40%
201660.23%5.04%$69,617$32,2560.23%5.04%
201673.95%4.67%$72,367$33,7643.95%4.67%
201680.26%1.67%$72,554$34,3300.26%1.67%
201690.15%1.27%$72,663$34,7660.15%1.27%
201610-2.21%0.63%$71,054$34,986-2.21%0.63%
2016114.44%-4.36%$74,206$33,4604.44%-4.36%
2016121.92%-0.16%$75,631$33,4061.92%-0.16%
201711.91%4.94%$77,074$35,0561.91%4.94%
201723.71%3.28%$79,934$36,2053.71%3.28%
201730.07%2.25%$79,987$37,0210.07%2.25%
201741.05%1.39%$80,827$37,5371.05%1.39%
201751.01%1.22%$81,640$37,9941.01%1.22%
201760.92%0.78%$82,392$38,2900.92%0.78%
201771.87%5.35%$83,930$40,3371.87%5.35%
201780.15%3.05%$84,052$41,5690.15%3.05%
201792.45%-0.78%$86,115$41,2432.45%-0.78%
2017102.16%2.44%$87,973$42,2482.16%2.44%
2017113.04%0.21%$90,651$42,3383.04%0.21%
2017120.99%3.49%$91,552$43,8140.99%3.49%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value37.54%0.00%
Large-cap Growth42.98%0.75%
Mid-cap Value5.17%0.00%
Mid-cap Growth7.91%0.00%
Small-cap Value3.07%0.00%
Small-cap Growth2.07%0.00%
Global ex-US Developed Markets0.76%0.97%
Emerging Markets0.51%97.09%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%1.20%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.88%98.57%
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
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%$81,552100.00%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
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts100.00%$33,814100.00%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 2
Arithmetic Mean (monthly)0.88%0.75%
Arithmetic Mean (annualized)11.07%9.39%
Geometric Mean (monthly)0.79%0.52%
Geometric Mean (annualized)9.84%6.46%
Volatility (monthly)4.28%6.67%
Volatility (annualized)14.84%23.09%
Downside Deviation (monthly)2.90%4.60%
Max. Drawdown-50.89%-62.70%
US Market Correlation1.000.77
Beta(*)1.001.20
Alpha (annualized)-0.00%-3.62%
R2100.00%59.24%
Sharpe Ratio0.550.29
Sortino Ratio0.790.41
Treynor Ratio (%)8.175.54
Information Ratio0.00-0.10
Diversification Ratio1.001.00
Skewness-0.78-0.56
Excess Kurtosis1.541.68
Historical Value-at-Risk (5%)-7.62%-10.42%
Analytical Value-at-Risk (5%)-6.17%-10.21%
Conditional Value-at-Risk (5%)-9.96%-15.16%
Upside Capture Ratio (%)100.00107.93
Downside Capture Ratio (%)100.00127.14
Positive Periods185 out of 283 (65.37%)161 out of 283 (56.89%)
Gain/Loss Ratio0.881.01
* 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 2
Asian CrisisJul 1997Jan 1998-3.72%-32.75%
Russian Debt DefaultJul 1998Oct 1998-17.57%-26.12%
Dotcom CrashMar 2000Oct 2002-44.11%-43.10%
Subprime CrisisNov 2007Mar 2009-50.89%-62.70%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
8Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
10Feb 1997Mar 19972 monthsMay 19972 months4 months-4.56%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20178 years 10 months10 years 2 months-62.70%
2Aug 1997Aug 19981 year 1 monthJan 20045 years 5 months6 years 6 months-53.99%
3Oct 1994Mar 19956 monthsJan 19971 year 10 months2 years 4 months-24.25%
4May 2006Jun 20062 monthsNov 20065 months7 months-10.92%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-10.41%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-9.40%
7Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
8Mar 1997Apr 19972 monthsJun 19972 months4 months-4.74%
9Jun 1994Jun 19941 monthJul 19941 month2 months-4.34%
10Jan 2007Feb 20072 monthsMar 20071 month3 months-1.85%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.84%14.84%35.79%-37.04%-50.89%0.550.791.00
VEIEXVanguard Emerging Mkts Stock Idx Inv6.46%23.09%75.98%-52.81%-62.70%0.290.410.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVEIEXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv-0.771.000.77
VEIEXVanguard Emerging Mkts Stock Idx Inv0.77-0.771.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$81,552
VEIEXVanguard Emerging Mkts Stock Idx Inv$33,814

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VEIEXVanguard Emerging Mkts Stock Idx Inv100.00%

Annual Asset Returns