Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Mar 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWESX Vanguard Long-Term Investment-Grade Inv 20.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VUSUX Vanguard Long-Term Treasury Admiral 20.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
VWEHX Vanguard High-Yield Corporate Inv 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,793 7.69% 11.76%26.39%-29.13%-42.72% 0.580.830.99
Portfolio 2$10,000$35,482 7.81% 10.94%25.70%-25.05%-39.23% 0.620.910.98
Portfolio 3$10,000$32,534 7.26% 12.70%30.88%-33.85%-45.43% 0.510.731.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.76%19.32%10.00%13.71%8.91%7.69%8.30%8.03%
Portfolio 25.59%18.67%9.43%13.39%9.06%7.81%7.72%7.56%
Portfolio 35.15%18.34%9.98%13.52%8.46%7.26%8.73%8.38%
Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2001 are based on monthly returns from March 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Long-Term Investment-Grade Inv (VWESX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Long-Term Treasury Admiral (VUSUX)Vanguard High-Yield Corporate Inv (VWEHX)
ReturnBalanceReturnBalanceReturnBalance
20010.51%-3.12%$9,688-3.74%$9,626-4.70%$9,5305.42%-5.25%2.29%-2.49%
20022.38%-14.12%$8,321-13.40%$8,336-16.41%$7,96613.22%-20.95%16.82%1.73%
20031.88%26.39%$10,51625.70%$10,47828.57%$10,2426.26%31.42%2.81%17.20%
20043.26%11.88%$11,76511.54%$11,68711.79%$11,4498.94%12.61%7.25%8.52%
20053.42%5.90%$12,4596.22%$12,4145.42%$12,0705.13%6.09%6.77%2.77%
20062.54%13.07%$14,08712.88%$14,01414.15%$13,7782.86%15.63%1.91%8.24%
20074.08%5.21%$14,8216.34%$14,9024.86%$14,4483.75%5.57%9.42%2.04%
20080.09%-29.13%$10,503-25.05%$11,169-33.85%$9,5582.29%-36.99%22.69%-21.29%
20092.72%24.81%$13,10920.67%$13,47830.88%$12,5098.75%28.83%-11.93%39.09%
20101.50%15.95%$15,19915.62%$15,58216.28%$14,54610.71%17.26%9.06%12.40%
20112.96%4.30%$15,8536.75%$16,6342.29%$14,87917.18%1.08%29.41%7.13%
20121.74%15.44%$18,30113.82%$18,93315.98%$17,25711.66%16.38%3.57%14.36%
20131.50%25.65%$22,99424.23%$23,52027.73%$22,041-5.87%33.52%-12.94%4.54%
20140.76%13.68%$26,14015.13%$27,07810.96%$24,45818.17%12.56%25.40%4.58%
20150.73%-0.13%$26,1060.02%$27,0840.03%$24,465-2.21%0.39%-1.44%-1.39%
20162.07%11.69%$29,15910.39%$29,89912.37%$27,4927.82%12.66%1.30%11.19%
20172.11%19.32%$34,79318.67%$35,48218.34%$32,53411.93%21.17%8.69%7.02%
Annual return for 2001 is from 03/01/2001 to 12/31/2001
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Long-Term Investment-Grade Inv (VWESX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Long-Term Treasury Admiral (VUSUX)Vanguard High-Yield Corporate Inv (VWEHX)
ReturnBalanceReturnBalanceReturnBalance
20013-5.39%$9,461-5.49%$9,451-5.62%$9,438-0.13%-6.71%-0.59%-1.25%
200146.14%$10,0415.91%$10,0106.43%$10,045-1.43%8.16%-2.55%-0.13%
200150.97%$10,1390.86%$10,0960.96%$10,1420.80%1.01%0.22%0.77%
20016-1.20%$10,017-1.16%$9,978-1.86%$9,9540.55%-1.62%0.77%-2.80%
20017-0.60%$9,957-0.67%$9,912-1.14%$9,8403.86%-1.71%3.62%1.23%
20018-4.38%$9,521-4.36%$9,480-4.63%$9,3841.79%-6.00%2.04%0.90%
20019-7.20%$8,835-6.83%$8,832-8.10%$8,625-0.95%-8.98%0.89%-4.76%
2001103.00%$9,1003.14%$9,1102.32%$8,8254.54%2.52%5.13%1.59%
2001115.29%$9,5824.63%$9,5316.63%$9,409-2.25%7.68%-4.97%2.82%
2001121.11%$9,6880.99%$9,6261.28%$9,530-1.26%1.79%-1.89%-0.66%
20021-0.73%$9,618-0.78%$9,550-0.88%$9,4461.48%-1.28%1.21%0.75%
20022-1.39%$9,484-1.37%$9,419-1.79%$9,2771.18%-2.05%1.25%-0.79%
200232.80%$9,7502.66%$9,6703.77%$9,627-3.19%4.39%-3.85%1.35%
20024-3.40%$9,418-3.20%$9,360-3.62%$9,2782.68%-4.90%3.75%1.48%
20025-0.69%$9,353-0.84%$9,281-1.02%$9,1841.14%-1.18%0.40%-0.41%
20026-5.48%$8,840-5.20%$8,798-6.19%$8,6150.42%-7.09%1.77%-2.87%
20027-6.10%$8,301-5.52%$8,313-7.09%$8,0050.43%-8.02%2.94%-3.78%
200281.60%$8,4341.50%$8,4380.89%$8,0764.79%0.58%4.29%1.97%
20029-6.92%$7,851-6.48%$7,891-8.08%$7,4232.59%-10.10%4.03%-1.36%
2002104.48%$8,2024.67%$8,2595.81%$7,854-3.83%7.65%-2.83%0.20%
2002114.84%$8,5994.20%$8,6065.67%$8,3001.28%6.06%-0.96%4.41%
200212-3.24%$8,321-3.14%$8,336-4.03%$7,9663.86%-5.56%4.06%1.05%
20031-2.00%$8,154-2.12%$8,159-1.72%$7,8280.16%-2.54%-0.44%1.56%
20032-0.76%$8,092-0.73%$8,100-1.07%$7,7452.84%-1.69%3.04%1.30%
200330.65%$8,1450.63%$8,1511.16%$7,834-1.01%1.10%-1.12%1.36%
200347.00%$8,7156.70%$8,6977.24%$8,4012.40%8.21%0.92%3.64%
200355.95%$9,2346.02%$9,2214.92%$8,8155.33%6.11%5.69%0.33%
200360.90%$9,3170.87%$9,3011.54%$8,950-1.28%1.44%-1.47%1.92%
200370.24%$9,3390.27%$9,3271.58%$9,092-8.57%2.36%-8.56%-1.60%
200382.29%$9,5542.22%$9,5342.09%$9,2821.86%2.39%1.44%0.83%
20039-0.05%$9,549-0.06%$9,528-0.52%$9,2335.04%-1.13%5.08%2.11%
2003104.66%$9,9944.54%$9,9615.21%$9,715-1.76%6.12%-2.57%1.45%
2003111.26%$10,1191.23%$10,0841.36%$9,8470.47%1.42%0.32%1.10%
2003123.92%$10,5163.91%$10,4784.01%$10,2421.36%4.45%1.24%2.07%
200412.16%$10,7432.14%$10,7021.97%$10,4431.89%2.23%1.75%0.93%
200421.50%$10,9041.57%$10,8701.23%$10,5721.62%1.47%1.97%0.26%
20043-0.61%$10,838-0.58%$10,807-0.72%$10,4951.31%-1.09%1.46%0.77%
20044-2.73%$10,542-2.80%$10,504-1.82%$10,305-5.18%-2.11%-5.51%-0.66%
200450.99%$10,6461.00%$10,6090.78%$10,385-0.62%1.38%-0.55%-1.60%
200461.82%$10,8401.84%$10,8041.91%$10,5830.81%2.07%0.88%1.26%
20047-2.74%$10,543-2.77%$10,505-2.84%$10,2831.71%-3.80%1.53%1.11%
200480.99%$10,6480.93%$10,6030.63%$10,3483.67%0.31%3.40%1.91%
200491.60%$10,8181.59%$10,7721.65%$10,5190.98%1.76%0.95%1.22%
2004101.68%$10,9991.66%$10,9511.71%$10,6991.52%1.71%1.47%1.71%
2004113.40%$11,3733.26%$11,3083.78%$11,103-1.55%4.68%-2.24%0.27%
2004123.45%$11,7653.35%$11,6873.12%$11,4492.72%3.62%2.23%1.08%
20051-1.61%$11,576-1.62%$11,498-2.18%$11,2002.66%-2.68%2.60%-0.17%
200521.47%$11,7461.41%$11,6601.91%$11,415-0.92%2.11%-1.23%1.16%
20053-1.60%$11,558-1.55%$11,479-1.95%$11,193-1.00%-1.76%-0.75%-2.68%
20054-1.28%$11,410-1.18%$11,343-1.97%$10,9732.77%-2.32%3.24%-0.55%
200553.46%$11,8043.51%$11,7413.39%$11,3442.31%3.77%2.56%1.90%
200561.03%$11,9261.01%$11,8600.91%$11,4481.74%0.84%1.65%1.22%
200572.74%$12,2522.71%$12,1813.49%$11,848-2.46%4.14%-2.57%0.92%
20058-0.21%$12,227-0.17%$12,160-0.71%$11,7642.71%-0.94%2.89%0.25%
20059-0.03%$12,2230.10%$12,1720.57%$11,831-3.40%0.85%-2.76%-0.56%
200510-1.90%$11,990-1.84%$11,949-1.60%$11,641-2.05%-1.86%-1.72%-0.54%
2005113.36%$12,3933.31%$12,3453.39%$12,0360.77%4.01%0.59%0.91%
2005120.53%$12,4590.57%$12,4140.28%$12,0702.18%0.13%2.35%0.93%
200612.58%$12,7802.62%$12,7402.98%$12,430-1.12%3.50%-0.88%0.92%
200620.27%$12,8140.18%$12,7640.16%$12,4511.28%0.03%0.82%0.70%
200630.71%$12,9050.79%$12,8641.43%$12,629-3.77%1.79%-3.38%-0.04%
200640.54%$12,9750.54%$12,9340.95%$12,748-1.96%1.11%-1.94%0.26%
20065-2.68%$12,627-2.65%$12,591-2.68%$12,406-0.18%-3.23%-0.02%-0.37%
200660.21%$12,6540.30%$12,6280.08%$12,4170.26%0.20%0.72%-0.40%
200670.29%$12,6910.27%$12,6620.07%$12,4261.99%-0.10%1.85%0.78%
200682.48%$13,0062.40%$12,9662.14%$12,6923.20%2.31%2.75%1.44%
200692.19%$13,2912.13%$13,2422.06%$12,9531.89%2.26%1.59%1.25%
2006103.14%$13,7083.03%$13,6443.05%$13,3481.34%3.56%0.78%0.94%
2006112.26%$14,0182.18%$13,9412.11%$13,6292.39%2.23%1.92%1.56%
2006120.49%$14,0870.52%$14,0141.09%$13,778-2.26%1.13%-2.12%0.93%
200711.38%$14,2821.34%$14,2011.62%$14,002-0.60%1.88%-0.83%0.60%
20072-0.65%$14,189-0.72%$14,098-0.99%$13,8623.28%-1.61%2.94%1.51%
200730.49%$14,2590.67%$14,1930.92%$13,990-1.97%1.13%-1.11%0.13%
200743.44%$14,7493.41%$14,6773.47%$14,4771.01%4.04%0.87%1.24%
200752.62%$15,1362.60%$15,0583.08%$14,923-1.79%3.69%-1.92%0.61%
20076-1.58%$14,896-1.53%$14,828-1.79%$14,655-1.19%-1.68%-0.87%-2.27%
20077-2.64%$14,503-2.30%$14,487-3.37%$14,1620.61%-3.38%2.40%-3.30%
200781.36%$14,7001.56%$14,7131.53%$14,3780.95%1.45%1.99%1.84%
200793.05%$15,1492.94%$15,1463.46%$14,8750.71%3.61%0.23%2.80%
2007101.80%$15,4221.74%$15,4101.56%$15,1071.73%1.82%1.41%0.46%
200711-3.33%$14,909-2.73%$14,990-3.97%$14,5071.58%-4.46%4.61%-1.87%
200712-0.59%$14,821-0.58%$14,902-0.41%$14,448-0.50%-0.61%-0.47%0.47%
20081-4.85%$14,101-4.33%$14,256-5.01%$13,7250.05%-6.08%2.66%-0.72%
20082-2.54%$13,743-2.31%$13,927-2.71%$13,352-0.66%-3.04%0.36%-1.46%
20083-0.48%$13,677-0.23%$13,894-0.51%$13,284-0.07%-0.59%1.03%-0.22%
200843.97%$14,2203.49%$14,3804.73%$13,9120.14%5.02%-1.83%3.65%
200851.27%$14,4001.22%$14,5561.63%$14,139-2.00%2.12%-2.12%-0.22%
20086-6.43%$13,474-6.15%$13,661-7.13%$13,1310.61%-8.20%1.81%-3.01%
20087-0.97%$13,343-0.53%$13,588-0.85%$13,020-1.69%-0.77%0.31%-1.13%
200881.56%$13,5511.66%$13,8141.41%$13,2031.35%1.61%1.82%0.67%
20089-8.52%$12,397-7.13%$12,829-8.61%$12,067-5.73%-9.28%0.29%-6.13%
200810-15.78%$10,441-14.23%$11,003-17.14%$9,999-9.23%-17.63%-3.62%-15.39%
200811-4.04%$10,018-2.43%$10,736-7.49%$9,2508.22%-7.86%12.08%-6.22%
2008124.84%$10,5034.03%$11,1693.33%$9,55813.08%1.83%8.88%8.46%
20091-7.72%$9,692-8.30%$10,242-5.46%$9,035-5.57%-8.26%-8.46%5.71%
20092-8.86%$8,834-8.56%$9,365-8.76%$8,244-2.68%-10.45%-1.00%-2.89%
200936.78%$9,4337.99%$10,1137.12%$8,831-0.19%8.73%5.28%1.95%
200948.52%$10,2367.32%$10,8539.97%$9,7110.42%10.60%-4.98%7.83%
200955.15%$10,7633.84%$11,2695.11%$10,2084.38%5.33%-2.67%4.35%
200961.02%$10,8730.43%$11,3170.66%$10,2753.83%0.37%0.71%1.70%
200977.39%$11,6766.63%$12,0687.40%$11,0365.39%7.87%0.81%5.79%
200983.40%$12,0733.31%$12,4662.89%$11,3552.42%3.63%1.69%0.29%
200994.04%$12,5613.88%$12,9514.23%$11,8363.14%4.25%1.99%4.17%
200910-2.25%$12,278-2.42%$12,637-1.71%$11,634-0.71%-2.61%-1.44%1.60%
2009114.79%$12,8665.06%$13,2764.56%$12,1641.02%5.66%1.92%0.65%
2009121.89%$13,1091.52%$13,4782.83%$12,509-2.44%2.85%-5.65%2.76%
20101-2.40%$12,794-2.23%$13,177-2.60%$12,1831.84%-3.46%2.67%0.83%
201022.57%$13,1232.61%$13,5212.67%$12,509-0.44%3.36%-0.20%0.05%
201035.03%$13,7824.68%$14,1535.54%$13,2020.17%6.26%-1.50%2.70%
201042.42%$14,1152.32%$14,4802.11%$13,4813.28%2.21%2.77%1.72%
20105-6.45%$13,205-5.64%$13,664-7.10%$12,524-0.06%-8.00%4.24%-3.42%
20106-3.64%$12,724-3.47%$13,191-4.16%$12,0034.09%-5.67%4.68%1.77%
201075.80%$13,4615.37%$13,8996.25%$12,7531.52%7.03%-0.16%3.42%
20108-2.61%$13,111-2.15%$13,600-3.69%$12,2835.17%-4.75%7.09%0.28%
201097.03%$14,0336.78%$14,5238.02%$13,268-1.07%9.50%-1.81%2.76%
2010102.62%$14,4002.35%$14,8643.58%$13,743-2.19%3.94%-3.28%2.20%
2010110.25%$14,4360.12%$14,8820.12%$13,759-1.01%0.58%-1.59%-1.66%
2010125.29%$15,1994.70%$15,5825.72%$14,546-0.80%6.83%-3.57%1.32%
201111.44%$15,4181.28%$15,7812.15%$14,859-1.56%2.19%-2.37%2.01%
201123.33%$15,9313.17%$16,2813.15%$15,3272.08%3.63%1.25%1.25%
201130.29%$15,9770.37%$16,3410.41%$15,391-0.38%0.45%0.03%0.28%
201142.94%$16,4472.81%$16,8012.72%$15,8092.75%2.99%2.05%1.61%
20115-0.45%$16,373-0.33%$16,746-0.82%$15,6792.59%-1.16%3.30%0.59%
20116-1.86%$16,069-1.82%$16,440-1.62%$15,425-2.15%-1.79%-1.99%-0.96%
20117-0.90%$15,924-0.98%$16,279-1.50%$15,1944.53%-2.22%4.19%1.46%
20118-4.52%$15,204-3.02%$15,787-5.45%$14,3671.27%-6.02%8.69%-3.19%
20119-4.99%$14,446-3.66%$15,209-6.53%$13,4284.90%-7.75%10.17%-1.91%
2011109.19%$15,7747.66%$16,37410.20%$14,7971.79%11.54%-3.33%5.39%
201111-0.93%$15,6270.21%$16,408-0.66%$14,700-3.14%-0.29%1.82%-2.05%
2011121.45%$15,8531.38%$16,6341.22%$14,8793.66%0.82%3.14%2.75%
201214.56%$16,5764.08%$17,3134.64%$15,5692.46%5.08%0.09%2.87%
201223.50%$17,1553.03%$17,8383.79%$16,1600.38%4.26%-2.10%1.90%
201232.04%$17,5051.82%$18,1632.39%$16,545-2.35%3.07%-3.76%-0.47%
20124-0.03%$17,5000.24%$18,206-0.31%$16,4942.67%-0.63%4.38%1.04%
20125-4.53%$16,709-3.71%$17,530-5.24%$15,6302.91%-6.23%7.80%-0.99%
201263.13%$17,2322.86%$18,0313.57%$16,188-0.08%3.94%-1.44%2.08%
201271.85%$17,5501.48%$18,2971.24%$16,3885.20%1.03%3.33%2.07%
201281.92%$17,8861.81%$18,6292.18%$16,746-0.43%2.51%-1.05%0.86%
201292.05%$18,2531.69%$18,9422.30%$17,132-0.09%2.58%-2.09%1.17%
201210-1.08%$18,055-1.51%$18,656-1.22%$16,9221.75%-1.76%-0.43%1.01%
2012110.50%$18,1460.85%$18,8150.72%$17,045-0.45%0.74%1.36%0.66%
2012120.85%$18,3010.62%$18,9331.24%$17,257-0.66%1.22%-1.98%1.34%
201314.11%$19,0523.75%$19,6424.53%$18,039-1.46%5.50%-3.27%0.67%
201321.24%$19,2891.28%$19,8921.09%$18,2351.11%1.28%1.27%0.29%
201333.13%$19,8923.19%$20,5273.32%$18,840-0.25%3.91%0.04%0.82%
201342.04%$20,2992.09%$20,9571.68%$19,1573.58%1.70%3.88%1.61%
201351.03%$20,5080.77%$21,1181.76%$19,494-4.74%2.35%-6.22%-0.81%
20136-1.88%$20,122-1.59%$20,783-1.56%$19,191-4.91%-1.24%-3.25%-2.96%
201374.65%$21,0584.22%$21,6594.81%$20,1140.72%5.46%-1.92%1.85%
20138-2.59%$20,513-2.56%$21,105-2.49%$19,613-1.51%-2.80%-1.27%-1.02%
201393.15%$21,1593.22%$21,7853.20%$20,2400.51%3.67%0.89%0.99%
2013103.91%$21,9863.79%$22,6113.95%$21,0392.17%4.25%1.33%2.51%
2013112.31%$22,4952.06%$23,0762.44%$21,553-0.72%2.88%-2.48%0.30%
2013122.22%$22,9941.92%$23,5202.27%$22,041-0.19%2.66%-2.36%0.32%
20141-1.63%$22,619-1.23%$23,231-2.35%$21,5234.25%-3.11%6.27%0.66%
201424.08%$23,5413.86%$24,1284.17%$22,4201.56%4.75%0.61%1.92%
201430.50%$23,6590.55%$24,2590.45%$22,5200.43%0.52%0.64%0.14%
201440.46%$23,7670.43%$24,3640.17%$22,5591.96%0.06%1.83%0.61%
201452.20%$24,2912.29%$24,9221.92%$22,9932.33%2.17%2.74%0.95%
201462.09%$24,7971.99%$25,4182.18%$23,4940.27%2.57%-0.15%0.61%
20147-1.51%$24,422-1.44%$25,052-1.82%$23,0660.28%-1.98%0.60%-1.17%
201483.96%$25,3904.19%$26,1023.67%$23,9133.14%4.18%4.24%1.62%
20149-2.19%$24,833-2.08%$25,559-2.05%$23,422-2.53%-2.11%-1.98%-1.84%
2014102.60%$25,4802.71%$26,2532.59%$24,0292.09%2.74%2.62%1.97%
2014112.25%$26,0542.52%$26,9151.85%$24,4741.58%2.43%2.87%-0.54%
2014120.33%$26,1400.61%$27,078-0.07%$24,4581.59%0.00%2.83%-0.37%
20151-1.05%$25,866-0.42%$26,964-2.09%$23,9475.85%-2.77%8.97%0.64%
201523.90%$26,8743.26%$27,8444.97%$25,137-2.96%5.76%-5.65%1.93%
20153-0.74%$26,675-0.58%$27,682-0.92%$24,9070.34%-1.01%1.13%-0.55%
20154-0.13%$26,640-0.29%$27,6030.53%$25,038-2.32%0.42%-3.06%0.95%
201550.67%$26,8170.69%$27,7931.17%$25,331-2.28%1.39%-2.15%0.30%
20156-2.00%$26,282-2.09%$27,212-1.64%$24,915-3.23%-1.70%-3.72%-1.39%
201571.83%$26,7622.14%$27,7931.38%$25,2592.59%1.65%4.22%0.29%
20158-5.11%$25,395-4.98%$26,408-4.99%$23,998-1.30%-6.00%-0.71%-0.89%
20159-2.09%$24,865-1.96%$25,890-2.77%$23,3321.36%-2.94%1.92%-2.12%
2015106.45%$26,4676.12%$27,4746.81%$24,9200.96%7.86%-0.47%2.77%
2015110.42%$26,5800.29%$27,5540.16%$24,960-0.13%0.56%-0.80%-1.44%
201512-1.78%$26,106-1.70%$27,084-1.98%$24,465-0.73%-2.04%-0.33%-1.76%
20161-4.24%$24,998-3.47%$26,144-4.72%$23,3111.39%-5.65%5.24%-0.99%
201620.27%$25,0670.59%$26,2990.06%$23,3251.45%-0.04%2.87%0.46%
201636.34%$26,6565.48%$27,7406.16%$24,7623.80%7.03%0.06%2.85%
201640.90%$26,8970.38%$27,8451.04%$25,0201.88%0.65%-0.62%2.60%
201651.41%$27,2771.55%$28,2751.40%$25,3700.06%1.77%0.69%-0.05%
201661.04%$27,5601.56%$28,7170.36%$25,4624.03%0.25%6.58%0.80%
201673.70%$28,5813.53%$29,7303.56%$26,3682.80%3.95%2.02%2.04%
201680.23%$28,6470.00%$29,7320.55%$26,5140.06%0.28%-0.99%1.66%
20169-0.10%$28,619-0.16%$29,6850.25%$26,580-1.02%0.15%-1.31%0.62%
201610-2.27%$27,970-2.64%$28,902-1.71%$26,126-2.48%-2.21%-4.22%0.28%
2016112.43%$28,6501.91%$29,4543.34%$26,999-5.17%4.45%-7.85%-0.91%
2016121.78%$29,1591.51%$29,8991.83%$27,4921.12%1.93%-0.34%1.39%
201711.61%$29,6291.67%$30,3981.74%$27,9700.35%1.93%0.66%1.00%
201723.34%$30,6173.29%$31,3973.26%$28,8811.82%3.71%1.58%1.44%
20173-0.10%$30,587-0.05%$31,3820.02%$28,887-0.82%0.08%-0.58%-0.22%
201741.12%$30,9311.14%$31,7391.10%$29,2041.44%1.05%1.51%1.29%
201751.23%$31,3131.18%$32,1131.01%$29,4992.12%1.02%1.82%0.96%
201761.00%$31,6260.87%$32,3930.80%$29,7351.30%0.93%0.64%0.27%
201771.64%$32,1451.39%$32,8421.72%$30,2470.72%1.87%-0.58%1.12%
201780.44%$32,2860.76%$33,0910.15%$30,2931.58%0.16%3.28%0.11%
201791.89%$32,8971.55%$33,6052.14%$30,940-0.43%2.46%-2.18%0.77%
2017101.89%$33,5201.74%$34,1911.78%$31,4900.72%2.17%-0.09%0.09%
2017112.54%$34,3732.60%$35,0792.42%$32,2530.42%3.04%0.64%-0.27%
2017121.22%$34,7931.15%$35,4820.87%$32,5342.17%1.01%1.79%0.27%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value27.12%30.28%25.38%
Large-cap Growth35.95%35.19%39.49%
Mid-cap Value8.82%5.54%13.56%
Mid-cap Growth5.34%6.98%3.58%
Small-cap Value0.52%0.43%0.00%
Small-cap Growth1.65%1.67%2.84%
Global ex-US Developed Markets1.78%0.00%1.00%
Emerging Markets0.83%0.63%1.44%
Corporate Bonds10.77%0.00%8.09%
Long-Term Treasuries7.21%14.04%0.00%
Intermediate-Term Treasuries0.00%5.24%0.00%
Short-Term Treasuries0.00%0.00%4.60%
R Squared99.62%99.79%99.37%
Style analysis is based on monthly returns from April 2005 to December 2017 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWESXVanguard Long-Term Investment-Grade InvLong-Term Bond20.00%2.72%0.22%15.1514.71$3,9893.33%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$20,80496.67%
100.00%1.52%0.08%23.2214.71$24,793100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VUSUXVanguard Long-Term Treasury AdmiralLong Government20.00%2.10%0.10%17.60$3,944-2.31%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$21,537102.31%
100.00%1.40%0.05%25.2317.60$25,482100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$19,48291.04%
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond20.00%3.03%0.23%15.153.71$3,0518.96%
100.00%1.58%0.08%23.223.71$22,534100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (c) 2021 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)0.68%0.68%0.65%
Arithmetic Mean (annualized)8.44%8.46%8.13%
Geometric Mean (monthly)0.62%0.63%0.59%
Geometric Mean (annualized)7.69%7.81%7.26%
Volatility (monthly)3.40%3.16%3.67%
Volatility (annualized)11.76%10.94%12.70%
Downside Deviation (monthly)2.31%2.13%2.52%
Max. Drawdown-42.72%-39.23%-45.43%
US Market Correlation0.990.981.00
Beta(*)0.790.730.87
Alpha (annualized)1.69%2.20%0.82%
R297.03%95.65%99.12%
Sharpe Ratio0.580.620.51
Sortino Ratio0.830.910.73
Treynor Ratio (%)8.579.317.52
Calmar Ratio1.341.341.25
Active Return0.42%0.55%-0.01%
Tracking Error3.62%4.51%2.28%
Information Ratio0.120.12-0.00
Skewness-0.86-0.85-0.82
Excess Kurtosis2.572.372.58
Historical Value-at-Risk (5%)-5.38%-5.19%-6.16%
Analytical Value-at-Risk (5%)-4.97%-4.63%-5.40%
Conditional Value-at-Risk (5%)-7.71%-7.23%-8.38%
Upside Capture Ratio (%)82.7978.2287.66
Downside Capture Ratio (%)76.7270.1085.16
Safe Withdrawal Rate7.35%7.47%7.02%
Perpetual Withdrawal Rate5.20%5.31%4.83%
Positive Periods131 out of 202 (64.85%)134 out of 202 (66.34%)134 out of 202 (66.34%)
Gain/Loss Ratio0.910.890.81
* 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
Subprime CrisisNov 2007Mar 2009-42.72%-39.23%-45.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-42.72%
2Jun 2001Sep 20021 year 4 monthsDec 20031 year 3 months2 years 7 months-22.57%
3May 2011Sep 20115 monthsJan 20124 months9 months-12.16%
4Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-7.48%
5Mar 2001Mar 20011 monthApr 20011 month2 months-5.39%
6Apr 2012May 20122 monthsJul 20122 months4 months-4.55%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.18%
8Mar 2004Apr 20042 monthsOct 20046 months8 months-3.33%
9Jan 2005Apr 20054 monthsMay 20051 month5 months-3.02%
10May 2006May 20061 monthAug 20063 months4 months-2.68%
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 20101 year 10 months3 years 2 months-39.23%
2Jun 2001Sep 20021 year 4 monthsDec 20031 year 3 months2 years 7 months-21.84%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.47%
4Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-7.02%
5Mar 2001Mar 20011 monthApr 20011 month2 months-5.49%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-3.79%
7May 2012May 20121 monthJul 20122 months3 months-3.71%
8Mar 2004Apr 20042 monthsOct 20046 months8 months-3.36%
9Jan 2005Apr 20054 monthsMay 20051 month5 months-2.95%
10Sep 2016Oct 20162 monthsDec 20162 months4 months-2.79%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-45.43%
2Jun 2001Sep 20021 year 4 monthsDec 20031 year 3 months2 years 7 months-26.80%
3May 2011Sep 20115 monthsFeb 20125 months10 months-15.06%
4Jun 2015Jan 20168 monthsMay 20164 months1 year-7.97%
5Mar 2001Mar 20011 monthApr 20011 month2 months-5.62%
6Apr 2012May 20122 monthsAug 20123 months5 months-5.53%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.10%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.16%
9Jul 2004Jul 20041 monthOct 20043 months4 months-2.84%
10May 2006May 20061 monthSep 20064 months5 months-2.68%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWESXVanguard Long-Term Investment-Grade Inv7.31%9.24%18.17%-5.87%-16.82%0.671.070.05
VTSAXVanguard Total Stock Mkt Idx Adm7.37%14.60%33.52%-36.99%-50.84%0.470.671.00
VUSUXVanguard Long-Term Treasury Admiral6.61%10.88%29.41%-12.94%-16.56%0.520.86-0.32
VWEHXVanguard High-Yield Corporate Inv6.24%7.78%39.09%-21.29%-28.90%0.640.910.67

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWESXVTSAXVUSUXVWEHXPortfolio 1Portfolio 2Portfolio 3
VWESXVanguard Long-Term Investment-Grade Inv1.000.050.810.400.210.220.09
VTSAXVanguard Total Stock Mkt Idx Adm0.051.00-0.320.670.990.981.00
VUSUXVanguard Long-Term Treasury Admiral0.81-0.321.00-0.06-0.17-0.12-0.30
VWEHXVanguard High-Yield Corporate Inv0.400.67-0.061.000.720.680.74

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWESXVanguard Long-Term Investment-Grade Inv$3,989
VTSAXVanguard Total Stock Mkt Idx Adm$20,804$21,537$19,482
VUSUXVanguard Long-Term Treasury Admiral$3,944
VWEHXVanguard High-Yield Corporate Inv$3,051

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWESXVanguard Long-Term Investment-Grade Inv3.33%
VTSAXVanguard Total Stock Mkt Idx Adm96.67%102.31%91.04%
VUSUXVanguard Long-Term Treasury Admiral-2.31%
VWEHXVanguard High-Yield Corporate Inv8.96%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.83%48.56%-35.72%8.85%44.37%-32.76%8.68%51.74%-38.26%
3 years8.66%24.76%-11.66%8.89%23.96%-9.81%8.39%25.15%-12.84%
5 years8.39%21.66%-4.12%8.68%20.84%-2.94%8.11%22.15%-4.85%
7 years7.65%16.07%-1.01%8.02%15.89%-0.08%7.30%16.02%-1.67%
10 years7.61%9.34%4.77%7.99%9.68%4.99%7.25%9.17%4.35%
15 years8.16%10.02%6.32%8.39%10.14%6.66%7.84%9.98%5.81%