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 (Dec 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBILX Vanguard Interm-Term Bond Index Adm 20.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBTLX Vanguard Total Bond Market Index Adm 20.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFIUX Vanguard Interm-Term Treasury Adm 20.00%
VTSAX Vanguard Total Stock Mkt Idx Adm 80.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,287 7.96% 11.49%26.50%-29.42%-42.03% 0.620.911.00
Portfolio 2$10,000$33,419 7.79% 11.37%26.23%-29.43%-41.94% 0.610.891.00
Portfolio 3$10,000$33,908 7.89% 11.18%26.35%-28.14%-40.99% 0.630.921.00
Vanguard Balanced Index Adm$10,000$29,533 6.97% 8.52%20.11%-22.12%-32.45% 0.691.020.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.13%17.84%9.56%13.12%8.30%7.96%8.30%8.02%
Portfolio 25.31%17.86%9.42%13.02%8.11%7.79%8.10%7.87%
Portfolio 35.24%17.75%9.39%12.91%8.13%7.89%7.96%7.79%
Vanguard Balanced Index Adm3.96%13.89%7.58%10.09%7.14%6.97%5.94%5.84%
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 December 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 bands based (5.00% absolute, 25.00% relative) 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 Balanced Index AdmVanguard Interm-Term Bond Index Adm (VBILX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Interm-Term Treasury Adm (VFIUX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2001-0.39%1.25%$10,1251.32%$10,1321.21%$10,1210.79%$10,079-0.92%1.79%-0.57%-1.15%
20022.38%-14.42%$8,665-14.89%$8,623-13.63%$8,741-9.45%$9,12710.91%-20.95%8.32%14.30%
20031.88%26.50%$10,96126.20%$10,88325.95%$11,00920.02%$10,9535.70%31.42%4.04%2.50%
20043.26%11.44%$12,21511.31%$12,11410.97%$12,2179.36%$11,9795.30%12.61%4.33%3.53%
20053.42%5.36%$12,8705.37%$12,7645.39%$12,8754.79%$12,5531.82%6.09%2.49%2.47%
20062.54%13.33%$14,58513.44%$14,47913.31%$14,58911.06%$13,9423.98%15.63%4.36%3.30%
20074.08%5.95%$15,4545.83%$15,3236.35%$15,5166.31%$14,8217.70%5.57%7.02%10.15%
20080.09%-29.42%$10,907-29.43%$10,813-28.14%$11,149-22.12%$11,5425.01%-36.99%5.15%13.49%
20092.72%24.31%$13,55924.21%$13,43122.66%$13,67620.11%$13,8636.89%28.83%6.04%-1.56%
20101.50%15.88%$15,71315.40%$15,50015.66%$15,81813.29%$15,7069.49%17.26%6.54%7.48%
20112.96%2.70%$16,1362.88%$15,9472.97%$16,2884.29%$16,38010.74%1.08%7.69%9.91%
20121.74%14.70%$18,50813.65%$18,12513.43%$18,47611.49%$18,2617.02%16.38%4.15%2.78%
20131.50%26.24%$23,36326.23%$22,87926.35%$23,34418.10%$21,566-3.45%33.52%-2.15%-2.99%
20140.76%11.58%$26,07011.50%$25,51110.96%$25,9039.99%$23,7206.96%12.56%5.89%4.42%
20150.73%0.54%$26,2090.47%$25,6310.62%$26,0630.51%$23,8411.27%0.39%0.40%1.61%
20162.07%11.01%$29,09510.62%$28,35410.49%$28,7978.77%$25,9302.83%12.66%2.60%1.29%
20172.11%17.84%$34,28717.86%$33,41917.75%$33,90813.89%$29,5333.85%21.17%3.56%1.67%
Annual return for 2001 is from 12/01/2001 to 12/31/2001
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index AdmVanguard Interm-Term Bond Index Adm (VBILX)Vanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard Total Bond Market Index Adm (VBTLX)Vanguard Interm-Term Treasury Adm (VFIUX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2001121.25%$10,1251.32%$10,1321.21%$10,1210.79%$10,079-0.92%1.79%-0.57%-1.15%
20021-0.91%$10,033-0.89%$10,042-0.94%$10,025-0.39%$10,0390.62%-1.28%0.69%0.46%
20022-1.43%$9,890-1.47%$9,894-1.38%$9,887-0.84%$9,9551.05%-2.05%0.86%1.30%
200233.03%$10,1893.20%$10,2103.03%$10,1861.95%$10,149-2.30%4.39%-1.46%-2.29%
20024-3.56%$9,826-3.61%$9,841-3.45%$9,835-2.30%$9,9162.01%-4.90%1.70%2.63%
20025-0.73%$9,754-0.77%$9,766-0.72%$9,764-0.40%$9,8761.02%-1.18%0.80%1.05%
20026-5.55%$9,213-5.55%$9,224-5.25%$9,252-3.95%$9,4850.31%-7.09%0.29%1.73%
20027-6.14%$8,647-6.13%$8,658-5.62%$8,732-4.22%$9,0850.50%-8.02%0.49%2.66%
200281.04%$8,7370.84%$8,7311.03%$8,8221.01%$9,1762.53%0.58%1.67%2.43%
20029-7.04%$8,123-7.31%$8,093-6.85%$8,217-5.42%$8,6792.66%-10.10%1.53%3.04%
2002105.93%$8,6046.00%$8,5785.98%$8,7094.19%$9,043-0.96%7.65%-0.61%-0.69%
2002114.88%$9,0244.93%$9,0014.68%$9,1163.58%$9,367-0.23%6.06%0.03%-1.31%
200212-3.98%$8,665-4.19%$8,623-4.12%$8,741-2.56%$9,1273.32%-5.56%2.08%2.59%
20031-2.13%$8,481-2.05%$8,447-2.15%$8,553-1.47%$8,992-0.40%-2.54%0.06%-0.48%
20032-0.90%$8,405-1.09%$8,355-1.02%$8,466-0.39%$8,9572.37%-1.69%1.38%1.78%
200330.86%$8,4760.86%$8,4260.85%$8,5370.59%$9,010-0.12%1.10%-0.12%-0.17%
200346.84%$9,0566.76%$8,9966.65%$9,1055.22%$9,4801.34%8.21%0.87%0.25%
200355.62%$9,5655.31%$9,4735.49%$9,6054.40%$9,8973.53%6.11%1.83%2.75%
200361.12%$9,6721.16%$9,5831.11%$9,7120.84%$9,981-0.32%1.44%-0.13%-0.42%
200371.02%$9,7701.34%$9,7121.26%$9,8340.06%$9,987-4.97%2.36%-3.33%-3.86%
200382.05%$9,9712.09%$9,9152.02%$10,0331.72%$10,1580.43%2.39%0.62%0.20%
20039-0.26%$9,945-0.49%$9,866-0.44%$9,9890.37%$10,1964.01%-1.13%2.71%3.10%
2003104.79%$10,4214.89%$10,3494.84%$10,4733.21%$10,523-1.42%6.12%-0.95%-1.35%
2003111.24%$10,5501.23%$10,4771.20%$10,5980.96%$10,6240.31%1.42%0.28%0.02%
2003123.90%$10,9613.88%$10,8833.88%$11,0093.10%$10,9531.11%4.45%0.89%0.86%
200412.06%$11,1872.02%$11,1022.02%$11,2311.64%$11,1331.16%2.23%0.87%0.82%
200421.46%$11,3501.40%$11,2581.43%$11,3921.29%$11,2771.40%1.47%1.04%1.24%
20043-0.73%$11,267-0.80%$11,168-0.76%$11,305-0.34%$11,2381.18%-1.09%0.80%1.08%
20044-2.35%$11,002-2.19%$10,924-2.28%$11,047-2.31%$10,979-3.64%-2.11%-2.61%-3.24%
200451.03%$11,1161.10%$11,0451.10%$11,1680.66%$11,051-0.82%1.38%-0.42%-0.50%
200461.84%$11,3201.84%$11,2481.84%$11,3741.50%$11,2170.60%2.07%0.57%0.55%
20047-3.02%$10,979-3.07%$10,902-2.86%$11,049-1.89%$11,0051.29%-3.80%0.97%0.92%
200480.70%$11,0550.57%$10,9640.68%$11,1240.99%$11,1142.70%0.31%1.95%2.08%
200491.54%$11,2251.51%$11,1291.43%$11,2831.17%$11,2440.39%1.76%0.17%0.20%
2004101.61%$11,4051.58%$11,3051.55%$11,4581.36%$11,3961.06%1.71%0.85%0.92%
2004113.70%$11,8283.82%$11,7363.41%$11,8492.52%$11,683-1.37%4.68%-0.80%-1.47%
2004123.28%$12,2153.22%$12,1143.10%$12,2172.53%$11,9791.38%3.62%0.92%0.98%
20051-2.18%$11,949-2.01%$11,870-2.05%$11,966-1.34%$11,8190.59%-2.68%0.66%0.57%
200521.63%$12,1441.55%$12,0541.50%$12,1450.99%$11,936-0.95%2.11%-0.62%-0.97%
20053-1.63%$11,946-1.50%$11,873-1.52%$11,961-1.27%$11,785-0.91%-1.76%-0.48%-0.50%
20054-1.70%$11,742-1.57%$11,686-1.53%$11,779-0.84%$11,6861.75%-2.32%1.36%1.76%
200553.40%$12,1423.20%$12,0603.25%$12,1622.81%$12,0141.45%3.77%1.06%1.21%
200560.84%$12,2440.78%$12,1540.78%$12,2570.69%$12,0970.85%0.84%0.56%0.56%
200573.27%$12,6443.11%$12,5323.05%$12,6302.11%$12,353-1.48%4.14%-0.89%-1.39%
20058-0.41%$12,593-0.51%$12,469-0.45%$12,573-0.05%$12,3471.73%-0.94%1.26%1.66%
200590.37%$12,6390.46%$12,5260.47%$12,6320.08%$12,356-1.50%0.85%-1.09%-1.13%
200510-1.72%$12,422-1.65%$12,319-1.66%$12,423-1.42%$12,180-1.13%-1.86%-0.80%-0.78%
2005113.30%$12,8323.31%$12,7263.33%$12,8372.58%$12,4940.49%4.01%0.49%0.49%
2005120.30%$12,8700.30%$12,7640.30%$12,8750.47%$12,5530.99%0.13%1.00%1.03%
200612.76%$13,2252.80%$13,1212.78%$13,2332.07%$12,813-0.27%3.50%-0.10%-0.32%
200620.04%$13,2300.10%$13,1340.04%$13,2390.15%$12,8320.08%0.03%0.38%0.10%
200631.23%$13,3931.26%$13,3001.29%$13,4090.71%$12,924-1.14%1.79%-0.99%-0.97%
200640.81%$13,5020.87%$13,4160.85%$13,5230.59%$13,000-0.48%1.11%-0.20%-0.36%
20065-2.65%$13,144-2.66%$13,059-2.66%$13,164-2.01%$12,739-0.07%-3.23%-0.09%0.03%
200660.17%$13,1660.18%$13,0830.19%$13,1880.23%$12,7680.01%0.20%0.11%0.11%
200670.21%$13,1940.18%$13,1060.17%$13,2100.45%$12,8261.54%-0.10%1.35%1.37%
200682.24%$13,4892.19%$13,3932.19%$13,4992.00%$13,0831.93%2.31%1.65%1.64%
200692.04%$13,7641.99%$13,6592.02%$13,7721.70%$13,3051.10%2.26%0.82%0.95%
2006103.02%$14,1803.03%$14,0733.03%$14,1892.43%$13,6280.72%3.56%0.73%0.59%
2006112.06%$14,4712.03%$14,3582.04%$14,4781.80%$13,8741.29%2.23%1.12%1.13%
2006120.78%$14,5850.84%$14,4790.76%$14,5890.49%$13,942-0.74%1.13%-0.47%-0.97%
200711.49%$14,8021.53%$14,7001.51%$14,8101.08%$14,092-0.26%1.88%-0.07%-0.24%
20072-0.96%$14,660-1.06%$14,544-1.03%$14,658-0.32%$14,0472.06%-1.61%1.51%1.87%
200730.87%$14,7880.93%$14,6790.94%$14,7950.67%$14,141-0.25%1.13%0.03%0.04%
200743.42%$15,2943.41%$15,1793.45%$15,3052.60%$14,5090.61%4.04%0.52%0.58%
200752.84%$15,7272.91%$15,6212.88%$15,7451.95%$14,791-1.13%3.69%-0.77%-1.17%
20076-1.47%$15,496-1.46%$15,393-1.43%$15,519-1.18%$14,617-0.47%-1.68%-0.38%-0.17%
20077-2.63%$15,089-2.66%$14,983-2.54%$15,126-1.67%$14,3721.03%-3.38%0.85%1.82%
200781.50%$15,3151.43%$15,1981.54%$15,3591.38%$14,5711.72%1.45%1.35%1.98%
200793.08%$15,7873.10%$15,6703.08%$15,8312.48%$14,9320.61%3.61%0.73%0.47%
2007101.68%$16,0521.67%$15,9311.66%$16,0941.47%$15,1521.01%1.82%0.93%0.85%
200711-3.27%$15,528-3.37%$15,394-3.15%$15,587-1.94%$14,8592.45%-4.46%1.92%3.47%
200712-0.48%$15,454-0.46%$15,323-0.46%$15,516-0.25%$14,8210.13%-0.61%0.22%0.29%
20081-4.50%$14,759-4.67%$14,607-4.45%$14,825-2.95%$14,3842.51%-6.08%1.70%3.11%
20082-2.31%$14,418-2.42%$14,254-2.20%$14,499-1.78%$14,1280.66%-3.04%0.20%1.36%
20083-0.47%$14,351-0.41%$14,195-0.29%$14,457-0.17%$14,1050.03%-0.59%0.30%0.94%
200843.82%$14,8993.96%$14,7573.59%$14,9762.83%$14,504-0.83%5.02%-0.29%-2.12%
200851.45%$15,1161.57%$14,9881.47%$15,1960.98%$14,647-1.30%2.12%-0.78%-1.31%
20086-6.65%$14,110-6.66%$13,989-6.54%$14,202-4.96%$13,920-0.08%-8.20%0.00%0.78%
20087-0.61%$14,025-0.61%$13,903-0.46%$14,137-0.44%$13,8590.03%-0.77%0.01%0.79%
200881.43%$14,2251.43%$14,1021.49%$14,3471.23%$14,0300.71%1.61%0.71%0.99%
20089-8.07%$13,076-7.64%$13,025-7.31%$13,298-5.97%$13,192-3.37%-9.28%-1.10%0.52%
200810-14.78%$11,144-14.39%$11,151-14.09%$11,424-11.59%$11,664-4.30%-17.63%-2.53%-1.35%
200811-4.58%$10,634-5.05%$10,588-4.50%$10,909-3.42%$11,2645.81%-7.86%3.65%5.59%
2008122.57%$10,9072.13%$10,8132.20%$11,1492.47%$11,5425.52%1.83%3.33%3.67%
20091-6.83%$10,163-6.73%$10,086-7.06%$10,362-5.24%$10,937-1.32%-8.26%-0.69%-2.38%
20092-8.43%$9,306-8.29%$9,250-8.34%$9,497-6.42%$10,235-1.19%-10.45%-0.42%-0.57%
200937.10%$9,9667.04%$9,9017.46%$10,2056.06%$10,8551.79%8.73%1.49%3.22%
200948.27%$10,7918.33%$10,7257.86%$11,0076.40%$11,5490.19%10.60%0.36%-1.74%
200954.41%$11,2674.41%$11,1984.03%$11,4513.58%$11,9630.88%5.33%0.86%-1.09%
200960.51%$11,3240.40%$11,2430.23%$11,4770.52%$12,0251.07%0.37%0.55%-0.36%
200976.81%$12,0956.59%$11,9846.48%$12,2205.28%$12,6612.61%7.87%1.44%0.61%
200983.18%$12,4803.13%$12,3603.13%$12,6032.62%$12,9931.33%3.63%1.02%0.90%
200993.71%$12,9433.69%$12,8153.67%$13,0653.01%$13,3841.39%4.25%1.20%0.93%
200910-2.02%$12,682-2.06%$12,552-2.11%$12,789-1.33%$13,2060.56%-2.61%0.42%0.26%
2009114.97%$13,3124.87%$13,1635.01%$13,4303.88%$13,7182.02%5.66%1.37%1.97%
2009121.86%$13,5592.04%$13,4311.83%$13,6761.06%$13,863-2.53%2.85%-1.67%-3.12%
20101-2.48%$13,222-2.59%$13,083-2.58%$13,323-1.45%$13,6632.06%-3.46%1.58%1.98%
201022.80%$13,5922.79%$13,4482.86%$13,7042.10%$13,9490.34%3.36%0.20%0.41%
201035.10%$14,2855.15%$14,1415.07%$14,3993.73%$14,469-0.18%6.26%-0.07%-0.90%
201042.10%$14,5852.02%$14,4262.06%$14,6951.74%$14,7221.56%2.21%1.07%1.24%
20105-6.43%$13,647-6.53%$13,484-6.46%$13,745-4.45%$14,0661.19%-8.00%0.88%1.86%
20106-4.16%$13,079-4.37%$12,895-4.36%$13,146-2.71%$13,6842.52%-5.67%1.62%2.08%
201075.96%$13,8585.88%$13,6535.96%$13,9294.50%$14,3001.58%7.03%0.95%1.08%
20108-3.37%$13,391-3.62%$13,159-3.58%$13,430-2.28%$13,9742.52%-4.75%1.49%2.01%
201097.70%$14,4237.69%$14,1717.83%$14,4825.57%$14,7530.57%9.50%-0.00%0.37%
2010103.29%$14,8983.31%$14,6403.35%$14,9672.52%$15,1250.49%3.94%0.37%0.46%
2010110.28%$14,9390.38%$14,6950.32%$15,0150.14%$15,147-1.05%0.58%-0.56%-0.97%
2010125.18%$15,7135.48%$15,5005.35%$15,8183.69%$15,706-2.37%6.83%-1.14%-2.28%
201111.88%$16,0081.85%$15,7871.90%$16,1181.36%$15,9190.34%2.19%0.09%0.30%
201123.04%$16,4943.09%$16,2742.82%$16,5732.26%$16,2790.04%3.63%0.17%-0.42%
201130.36%$16,5520.38%$16,3360.34%$16,6290.27%$16,322-0.11%0.45%0.00%-0.11%
201142.81%$17,0182.74%$16,7832.73%$17,0822.35%$16,7061.86%2.99%1.33%1.61%
20115-0.67%$16,903-0.67%$16,671-0.60%$16,979-0.18%$16,6771.94%-1.16%1.31%1.78%
20116-1.57%$16,637-1.50%$16,422-1.47%$16,730-1.18%$16,481-0.47%-1.79%-0.38%-0.15%
20117-1.42%$16,402-1.44%$16,185-1.35%$16,504-0.72%$16,3622.71%-2.22%1.58%2.19%
20118-4.65%$15,639-4.43%$15,469-4.23%$15,806-2.77%$15,9092.04%-6.02%1.47%2.71%
20119-6.27%$14,659-5.80%$14,572-5.88%$14,876-4.40%$15,2090.39%-7.75%0.90%0.74%
2011109.36%$16,0328.79%$15,8538.73%$16,1746.98%$16,2700.39%11.54%0.17%-0.41%
201111-0.35%$15,976-0.29%$15,808-0.16%$16,148-0.28%$16,225-0.64%-0.29%-0.29%0.30%
2011121.00%$16,1360.88%$15,9470.86%$16,2880.95%$16,3801.83%0.82%1.09%1.01%
201214.46%$16,8564.14%$16,6084.15%$16,9653.40%$16,9361.65%5.08%0.88%0.81%
201223.50%$17,4463.33%$17,1613.23%$17,5122.53%$17,365-0.07%4.26%-0.04%-0.65%
201232.39%$17,8632.31%$17,5572.29%$17,9131.60%$17,642-0.93%3.07%-0.57%-0.78%
20124-0.23%$17,823-0.27%$17,510-0.21%$17,8760.09%$17,6571.81%-0.63%1.15%1.51%
20125-4.96%$16,939-4.75%$16,678-4.74%$17,028-3.38%$17,0611.37%-6.23%0.96%1.25%
201263.25%$17,4903.09%$17,1933.06%$17,5492.36%$17,4630.10%3.94%0.04%-0.21%
201271.16%$17,6921.11%$17,3841.00%$17,7251.17%$17,6681.77%1.03%1.39%0.87%
201282.12%$18,0671.98%$17,7292.02%$18,0831.55%$17,9420.26%2.51%0.04%0.11%
201292.21%$18,4662.06%$18,0952.05%$18,4531.59%$18,2260.41%2.58%0.12%-0.05%
201210-1.42%$18,204-1.37%$17,846-1.47%$18,181-1.01%$18,0430.25%-1.76%0.12%-0.31%
2012110.71%$18,3330.63%$17,9580.72%$18,3110.55%$18,1420.57%0.74%0.20%0.63%
2012120.95%$18,5080.93%$18,1250.90%$18,4760.65%$18,261-0.35%1.22%-0.19%-0.40%
201314.42%$19,3254.23%$18,8914.27%$19,2663.03%$18,814-0.93%5.50%-0.70%-0.73%
201321.23%$19,5631.14%$19,1061.17%$19,4910.98%$18,9990.99%1.28%0.55%0.72%
201333.33%$20,2153.17%$19,7123.24%$20,1222.40%$19,4540.29%3.91%0.09%0.28%
201341.64%$20,5471.55%$20,0181.52%$20,4281.43%$19,7321.33%1.70%0.92%0.72%
201351.61%$20,8781.59%$20,3371.60%$20,7540.70%$19,871-2.43%2.35%-1.70%-1.83%
20136-1.56%$20,552-1.32%$20,069-1.31%$20,483-1.38%$19,597-2.85%-1.24%-1.64%-1.61%
201374.46%$21,4694.51%$20,9754.54%$21,4123.33%$20,2490.43%5.46%0.21%0.14%
20138-2.51%$20,932-2.42%$20,466-2.50%$20,877-1.92%$19,861-1.25%-2.80%-0.63%-1.01%
201393.27%$21,6163.20%$21,1203.30%$21,5662.56%$20,3701.59%3.67%0.97%1.48%
2013103.64%$22,4033.65%$21,8913.63%$22,3482.87%$20,9551.05%4.25%0.79%0.49%
2013112.28%$22,9142.34%$22,4042.40%$22,8841.56%$21,283-0.37%2.88%-0.34%-0.13%
2013121.96%$23,3632.12%$22,8792.01%$23,3441.33%$21,566-1.24%2.66%-0.64%-1.48%
20141-2.17%$22,855-2.37%$22,338-2.38%$22,787-1.24%$21,2992.25%-3.11%1.55%1.67%
201423.99%$23,7684.05%$23,2424.04%$23,7083.02%$21,9420.58%4.75%0.49%0.22%
201430.37%$23,8570.42%$23,3390.35%$23,7920.24%$21,994-0.32%0.52%-0.14%-0.59%
201440.20%$23,9050.18%$23,3800.15%$23,8280.36%$22,0730.86%0.06%0.78%0.50%
201452.06%$24,3991.99%$23,8461.94%$24,2911.75%$22,4591.57%2.17%1.06%1.04%
201462.11%$24,9152.18%$24,3672.03%$24,7841.56%$22,810-0.03%2.57%0.12%-0.12%
20147-1.69%$24,494-1.71%$23,950-1.67%$24,371-1.28%$22,518-0.28%-1.98%-0.25%-0.38%
201483.69%$25,3993.70%$24,8373.56%$25,2392.95%$23,1821.38%4.18%1.14%1.04%
20149-1.93%$24,908-1.89%$24,367-1.83%$24,778-1.54%$22,826-1.07%-2.11%-0.71%-0.65%
2014102.48%$25,5252.46%$24,9672.43%$25,3792.09%$23,3021.20%2.74%0.95%1.13%
2014112.17%$26,0802.16%$25,5062.13%$25,9191.77%$23,7160.92%2.43%0.66%0.85%
201412-0.04%$26,0700.02%$25,511-0.06%$25,9030.02%$23,720-0.26%0.00%0.10%-0.34%
20151-1.76%$25,611-2.00%$24,999-1.73%$25,454-0.74%$23,5453.29%-2.77%2.32%2.71%
201524.49%$26,7604.69%$26,1714.31%$26,5502.92%$24,232-1.49%5.76%-1.07%-1.58%
20153-0.73%$26,566-0.72%$25,981-0.68%$26,371-0.41%$24,1330.69%-1.01%0.42%0.77%
201540.32%$26,6490.26%$26,0500.30%$26,4500.10%$24,157-0.21%0.42%-0.35%-0.20%
201551.10%$26,9411.02%$26,3161.11%$26,7430.66%$24,317-0.38%1.39%-0.44%-0.11%
20156-1.64%$26,499-1.56%$25,905-1.52%$26,336-1.42%$23,973-1.34%-1.70%-1.00%-0.73%
201571.53%$26,9051.47%$26,2871.50%$26,7321.31%$24,2880.94%1.65%0.77%0.85%
20158-5.08%$25,537-4.89%$25,003-4.89%$25,425-3.69%$23,392-0.38%-6.00%-0.35%-0.03%
20159-2.23%$24,967-2.18%$24,459-2.13%$24,883-1.45%$23,0541.19%-2.94%0.76%1.20%
2015106.46%$26,5796.19%$25,9726.18%$26,4194.64%$24,125-0.04%7.86%0.02%-0.46%
2015110.41%$26,6890.39%$26,0750.38%$26,5200.20%$24,173-0.31%0.56%-0.26%-0.38%
201512-1.80%$26,209-1.70%$25,631-1.72%$26,063-1.38%$23,841-0.61%-2.04%-0.37%-0.37%
20161-4.38%$25,061-4.21%$24,551-4.12%$24,990-2.81%$23,1721.92%-5.65%1.44%2.37%
201620.14%$25,0970.11%$24,5780.14%$25,0240.28%$23,2371.00%-0.04%0.67%0.83%
201635.96%$26,5935.72%$25,9845.63%$26,4344.63%$24,3121.09%7.03%0.95%0.23%
201640.62%$26,7570.59%$26,1380.50%$26,5650.54%$24,4430.47%0.65%0.39%-0.12%
201651.43%$27,1401.41%$26,5071.39%$26,9341.07%$24,705-0.21%1.77%0.02%-0.20%
201660.62%$27,3090.59%$26,6640.59%$27,0940.93%$24,9352.45%0.25%1.94%2.05%
201673.39%$28,2353.27%$27,5373.19%$27,9602.64%$25,5940.72%3.95%0.65%0.05%
201680.14%$28,2740.19%$27,5890.09%$27,9850.10%$25,619-0.54%0.28%-0.16%-0.72%
201690.16%$28,3200.11%$27,6180.18%$28,0350.07%$25,6370.20%0.15%-0.08%0.29%
201610-1.99%$27,756-1.93%$27,085-1.94%$27,492-1.68%$25,206-0.89%-2.21%-0.80%-0.73%
2016113.13%$28,6253.02%$27,9043.11%$28,3481.64%$25,621-3.38%4.45%-2.63%-2.64%
2016121.64%$29,0951.61%$28,3541.58%$28,7971.21%$25,9300.10%1.93%0.25%-0.04%
201711.69%$29,5871.62%$28,8141.64%$29,2701.25%$26,2560.40%1.93%0.30%0.31%
201723.27%$30,5533.14%$29,7203.14%$30,1882.51%$26,9140.82%3.71%0.67%0.40%
201730.07%$30,5750.05%$29,7360.08%$30,2110.02%$26,9200.05%0.08%-0.06%0.07%
201741.06%$30,8991.00%$30,0331.00%$30,5150.96%$27,1801.10%1.05%0.77%0.78%
201750.98%$31,2030.96%$30,3210.95%$30,8050.89%$27,4230.84%1.02%0.68%0.60%
201760.68%$31,4160.76%$30,5530.69%$31,0190.55%$27,575-0.31%0.93%0.02%-0.47%
201771.63%$31,9271.60%$31,0431.63%$31,5241.28%$27,9280.66%1.87%0.40%0.43%
201780.33%$32,0310.29%$31,1320.28%$31,6110.45%$28,0541.01%0.16%0.86%0.87%
201791.81%$32,6121.93%$31,7331.92%$32,2191.26%$28,408-0.82%2.46%-0.53%-0.83%
2017101.78%$33,1931.82%$32,3101.79%$32,7971.34%$28,7890.14%2.17%0.12%-0.20%
2017112.39%$33,9882.50%$33,1162.51%$33,6181.76%$29,296-0.40%3.04%-0.16%-0.38%
2017120.88%$34,2870.91%$33,4190.86%$33,9080.81%$29,5330.32%1.01%0.45%0.08%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Adm
Large-cap Value28.97%29.51%29.74%21.30%
Large-cap Growth35.93%36.07%35.24%27.97%
Mid-cap Value7.14%6.65%4.98%6.47%
Mid-cap Growth5.55%5.35%5.69%4.25%
Small-cap Value0.37%0.49%2.34%0.00%
Small-cap Growth2.12%2.23%1.56%0.94%
Global ex-US Developed Markets0.59%0.23%0.79%0.00%
Emerging Markets0.78%0.70%0.41%1.05%
Corporate Bonds4.74%2.76%0.00%4.94%
Long-Term Treasuries0.00%0.03%0.00%0.78%
Intermediate-Term Treasuries10.36%6.07%12.28%11.89%
Short-Term Treasuries3.45%9.90%6.98%20.42%
R Squared99.83%99.85%99.85%99.65%
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
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond20.00%1.58%0.07%6.61$2,2290.29%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$22,05899.71%
100.00%1.29%0.05%25.236.61$24,287100.00%

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
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond20.00%1.33%0.05%6.63$1,892-0.17%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$21,527100.17%
100.00%1.24%0.04%25.236.63$23,419100.00%

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
VFIUXVanguard Interm-Term Treasury AdmIntermediate Government20.00%0.81%0.10%5.13$1,967-1.92%
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend80.00%1.22%0.04%25.23$21,941101.92%
100.00%1.14%0.05%25.235.13$23,908100.00%

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 3Vanguard Balanced Index Adm
Arithmetic Mean (monthly)0.70%0.68%0.69%0.59%
Arithmetic Mean (annualized)8.68%8.49%8.56%7.35%
Geometric Mean (monthly)0.64%0.63%0.63%0.56%
Geometric Mean (annualized)7.96%7.79%7.89%6.97%
Volatility (monthly)3.32%3.28%3.23%2.46%
Volatility (annualized)11.49%11.37%11.18%8.52%
Downside Deviation (monthly)2.23%2.21%2.16%1.63%
Max. Drawdown-42.03%-41.94%-40.99%-32.45%
US Market Correlation1.001.001.000.99
Beta(*)1.341.331.311.00
Alpha (annualized)-1.21%-1.26%-1.04%0.00%
R299.13%98.71%98.87%100.00%
Sharpe Ratio0.620.610.630.69
Sortino Ratio0.910.890.921.02
Treynor Ratio (%)5.315.245.385.89
Calmar Ratio1.301.331.351.46
Active Return1.00%0.83%0.92%N/A
Tracking Error3.11%3.06%2.86%N/A
Information Ratio0.320.270.32N/A
Skewness-0.79-0.78-0.76-0.87
Excess Kurtosis2.332.142.143.08
Historical Value-at-Risk (5%)-5.27%-5.25%-5.03%-3.79%
Analytical Value-at-Risk (5%)-4.72%-4.72%-4.62%-3.45%
Conditional Value-at-Risk (5%)-7.62%-7.50%-7.34%-5.66%
Upside Capture Ratio (%)133.33131.72130.09100.00
Downside Capture Ratio (%)141.35140.74137.25100.00
Safe Withdrawal Rate7.63%7.55%7.66%7.49%
Perpetual Withdrawal Rate5.17%5.03%5.11%4.34%
Positive Periods130 out of 193 (67.36%)131 out of 193 (67.88%)130 out of 193 (67.36%)133 out of 193 (68.91%)
Gain/Loss Ratio0.840.810.840.85
* Vanguard Balanced Index Adm 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 3Vanguard Balanced Index Adm
Subprime CrisisNov 2007Mar 2009-42.03%-41.94%-40.99%-32.45%

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-42.03%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-20.28%
3May 2011Sep 20115 monthsFeb 20125 months10 months-13.86%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-7.33%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.18%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.06%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-3.87%
8Mar 2004Jul 20045 monthsOct 20043 months8 months-3.27%
9May 2006May 20061 monthSep 20064 months5 months-2.65%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.94%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-20.74%
3May 2011Sep 20115 monthsFeb 20125 months10 months-13.18%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-7.06%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.00%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.08%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-3.53%
8Mar 2004Jul 20045 monthsOct 20043 months8 months-3.16%
9May 2006May 20061 monthSep 20064 months5 months-2.66%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.42%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-40.99%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-19.33%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.92%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-6.96%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.94%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-3.94%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-3.59%
8Mar 2004Apr 20042 monthsOct 20046 months8 months-3.02%
9May 2006May 20061 monthSep 20064 months5 months-2.66%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.50%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Adm

Drawdowns for Vanguard Balanced Index Adm (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.45%
2Apr 2002Sep 20026 monthsAug 200311 months1 year 5 months-14.48%
3May 2011Sep 20115 monthsJan 20124 months9 months-8.96%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.20%
5May 2012May 20121 monthJul 20122 months3 months-3.38%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.83%
7Mar 2004Apr 20042 monthsOct 20046 months8 months-2.64%
8Jan 2005Apr 20054 monthsMay 20051 month5 months-2.45%
9May 2006May 20061 monthAug 20063 months4 months-2.01%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.92%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBILXVanguard Interm-Term Bond Index Adm5.23%5.21%10.91%-3.45%-8.88%0.771.26-0.05
VTSAXVanguard Total Stock Mkt Idx Adm8.21%14.27%33.52%-36.99%-50.84%0.540.781.00
VBTLXVanguard Total Bond Market Index Adm4.31%3.43%8.32%-2.15%-3.94%0.891.47-0.08
VFIUXVanguard Interm-Term Treasury Adm4.44%4.67%14.30%-2.99%-4.27%0.691.18-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBILXVTSAXVBTLXVFIUXPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Adm
VBILXVanguard Interm-Term Bond Index Adm1.00-0.050.980.900.030.000.020.11
VTSAXVanguard Total Stock Mkt Idx Adm-0.051.00-0.08-0.301.001.001.000.99
VBTLXVanguard Total Bond Market Index Adm0.98-0.081.000.91-0.00-0.03-0.020.08
VFIUXVanguard Interm-Term Treasury Adm0.90-0.300.911.00-0.23-0.25-0.23-0.15

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBILXVanguard Interm-Term Bond Index Adm$2,229
VTSAXVanguard Total Stock Mkt Idx Adm$22,058$21,527$21,941
VBTLXVanguard Total Bond Market Index Adm$1,892
VFIUXVanguard Interm-Term Treasury Adm$1,967

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VBILXVanguard Interm-Term Bond Index Adm0.29%
VTSAXVanguard Total Stock Mkt Idx Adm99.71%100.17%101.92%
VBTLXVanguard Total Bond Market Index Adm-0.17%
VFIUXVanguard Interm-Term Treasury Adm-1.92%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Adm
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year9.31%46.07%-35.46%9.10%45.39%-35.11%9.13%44.30%-34.50%7.78%36.29%-27.56%
3 years8.57%23.31%-11.07%8.40%22.88%-11.03%8.43%22.63%-10.48%7.41%19.27%-7.26%
5 years8.19%20.63%-3.89%8.01%20.23%-3.85%8.08%20.08%-3.57%7.21%16.48%-1.92%
7 years7.52%15.23%-0.87%7.34%14.98%-0.96%7.43%14.84%-0.57%6.81%12.43%0.40%
10 years7.56%9.08%4.77%7.38%8.87%4.64%7.47%8.95%4.87%6.83%8.00%4.96%
15 years8.43%9.71%7.26%8.24%9.54%7.08%8.31%9.54%7.19%7.31%8.23%6.47%

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
109/30/2002Vanguard Interm-Term Bond Index Adm (VBILX): 26.50%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 73.50%
207/31/2005Vanguard Interm-Term Bond Index Adm (VBILX): 14.78%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.22%
311/30/2008Vanguard Interm-Term Bond Index Adm (VBILX): 26.65%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 73.35%
405/31/2013Vanguard Interm-Term Bond Index Adm (VBILX): 14.79%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.21%
502/28/2017Vanguard Interm-Term Bond Index Adm (VBILX): 15.00%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.00%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
109/30/2002Vanguard Total Bond Market Index Adm (VBTLX): 26.23%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 73.77%
212/31/2004Vanguard Total Bond Market Index Adm (VBTLX): 14.72%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.28%
311/30/2008Vanguard Total Bond Market Index Adm (VBTLX): 26.65%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 73.35%
404/30/2011Vanguard Total Bond Market Index Adm (VBTLX): 14.96%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.04%
502/28/2015Vanguard Total Bond Market Index Adm (VBTLX): 14.85%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.15%

Portfolio 3 Rebalancing Events

Rebalancing dates for portfolio 3
#DateAllocation
109/30/2002Vanguard Interm-Term Treasury Adm (VFIUX): 27.35%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 72.65%
206/30/2004Vanguard Interm-Term Treasury Adm (VFIUX): 14.87%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.13%
311/30/2008Vanguard Interm-Term Treasury Adm (VFIUX): 27.59%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 72.41%
401/31/2011Vanguard Interm-Term Treasury Adm (VFIUX): 14.89%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.11%
503/31/2014Vanguard Interm-Term Treasury Adm (VFIUX): 14.99%
Vanguard Total Stock Mkt Idx Adm (VTSAX): 85.01%