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.

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Portfolio Assets 
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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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Portfolio Analysis Results (Jun 2007 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 40.00%
IVV iShares Core S&P 500 ETF 60.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
AGG iShares Core US Aggregate Bond ETF 40.00%
VTI Vanguard Total Stock Market ETF 30.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
AGG iShares Core US Aggregate Bond ETF 10.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 10.00%
USRT iShares Core US REIT ETF 10.00%
VYM Vanguard High Dividend Yield ETF 5.00%
VTI Vanguard Total Stock Market ETF 15.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
PFF iShares Preferred&Income Securities ETF 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,213 6.26% 8.47%15.58%-18.17%-29.45% 0.680.990.95
Portfolio 2$10,000$16,097 4.20% 10.30%21.07%-23.50%-35.39% 0.390.550.94
Portfolio 3$10,000$15,793 4.02% 13.22%29.16%-28.06%-47.07% 0.310.450.90
   
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 2007 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume monthly 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
YearInflationReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares Core S&P 500 ETF (IVV)iShares Core US Aggregate Bond ETF (AGG)Vanguard Total Stock Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Core US REIT ETF (USRT)Vanguard High Dividend Yield ETF (VYM)iShares Preferred&Income Securities ETF (PFF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20071.00%1.96%2.50%-3.48%$10,196$10,250$9,6529.61%-3.06%5.52%-3.62%4.41%2.65%-18.90%-5.79%-13.44%
20080.09%-18.17%-23.50%-28.06%$8,344$7,841$6,94417.91%-37.02%7.90%-36.98%-43.45%2.40%-37.19%-31.91%-23.94%
20092.72%12.75%21.07%29.16%$9,407$9,493$8,969-6.59%26.60%2.98%28.89%37.59%8.46%27.05%17.16%38.67%
20101.50%13.54%11.96%14.34%$10,681$10,629$10,2559.37%15.09%6.37%17.42%11.81%9.33%26.15%14.22%13.81%
20112.96%7.66%-0.76%-1.35%$11,499$10,548$10,11715.64%1.86%7.69%0.97%-14.02%9.73%9.16%10.54%-2.00%
20121.74%11.19%12.25%15.74%$12,786$11,840$11,7093.66%16.06%3.76%16.45%18.90%10.58%16.71%12.69%18.20%
20131.50%15.58%12.77%9.57%$14,779$13,352$12,829-6.09%32.30%-1.98%33.45%14.18%-2.00%-0.99%30.08%-0.98%
20140.76%11.85%4.73%8.07%$16,529$13,984$13,8659.07%13.56%6.00%12.54%-4.54%8.21%29.12%13.52%14.11%
20150.73%1.70%-0.91%0.03%$16,811$13,857$13,8691.51%1.30%0.48%0.36%-4.78%-1.25%3.89%0.28%4.27%
20162.07%7.83%6.42%6.22%$18,126$14,747$14,7311.00%12.16%2.42%12.83%4.91%6.21%7.19%17.05%1.30%
20172.11%13.75%15.59%15.12%$20,618$17,046$16,9592.55%21.76%3.52%21.21%27.39%7.06%5.29%16.42%8.10%
20181.91%-1.96%-5.57%-6.88%$20,213$16,097$15,7930.99%-4.47%0.33%-5.21%-14.19%-3.79%-4.62%-5.91%-4.63%
Annual returns for 2007 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares Core S&P 500 ETF (IVV)iShares Core US Aggregate Bond ETF (AGG)Vanguard Total Stock Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Core US REIT ETF (USRT)Vanguard High Dividend Yield ETF (VYM)iShares Preferred&Income Securities ETF (PFF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20076-1.11%-0.48%-1.47%$9,889$9,952$9,853-0.47%-1.55%-0.38%-1.76%0.67%-0.81%-9.96%-2.06%-0.96%
20077-1.01%-0.98%-2.11%$9,789$9,855$9,6452.26%-3.19%1.07%-3.53%-1.16%-0.82%-5.49%-3.38%-2.68%
200781.69%0.89%0.83%$9,954$9,943$9,7252.26%1.31%1.28%1.47%-0.20%2.38%3.77%1.92%-0.87%
200792.49%3.25%3.14%$10,202$10,267$10,0300.09%4.09%0.63%3.85%6.15%0.73%4.53%3.57%-0.26%
2007101.28%2.85%2.66%$10,333$10,559$10,2971.08%1.41%1.01%1.79%6.37%0.97%-0.66%-0.31%1.81%
200711-0.85%-2.12%-4.38%$10,245$10,335$9,8464.04%-4.11%1.80%-4.52%-4.96%1.02%-7.33%-3.41%-7.97%
200712-0.47%-0.82%-1.97%$10,196$10,250$9,6520.05%-0.82%-0.01%-0.70%-2.03%-0.81%-4.56%-2.05%-3.06%
20081-2.42%-3.25%-1.08%$9,950$9,917$9,5483.36%-6.27%2.31%-6.17%-7.75%2.57%-1.00%-3.27%9.73%
20082-1.16%-0.88%-1.14%$9,834$9,830$9,4391.24%-2.76%-0.16%-2.50%-0.22%-0.71%-3.54%-4.79%-0.11%
200830.16%-0.24%-0.67%$9,850$9,806$9,3761.34%-0.63%0.13%-0.90%-0.09%-0.60%6.33%1.00%-5.70%
200841.93%3.37%4.65%$10,040$10,137$9,812-2.41%4.82%0.33%4.89%5.92%1.25%6.06%2.20%6.32%
200850.06%0.52%0.28%$10,046$10,190$9,839-1.78%1.28%-1.26%2.02%1.42%-2.21%-0.24%-0.12%-0.37%
20086-4.57%-5.02%-7.35%$9,586$9,678$9,1161.14%-8.39%-0.19%-8.12%-8.38%-1.29%-10.63%-10.32%-9.47%
20087-0.16%-1.13%-1.67%$9,571$9,568$8,9630.72%-0.74%0.40%-0.62%-3.68%0.39%2.72%1.94%-4.61%
200881.50%-0.80%-0.86%$9,715$9,492$8,8861.53%1.49%0.74%1.46%-5.11%0.15%2.49%1.74%0.13%
20089-5.39%-7.22%-11.69%$9,191$8,807$7,847-0.14%-8.89%-1.76%-9.24%-12.48%-10.73%-1.51%-4.69%-24.65%
200810-10.33%-12.98%-13.09%$8,242$7,663$6,819-0.87%-16.63%-2.28%-17.48%-22.76%-1.95%-33.40%-14.85%4.31%
200811-1.38%-3.22%-6.21%$8,129$7,416$6,3967.75%-7.46%3.03%-8.01%-6.77%3.35%-17.74%-5.54%-7.82%
2008122.65%5.73%8.57%$8,344$7,841$6,9445.15%0.97%6.65%1.78%8.45%13.80%15.17%0.57%10.89%
20091-6.43%-7.11%-10.18%$7,807$7,284$6,237-3.89%-8.13%-1.99%-8.05%-13.00%-1.80%-17.11%-12.98%-11.67%
20092-6.63%-6.34%-12.62%$7,289$6,822$5,450-0.74%-10.56%-1.05%-10.53%-9.21%-5.20%-18.95%-13.65%-25.40%
200936.14%5.96%9.44%$7,737$7,229$5,9643.31%8.02%1.10%8.26%10.14%0.47%3.59%9.63%20.81%
200944.98%7.47%12.86%$8,122$7,769$6,732-2.75%10.14%0.52%10.99%13.23%2.78%27.17%10.26%18.43%
200952.67%6.47%9.79%$8,339$8,272$7,391-2.08%5.84%0.71%5.46%15.17%2.32%0.05%5.80%19.13%
20096-0.20%-0.34%0.23%$8,323$8,244$7,408-0.55%0.04%0.42%0.36%-2.07%2.89%-1.13%-0.29%2.97%
200974.76%6.01%8.81%$8,719$8,739$8,0610.83%7.38%1.27%7.74%10.61%4.63%10.80%8.56%11.85%
200982.50%2.48%2.79%$8,938$8,956$8,2860.77%3.66%1.22%3.71%2.92%1.31%12.38%4.90%-1.90%
200992.63%3.42%4.42%$9,172$9,262$8,6521.12%3.63%1.19%4.14%5.68%1.76%6.19%2.89%5.19%
200910-1.21%-1.65%-2.65%$9,061$9,109$8,423-0.14%-1.92%0.22%-2.63%-3.17%-0.49%-4.46%-2.70%-3.47%
2009114.46%3.68%3.77%$9,466$9,444$8,7402.02%6.09%1.29%5.69%4.85%1.95%5.32%6.07%1.50%
200912-0.62%0.52%2.62%$9,407$9,493$8,969-4.40%1.91%-1.88%2.86%1.39%-2.07%9.07%1.11%6.02%
20101-1.28%-2.23%-2.51%$9,287$9,282$8,7442.37%-3.71%1.41%-3.57%-5.76%1.25%-5.58%-3.08%0.98%
201022.02%1.51%2.37%$9,475$9,421$8,9510.33%3.15%0.20%3.44%1.31%0.51%5.30%2.44%3.68%
201033.24%3.93%4.55%$9,782$9,792$9,358-1.06%6.11%-0.01%6.40%6.72%0.65%8.73%5.51%1.79%
201041.63%0.52%0.84%$9,942$9,843$9,4361.65%1.62%0.97%2.18%-1.76%1.91%6.53%1.69%0.05%
20105-3.63%-5.20%-6.22%$9,581$9,331$8,8492.93%-8.00%1.08%-7.88%-10.90%-1.31%-4.83%-7.88%-4.34%
20106-1.94%-1.44%-1.04%$9,396$9,196$8,7573.05%-5.26%1.77%-5.83%-1.34%3.28%-4.29%-4.30%1.88%
201074.56%5.68%7.24%$9,824$9,718$9,3910.91%6.99%0.85%7.02%10.76%2.11%9.17%7.30%6.89%
20108-1.31%-1.93%-1.45%$9,695$9,530$9,2553.36%-4.43%1.29%-4.71%-3.43%2.86%-4.17%-3.33%2.30%
201095.29%6.02%5.85%$10,207$10,104$9,797-0.00%8.81%0.01%9.45%10.60%0.46%7.66%7.40%0.37%
2010102.30%2.35%2.28%$10,442$10,341$10,021-0.01%3.84%0.15%4.03%3.59%-0.26%4.17%3.29%0.15%
201011-0.40%-1.41%-1.73%$10,401$10,195$9,847-0.90%-0.07%-0.83%0.51%-4.10%-1.62%-1.81%-0.55%-0.62%
2010122.70%4.25%4.14%$10,681$10,629$10,255-3.43%6.78%-0.67%6.96%8.12%-0.75%4.38%6.28%0.27%
201111.37%0.82%1.17%$10,828$10,716$10,375-0.02%2.30%-0.09%2.05%0.80%0.04%4.12%1.44%0.72%
201121.99%2.05%2.46%$11,043$10,935$10,631-0.21%3.46%0.29%3.70%2.74%1.08%4.44%3.50%1.65%
20113-0.06%-0.03%0.02%$11,036$10,932$10,632-0.15%-0.00%-0.22%0.42%-0.22%-0.54%-1.33%0.71%0.97%
201142.51%3.13%3.50%$11,313$11,274$11,0041.84%2.95%1.57%2.90%5.45%2.50%5.05%4.02%1.58%
201150.29%-0.77%-0.68%$11,346$11,187$10,9302.51%-1.19%1.24%-1.06%-3.17%1.27%0.93%-0.59%0.60%
20116-1.21%-1.04%-1.11%$11,209$11,070$10,808-0.51%-1.68%-0.45%-1.79%-1.09%-0.80%-2.28%-1.10%-0.55%
201170.09%-0.72%-1.12%$11,218$10,991$10,6873.17%-1.97%1.69%-2.27%-2.37%2.43%0.33%-2.73%-1.89%
20118-1.45%-3.76%-4.23%$11,055$10,578$10,2354.65%-5.52%1.52%-6.09%-8.47%0.34%-4.49%-2.83%-1.87%
20119-3.18%-5.87%-7.08%$10,703$9,957$9,5102.24%-6.80%0.77%-7.57%-13.01%0.35%-9.00%-4.21%-5.20%
2011105.88%6.91%8.07%$11,332$10,645$10,278-1.29%10.65%0.13%11.37%11.49%2.51%11.71%8.07%5.38%
2011110.04%-1.02%-2.17%$11,337$10,537$10,0550.58%-0.32%-0.33%-0.37%-2.57%-3.16%-4.28%1.26%-3.13%
2011121.43%0.11%0.62%$11,499$10,548$10,1171.99%1.06%1.36%0.98%-2.43%3.49%5.30%3.19%0.12%
201213.11%3.87%5.13%$11,857$10,956$10,6360.86%4.61%0.73%5.07%6.86%2.14%5.21%1.77%7.07%
201222.09%2.85%3.09%$12,104$11,269$10,964-1.10%4.21%-0.01%4.22%5.31%1.63%-0.67%3.15%3.04%
201231.34%0.42%0.59%$12,266$11,316$11,028-1.59%3.29%-0.57%3.06%-0.90%-1.42%4.27%2.71%0.18%
201240.61%-0.37%-0.15%$12,341$11,274$11,0122.51%-0.66%0.91%-0.64%-1.81%1.08%2.46%-0.02%0.22%
20125-2.46%-4.86%-4.97%$12,038$10,727$10,4642.87%-6.01%1.08%-6.23%-11.40%0.76%-3.35%-4.66%-1.17%
201262.36%3.17%3.92%$12,321$11,066$10,874-0.42%4.20%-0.02%4.05%6.52%0.87%5.31%4.98%2.42%
201271.31%0.95%1.44%$12,482$11,172$11,0311.40%1.24%1.36%0.88%0.49%3.48%2.71%2.14%1.50%
201281.44%1.60%1.50%$12,662$11,351$11,196-0.12%2.48%0.00%2.70%2.65%-0.05%-0.30%0.77%1.48%
201291.26%1.90%1.71%$12,822$11,567$11,388-0.35%2.34%0.27%2.49%3.49%1.10%-1.22%2.56%0.73%
201210-1.37%-0.33%0.21%$12,646$11,528$11,412-0.40%-2.02%-0.05%-1.81%0.77%1.35%-0.28%-0.99%1.01%
2012110.91%0.88%0.55%$12,761$11,630$11,4750.98%0.87%0.27%0.77%1.80%-0.42%-1.09%-0.34%0.18%
2012120.19%1.81%2.04%$12,786$11,840$11,709-0.94%0.95%-0.25%1.29%5.06%-0.33%2.94%0.27%0.39%
201312.55%2.10%2.25%$13,112$12,089$11,972-1.29%5.11%-0.62%5.42%2.43%-1.30%3.52%5.65%1.34%
201321.27%0.20%0.24%$13,278$12,114$12,0011.13%1.36%0.59%1.28%-1.39%1.08%0.90%2.07%0.53%
201332.32%1.41%1.45%$13,587$12,285$12,1750.29%3.68%0.10%3.95%0.62%-0.05%2.59%3.61%1.12%
201341.79%2.00%2.70%$13,830$12,530$12,5041.52%1.96%0.97%1.61%3.75%2.17%6.57%3.01%1.05%
201350.20%-1.06%-1.93%$13,857$12,397$12,262-3.11%2.40%-2.00%2.44%-3.31%-3.22%-6.90%0.73%-0.66%
20136-1.97%-2.13%-2.46%$13,584$12,133$11,961-2.55%-1.59%-1.57%-1.43%-3.58%-3.27%-2.39%-0.13%-2.20%
201373.09%3.24%2.59%$14,004$12,526$12,271-0.35%5.39%0.27%5.75%4.70%1.11%0.67%4.47%-0.54%
20138-2.39%-1.84%-2.53%$13,669$12,296$11,960-1.42%-3.04%-0.83%-3.03%-1.99%-1.00%-6.66%-3.91%-2.19%
201392.68%3.89%3.59%$14,036$12,775$12,3901.85%3.24%1.12%3.90%7.58%0.74%2.94%2.35%0.68%
2013103.08%2.61%2.73%$14,468$13,109$12,7280.78%4.61%0.83%4.27%3.33%1.81%4.01%4.75%0.93%
2013111.44%0.81%0.07%$14,676$13,215$12,736-0.88%2.98%-0.25%2.70%0.34%-0.14%-5.80%2.31%0.32%
2013120.70%1.04%0.73%$14,779$13,352$12,829-2.09%2.56%-0.56%2.73%1.47%0.22%0.68%2.03%-1.29%
20141-0.87%-2.07%-1.11%$14,650$13,075$12,6873.06%-3.49%1.54%-3.17%-5.80%1.88%3.68%-4.00%2.96%
201422.88%3.30%3.70%$15,072$13,507$13,1560.36%4.56%0.38%4.87%5.63%1.14%4.97%3.61%2.28%
201430.30%0.23%0.69%$15,117$13,538$13,247-0.56%0.87%-0.15%0.51%0.46%-0.03%0.16%2.48%1.75%
201440.75%0.79%1.45%$15,230$13,645$13,4390.76%0.74%0.82%0.06%1.47%1.33%3.15%2.11%1.84%
201452.10%1.68%1.79%$15,550$13,874$13,6801.82%2.28%1.18%2.10%1.92%1.51%3.05%1.58%1.25%
201461.17%1.27%1.21%$15,732$14,050$13,846-0.22%2.09%-0.06%2.62%1.68%0.01%0.95%2.02%0.61%
20147-0.93%-1.14%-0.97%$15,586$13,889$13,711-0.22%-1.40%-0.25%-1.99%-1.47%-0.32%0.09%-1.67%-0.50%
201483.13%2.01%2.12%$16,074$14,168$14,0021.88%3.97%1.15%4.15%1.01%2.00%3.30%3.76%1.79%
20149-1.24%-2.34%-2.79%$15,874$13,837$13,611-1.05%-1.38%-0.61%-2.10%-4.88%-1.68%-5.59%-1.16%-0.82%
2014102.05%1.31%1.87%$16,199$14,018$13,8661.53%2.39%1.06%2.75%0.20%1.23%8.34%2.47%1.07%
2014112.17%0.91%1.18%$16,550$14,146$14,0301.29%2.75%0.66%2.48%-0.32%0.91%3.54%3.03%1.24%
201412-0.13%-1.14%-1.18%$16,529$13,984$13,8650.13%-0.30%0.15%-0.04%-3.96%-0.02%0.80%-1.14%-0.12%
20151-0.02%-0.01%0.86%$16,526$13,983$13,9834.30%-2.90%2.05%-2.74%-0.02%3.75%5.73%-2.88%1.32%
201522.40%3.12%2.49%$16,923$14,420$14,331-2.47%5.65%-0.89%5.74%5.85%-1.42%-3.36%4.90%0.97%
20153-0.61%-0.62%-0.44%$16,819$14,330$14,2680.86%-1.59%0.38%-1.16%-1.41%0.20%1.29%-1.83%0.30%
201540.33%1.48%0.92%$16,875$14,542$14,399-0.63%0.97%-0.32%0.62%4.74%-1.19%-5.33%1.70%0.02%
201550.61%-0.10%-0.25%$16,978$14,528$14,362-0.42%1.30%-0.44%1.30%-1.04%-1.12%0.04%0.37%-0.01%
20156-1.84%-1.78%-2.19%$16,666$14,270$14,047-1.63%-1.98%-1.08%-1.67%-2.81%-1.88%-4.70%-2.65%-1.01%
201571.92%0.77%1.25%$16,986$14,380$14,2221.52%2.19%0.86%1.70%-0.29%0.83%5.82%1.05%1.36%
20158-3.65%-4.29%-4.32%$16,366$13,763$13,6080.08%-6.14%-0.34%-6.09%-7.75%-0.83%-5.33%-5.66%-0.75%
20159-0.86%-1.76%-1.49%$16,224$13,521$13,4051.58%-2.49%0.81%-2.92%-4.04%1.19%1.74%-1.56%-0.69%
2015104.83%4.41%4.77%$17,008$14,117$14,045-0.64%8.47%0.07%7.91%6.69%0.57%6.61%8.41%2.16%
2015110.06%-0.37%-0.25%$17,019$14,064$14,009-0.43%0.39%-0.39%0.60%-1.32%-0.15%-0.38%0.22%0.67%
201512-1.22%-1.47%-1.00%$16,811$13,857$13,869-0.45%-1.73%-0.19%-2.13%-2.52%-1.08%2.75%-1.05%-0.10%
20161-1.67%-2.90%-3.17%$16,530$13,455$13,4293.33%-5.00%1.24%-5.72%-5.60%0.12%-4.35%-2.82%-0.98%
201620.56%-0.38%-0.54%$16,623$13,404$13,3561.49%-0.06%0.89%-0.01%-2.44%1.05%-0.42%0.51%0.06%
201634.07%4.98%5.80%$17,299$14,071$14,131-0.06%6.82%0.88%7.11%8.31%3.62%9.88%6.64%2.38%
201640.17%0.93%0.87%$17,329$14,202$14,254-0.16%0.39%0.26%0.66%2.11%1.55%-2.57%0.72%0.88%
201650.98%0.29%0.62%$17,498$14,243$14,342-0.10%1.69%0.01%1.73%-0.79%-0.51%2.70%1.39%1.54%
201661.39%0.64%1.30%$17,741$14,334$14,5293.09%0.25%1.94%0.27%-0.72%3.09%6.29%2.18%1.18%
201672.34%2.68%2.81%$18,156$14,719$14,9370.25%3.74%0.54%3.98%4.25%1.29%3.62%2.35%1.39%
20168-0.33%0.18%-0.14%$18,097$14,746$14,916-1.01%0.13%-0.21%0.21%0.69%0.18%-3.70%-0.30%0.02%
201690.10%0.56%0.16%$18,115$14,828$14,9390.24%0.01%0.05%0.21%1.58%-0.32%-0.87%-0.40%-1.07%
201610-1.67%-1.49%-1.89%$17,813$14,607$14,657-1.49%-1.78%-0.82%-2.19%-1.69%-1.53%-5.64%-1.28%-0.97%
2016110.51%-0.32%-1.10%$17,904$14,561$14,495-4.23%3.67%-2.57%4.49%-2.13%-3.17%-1.09%4.23%-3.33%
2016121.24%1.28%1.63%$18,126$14,747$14,731-0.12%2.14%0.25%1.98%1.93%0.84%4.31%2.97%0.31%
201711.14%1.88%2.05%$18,333$15,025$15,0330.22%1.75%0.21%1.86%4.14%0.15%0.14%-0.04%2.39%
201722.67%1.75%2.07%$18,823$15,287$15,3450.72%3.98%0.65%3.69%1.26%1.32%3.48%3.58%2.09%
201730.10%0.89%0.73%$18,842$15,423$15,4570.08%0.12%-0.05%0.06%2.99%-0.29%-2.26%-0.30%0.50%
201741.02%1.31%1.28%$19,035$15,625$15,6541.11%0.97%0.91%1.06%2.09%1.19%0.25%-0.08%1.30%
201751.17%1.49%1.32%$19,257$15,859$15,8600.83%1.39%0.69%1.01%3.05%1.33%-0.80%0.36%0.55%
201760.20%0.43%0.77%$19,295$15,927$15,982-0.51%0.67%-0.02%0.95%0.51%0.48%2.09%1.13%0.80%
201771.39%1.71%1.76%$19,565$16,199$16,2620.38%2.07%0.33%1.88%3.38%0.77%1.36%1.61%0.66%
201780.75%0.61%0.31%$19,711$16,298$16,3121.46%0.27%0.94%0.15%0.64%0.68%-0.48%-0.18%-0.06%
201790.65%1.06%0.99%$19,839$16,470$16,473-1.44%2.04%-0.57%2.44%1.84%-0.05%0.13%3.02%-0.16%
2017101.32%1.28%0.86%$20,100$16,681$16,614-0.19%2.32%0.10%2.17%1.95%0.19%-0.95%1.74%-0.37%
2017111.76%1.04%1.17%$20,454$16,854$16,808-0.28%3.12%-0.15%3.03%0.63%-0.12%2.60%3.07%0.68%
2017120.80%1.14%0.90%$20,618$17,046$16,9590.18%1.21%0.44%1.16%2.05%1.22%-0.25%1.49%-0.52%
201812.55%2.83%1.82%$21,145$17,528$17,268-2.15%5.69%-1.13%5.23%5.70%-1.23%-4.11%4.11%-1.18%
20182-2.66%-3.12%-3.43%$20,583$16,981$16,675-0.93%-3.80%-1.01%-3.76%-5.31%-2.24%-7.71%-4.72%0.27%
20183-1.02%-0.45%0.07%$20,374$16,904$16,6871.16%-2.47%0.67%-1.95%-0.44%0.56%3.75%-2.17%0.54%
20184-0.30%-0.07%-0.00%$20,313$16,892$16,686-1.28%0.35%-0.94%0.45%0.57%-1.57%1.44%0.13%-0.70%
201851.84%0.48%0.57%$20,687$16,974$16,7810.99%2.41%0.66%2.72%-1.99%0.52%4.00%1.60%0.81%
201860.43%-0.39%0.21%$20,776$16,908$16,8160.20%0.59%0.10%0.70%-2.14%-0.49%4.42%-0.29%1.76%
201872.04%1.85%1.81%$21,199$17,221$17,121-0.53%3.75%-0.03%3.32%2.89%1.34%0.71%4.09%0.19%
201882.35%0.55%0.51%$21,697$17,316$17,2081.01%3.23%0.57%3.43%-2.34%0.02%3.03%1.11%1.41%
20189-0.16%-0.06%-0.50%$21,662$17,307$17,123-1.20%0.54%-0.62%0.20%0.44%-0.14%-2.60%0.40%-1.71%
201810-4.21%-4.97%-4.85%$20,749$16,447$16,293-0.30%-6.82%-0.64%-7.41%-8.30%-2.05%-3.06%-4.40%-2.24%
2018111.68%1.25%0.98%$21,099$16,653$16,4521.33%1.92%0.52%2.01%1.47%-0.36%4.86%3.56%-2.23%
201812-4.20%-3.34%-4.01%$20,213$16,097$15,7932.80%-8.86%2.22%-9.16%-4.94%1.86%-8.21%-8.64%-1.53%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value27.74%10.22%22.13%
Large-cap Growth32.11%13.38%0.00%
Mid-cap Value0.00%3.57%0.00%
Mid-cap Growth0.01%0.49%3.89%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%1.93%0.00%
Global ex-US Developed Markets0.00%23.15%23.75%
Emerging Markets0.00%8.14%8.62%
REITs0.00%0.53%9.27%
Corporate Bonds0.03%9.98%32.34%
Long-Term Treasuries0.00%1.52%0.00%
Intermediate-Term Treasuries39.47%8.55%0.00%
Short-Term Treasuries0.64%18.52%0.00%
R Squared99.94%99.81%96.48%
Style analysis is based on monthly returns from Jun 2007 to Dec 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.590.15%40.00%$2,562-0.55%
IVViShares Core S&P 500 ETFLarge Blend0.04%60.00%$7,651100.55%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond5.650.05%40.00%$1,8853.72%
VTIVanguard Total Stock Market ETFLarge Blend0.03%30.00%$3,34342.05%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%$86954.24%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond5.650.05%10.00%$4510.85%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETFCorporate Bond9.000.15%10.00%$5613.17%
USRTiShares Core US REIT ETFReal Estate0.08%10.00%$79014.03%
VYMVanguard High Dividend Yield ETFLarge Value0.06%5.00%$5184.78%
VTIVanguard Total Stock Market ETFLarge Blend0.03%15.00%$1,64815.69%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%$84640.52%
PFFiShares Preferred&Income Securities ETFPreferred Stock0.46%20.00%$98020.95%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (c) 2020 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)0.54%0.39%0.40%
Arithmetic Mean (annualized)6.65%4.75%4.94%
Geometric Mean (monthly)0.51%0.34%0.33%
Geometric Mean (annualized)6.26%4.20%4.02%
Volatility (monthly)2.45%2.97%3.82%
Volatility (annualized)8.47%10.30%13.22%
Downside Deviation (monthly)1.65%2.06%2.65%
Max. Drawdown-29.45%-35.39%-47.07%
US Market Correlation0.950.940.90
Beta(*)0.530.630.78
Alpha (annualized)2.47%-0.13%-1.05%
R290.75%88.63%81.44%
Sharpe Ratio0.680.390.31
Sortino Ratio0.990.550.45
Treynor Ratio (%)11.016.325.36
Calmar Ratio0.930.630.52
Active Return-0.29%-2.36%-2.53%
Tracking Error7.70%6.61%6.63%
Information Ratio-0.04-0.36-0.38
Skewness-0.95-0.74-0.48
Excess Kurtosis2.842.752.97
Historical Value-at-Risk (5%)-4.20%-5.02%-6.22%
Analytical Value-at-Risk (5%)-3.47%-4.48%-5.85%
Conditional Value-at-Risk (5%)-6.26%-7.45%-10.34%
Upside Capture Ratio (%)56.5959.6570.37
Downside Capture Ratio (%)48.2963.6378.17
Safe Withdrawal Rate9.97%9.07%8.72%
Perpetual Withdrawal Rate4.20%2.37%2.21%
Positive Periods91 out of 139 (65.47%)81 out of 139 (58.27%)86 out of 139 (61.87%)
Gain/Loss Ratio0.951.020.84
* 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 2009-29.45%-35.39%-47.07%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-29.45%
2Sep 2018Dec 20184 months-6.84%
3Jun 2011Sep 20114 monthsDec 20113 months7 months-5.66%
4Aug 2015Sep 20152 monthsOct 20151 month3 months-4.49%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.93%
6Dec 2015Jan 20162 monthsMar 20162 months4 months-2.87%
7May 2012May 20121 monthJul 20122 months3 months-2.46%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.39%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.11%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.97%
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-35.39%
2May 2011Sep 20115 monthsMar 20126 months11 months-11.68%
3Feb 2018Dec 201811 months-8.17%
4May 2015Feb 201610 monthsJul 20165 months1 year 3 months-7.82%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.21%
6May 2013Jun 20132 monthsSep 20133 months5 months-3.17%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-2.34%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-2.07%
9Oct 2016Nov 20162 monthsJan 20172 months4 months-1.81%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.45%
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-47.07%
2May 2011Sep 20115 monthsMar 20126 months11 months-13.58%
3Feb 2018Dec 201811 months-8.54%
4May 2015Feb 201610 monthsJun 20164 months1 year 2 months-7.24%
5Apr 2012May 20122 monthsJul 20122 months4 months-5.11%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.35%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-3.55%
8Oct 2016Nov 20162 monthsJan 20172 months4 months-2.97%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.79%
10Dec 2014Dec 20141 monthFeb 20152 months3 months-1.18%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IEFiShares 7-10 Year Treasury Bond ETF4.80%6.43%17.91%-6.59%-7.60%0.661.17-0.31
IVViShares Core S&P 500 ETF6.56%14.83%32.30%-37.02%-50.78%0.460.651.00
AGGiShares Core US Aggregate Bond ETF3.84%3.77%7.90%-1.98%-4.31%0.851.590.02
VTIVanguard Total Stock Market ETF6.67%15.33%33.45%-36.98%-50.84%0.460.641.00
VEUVanguard FTSE All-Wld ex-US ETF0.87%19.07%37.59%-43.45%-58.41%0.110.150.88
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.86%7.59%10.58%-3.79%-15.11%0.570.940.28
USRTiShares Core US REIT ETF3.48%22.75%29.12%-37.19%-65.78%0.240.330.76
VYMVanguard High Dividend Yield ETF6.30%14.31%30.08%-31.91%-51.79%0.450.640.95
PFFiShares Preferred&Income Securities ETF3.45%17.85%38.67%-23.94%-56.62%0.240.350.55

Monthly Correlations

Correlations for the portfolio assets
TickerNameIEFIVVAGGVTIVEULQDUSRTVYMPFFPortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF--0.310.84-0.31-0.200.510.00-0.200.00-0.02-0.13-0.10
IVViShares Core S&P 500 ETF-0.31-0.021.000.890.280.750.950.540.960.940.90
AGGiShares Core US Aggregate Bond ETF0.840.02-0.020.180.830.330.090.300.280.250.30
VTIVanguard Total Stock Market ETF-0.311.000.02-0.890.280.760.950.540.950.940.90
VEUVanguard FTSE All-Wld ex-US ETF-0.200.890.180.89-0.410.690.830.590.870.980.94
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.510.280.830.280.41-0.440.300.570.450.470.55
USRTiShares Core US REIT ETF0.000.750.330.760.690.44-0.780.500.790.770.82
VYMVanguard High Dividend Yield ETF-0.200.950.090.950.830.300.78-0.560.940.900.88
PFFiShares Preferred&Income Securities ETF0.000.540.300.540.590.570.500.56-0.570.610.78

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF$2,562
IVViShares Core S&P 500 ETF$7,651
AGGiShares Core US Aggregate Bond ETF$1,885$451
VTIVanguard Total Stock Market ETF$3,343$1,648
VEUVanguard FTSE All-Wld ex-US ETF$869$846
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$561
USRTiShares Core US REIT ETF$790
VYMVanguard High Dividend Yield ETF$518
PFFiShares Preferred&Income Securities ETF$980

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF-0.55%
IVViShares Core S&P 500 ETF100.55%
AGGiShares Core US Aggregate Bond ETF3.72%0.85%
VTIVanguard Total Stock Market ETF42.05%15.69%
VEUVanguard FTSE All-Wld ex-US ETF54.24%40.52%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.17%
USRTiShares Core US REIT ETF14.03%
VYMVanguard High Dividend Yield ETF4.78%
PFFiShares Preferred&Income Securities ETF20.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.88%15.58%-18.17%4.91%21.07%-23.50%5.63%29.16%-28.06%
3 years8.72%12.86%1.56%6.41%10.39%1.22%7.27%13.36%2.04%
5 years9.17%12.11%4.63%6.57%11.23%2.93%7.44%13.06%3.94%
7 years9.15%10.53%7.15%6.54%8.47%4.54%7.41%10.39%5.31%
10 years8.27%9.25%7.30%6.34%7.46%5.22%7.18%8.56%5.80%
Result statistics are based on annualized rolling returns over full calendar year periods