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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Asset 10
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Portfolio Analysis Results (Dec 2007 - Dec 2018)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,906 1.59% 1.40%6.68%-0.10%-1.46% 0.801.48-0.29
Portfolio 2$10,000$14,403 3.35% 4.41%13.32%-3.09%-4.49% 0.661.17-0.24
Portfolio 3$10,000$18,069 5.48% 11.87%29.28%-13.03%-16.68% 0.470.81-0.29
Vanguard Extended Duration Trs Idx Instl$10,000$21,102 6.97% 21.78%55.79%-36.65%-37.63% 0.390.68-0.32
   
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 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested 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
YearInflationReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx InstlPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl
2007-0.07%0.25%0.27%-0.48%-1.44%$10,025$10,027$9,952$9,8560.25%0.27%-0.48%
20080.09%6.68%13.32%22.52%55.52%$10,694$11,364$12,193$15,3286.68%13.32%22.52%
20092.72%1.44%-1.69%-12.05%-36.65%$10,848$11,172$10,724$9,7101.44%-1.69%-12.05%
20101.50%2.64%7.35%8.93%10.28%$11,134$11,994$11,681$10,7092.64%7.35%8.93%
20112.96%2.26%9.80%29.28%55.79%$11,386$13,168$15,102$16,6842.26%9.80%29.28%
20121.74%0.69%2.67%3.47%3.25%$11,464$13,521$15,625$17,2260.69%2.67%3.47%
20131.50%-0.10%-3.09%-13.03%-20.89%$11,453$13,103$13,590$13,627-0.10%-3.09%-13.03%
20140.76%0.71%4.32%25.28%45.66%$11,535$13,669$17,025$19,8500.71%4.32%25.28%
20150.73%0.45%1.50%-1.54%-4.43%$11,587$13,875$16,763$18,9700.45%1.50%-1.54%
20162.07%0.99%1.19%1.20%1.53%$11,702$14,039$16,964$19,2610.99%1.19%1.20%
20172.11%0.39%1.57%8.58%13.52%$11,747$14,260$18,420$21,8660.39%1.57%8.58%
20181.91%1.35%1.00%-1.90%-3.49%$11,906$14,403$18,069$21,1021.35%1.00%-1.90%
Annual returns for 2007 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx InstlPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl
2007120.25%0.27%-0.48%-1.44%$10,025$10,027$9,952$9,8560.25%0.27%-0.48%
200812.01%3.10%2.64%0.71%$10,226$10,338$10,215$9,9262.01%3.10%2.64%
200821.09%1.35%0.35%-2.19%$10,338$10,478$10,251$9,7091.09%1.35%0.35%
200830.25%0.93%1.02%4.17%$10,364$10,575$10,356$10,1140.25%0.93%1.02%
20084-0.96%-2.14%-1.84%-3.49%$10,264$10,349$10,165$9,761-0.96%-2.14%-1.84%
20085-0.51%-1.32%-2.13%-4.69%$10,212$10,212$9,949$9,303-0.51%-1.32%-2.13%
200860.33%0.77%1.80%5.21%$10,245$10,291$10,128$9,7880.33%0.77%1.80%
200870.52%0.77%0.30%-1.84%$10,299$10,370$10,158$9,6080.52%0.77%0.30%
200880.56%0.98%1.80%4.35%$10,356$10,472$10,341$10,0250.56%0.98%1.80%
200890.53%0.51%0.28%2.96%$10,411$10,525$10,370$10,3220.53%0.51%0.28%
2008100.49%-1.36%-3.63%-0.80%$10,462$10,382$9,994$10,2390.49%-1.36%-3.63%
2008111.03%5.58%12.07%22.32%$10,570$10,962$11,200$12,5251.03%5.58%12.07%
2008121.17%3.66%8.87%22.38%$10,694$11,364$12,193$15,3281.17%3.66%8.87%
20091-0.09%-2.39%-8.47%-21.33%$10,685$11,092$11,160$12,059-0.09%-2.39%-8.47%
20092-0.01%-0.58%-1.01%-2.81%$10,684$11,027$11,048$11,720-0.01%-0.58%-1.01%
200930.90%3.20%5.27%4.61%$10,779$11,381$11,629$12,2610.90%3.20%5.27%
20094-0.25%-1.76%-4.99%-11.29%$10,752$11,181$11,049$10,876-0.25%-1.76%-4.99%
200950.21%-1.10%-2.68%-5.77%$10,775$11,058$10,753$10,2480.21%-1.10%-2.68%
20096-0.17%-0.37%0.70%1.63%$10,757$11,016$10,829$10,416-0.17%-0.37%0.70%
200970.22%0.60%0.80%0.64%$10,781$11,082$10,916$10,4830.22%0.60%0.80%
200980.37%0.89%1.68%3.33%$10,820$11,181$11,099$10,8320.37%0.89%1.68%
200990.29%0.92%1.98%3.63%$10,852$11,284$11,319$11,2250.29%0.92%1.98%
2009100.24%0.25%-1.45%-5.26%$10,878$11,312$11,155$10,6340.24%0.25%-1.45%
2009110.87%1.96%1.91%0.44%$10,972$11,534$11,367$10,6810.87%1.96%1.91%
200912-1.13%-3.13%-5.66%-9.08%$10,848$11,172$10,724$9,710-1.13%-3.13%-5.66%
201010.95%1.97%2.66%3.30%$10,952$11,392$11,009$10,0310.95%1.97%2.66%
201020.19%0.40%-0.21%-1.11%$10,973$11,438$10,986$9,9200.19%0.40%-0.21%
20103-0.36%-0.91%-1.51%-3.63%$10,933$11,334$10,820$9,560-0.36%-0.91%-1.51%
201040.39%1.23%2.76%5.52%$10,976$11,474$11,119$10,0880.39%1.23%2.76%
201050.48%1.85%4.23%8.45%$11,028$11,686$11,589$10,9400.48%1.85%4.23%
201060.56%2.07%4.67%8.40%$11,090$11,927$12,130$11,8600.56%2.07%4.67%
201070.38%1.07%-0.17%-2.55%$11,132$12,055$12,109$11,5570.38%1.07%-0.17%
201080.37%2.00%7.08%13.26%$11,173$12,297$12,967$13,0900.37%2.00%7.08%
201090.18%0.36%-1.82%-4.63%$11,193$12,341$12,730$12,4830.18%0.36%-1.82%
2010100.26%0.45%-3.29%-8.62%$11,222$12,397$12,312$11,4070.26%0.45%-3.29%
201011-0.30%-0.98%-1.60%-2.04%$11,188$12,275$12,115$11,174-0.30%-0.98%-1.60%
201012-0.48%-2.29%-3.58%-4.16%$11,134$11,994$11,681$10,709-0.48%-2.29%-3.58%
201110.25%0.29%-2.38%-6.67%$11,163$12,029$11,404$9,9940.25%0.29%-2.38%
20112-0.22%-0.43%1.24%3.40%$11,138$11,977$11,545$10,334-0.22%-0.43%1.24%
20113-0.13%-0.12%0.02%0.18%$11,123$11,963$11,547$10,353-0.13%-0.12%0.02%
201140.71%1.60%2.04%3.07%$11,203$12,154$11,783$10,6700.71%1.60%2.04%
201150.52%1.77%3.29%5.09%$11,261$12,369$12,171$11,2140.52%1.77%3.29%
20116-0.04%-0.16%-2.00%-4.05%$11,257$12,349$11,928$10,759-0.04%-0.16%-2.00%
201170.52%2.18%4.18%6.17%$11,315$12,618$12,426$11,4230.52%2.18%4.18%
201180.52%2.70%8.68%16.12%$11,374$12,959$13,505$13,2640.52%2.70%8.68%
20119-0.22%0.73%10.16%23.34%$11,348$13,054$14,878$16,359-0.22%0.73%10.16%
2011100.15%-0.42%-3.34%-5.74%$11,366$12,999$14,381$15,4210.15%-0.42%-3.34%
201111-0.04%0.29%1.82%3.27%$11,362$13,037$14,643$15,926-0.04%0.29%1.82%
2011120.21%1.00%3.13%4.76%$11,386$13,168$15,102$16,6840.21%1.00%3.13%
201210.23%0.81%0.08%-1.15%$11,412$13,275$15,113$16,4920.23%0.81%0.08%
20122-0.14%-0.65%-2.11%-3.59%$11,396$13,188$14,794$15,899-0.14%-0.65%-2.11%
20123-0.13%-0.79%-3.77%-6.60%$11,381$13,083$14,237$14,851-0.13%-0.79%-3.77%
201240.32%1.50%4.37%6.93%$11,417$13,280$14,859$15,8800.32%1.50%4.37%
201250.06%1.24%7.79%14.23%$11,424$13,445$16,016$18,1400.06%1.24%7.79%
20126-0.13%-0.22%-1.44%-2.42%$11,410$13,415$15,785$17,701-0.13%-0.22%-1.44%
201270.29%0.86%3.32%5.72%$11,443$13,530$16,309$18,7140.29%0.86%3.32%
201280.11%0.10%-1.06%-2.25%$11,456$13,544$16,136$18,2930.11%0.10%-1.06%
201290.03%-0.06%-2.10%-3.94%$11,459$13,536$15,798$17,5730.03%-0.06%-2.10%
201210-0.16%-0.32%-0.43%-0.61%$11,440$13,493$15,729$17,466-0.16%-0.32%-0.43%
2012110.12%0.62%1.35%1.63%$11,454$13,576$15,941$17,7500.12%0.62%1.35%
2012120.09%-0.41%-1.99%-2.96%$11,464$13,521$15,625$17,2260.09%-0.41%-1.99%
20131-0.06%-0.74%-3.27%-5.36%$11,457$13,421$15,113$16,303-0.06%-0.74%-3.27%
201320.12%0.71%1.26%1.45%$11,471$13,516$15,304$16,5380.12%0.71%1.26%
201330.03%0.27%0.03%-0.58%$11,474$13,553$15,309$16,4430.03%0.27%0.03%
201340.12%0.71%3.87%6.92%$11,488$13,650$15,902$17,5810.12%0.71%3.87%
20135-0.34%-1.84%-6.23%-9.68%$11,449$13,398$14,911$15,879-0.34%-1.84%-6.23%
20136-0.26%-1.62%-3.26%-4.31%$11,419$13,181$14,426$15,194-0.26%-1.62%-3.26%
201370.12%0.13%-1.93%-3.74%$11,433$13,198$14,147$14,6260.12%0.13%-1.93%
20138-0.16%-1.02%-1.28%-1.57%$11,416$13,063$13,966$14,396-0.16%-1.02%-1.28%
201390.40%1.47%0.88%-0.13%$11,462$13,255$14,089$14,3770.40%1.47%0.88%
2013100.13%0.49%1.32%2.10%$11,476$13,319$14,275$14,6780.13%0.49%1.32%
2013110.13%-0.14%-2.49%-4.07%$11,491$13,301$13,920$14,0800.13%-0.14%-2.49%
201312-0.33%-1.49%-2.37%-3.22%$11,453$13,103$13,590$13,627-0.33%-1.49%-2.37%
201410.32%1.67%6.26%10.39%$11,489$13,321$14,440$15,0430.32%1.67%6.26%
201420.03%0.21%0.60%0.75%$11,493$13,349$14,527$15,1560.03%0.21%0.60%
20143-0.21%-0.60%0.63%1.58%$11,469$13,269$14,618$15,396-0.21%-0.60%0.63%
201440.23%0.49%1.82%3.17%$11,495$13,335$14,883$15,8840.23%0.49%1.82%
201450.13%1.03%2.73%4.05%$11,510$13,472$15,290$16,5280.13%1.03%2.73%
201460.04%-0.13%-0.16%-0.28%$11,515$13,454$15,266$16,4820.04%-0.13%-0.16%
20147-0.14%-0.39%0.59%1.33%$11,498$13,402$15,356$16,702-0.14%-0.39%0.59%
201480.14%1.03%4.23%7.11%$11,514$13,540$16,006$17,8900.14%1.03%4.23%
20149-0.14%-0.66%-1.99%-2.97%$11,498$13,452$15,688$17,359-0.14%-0.66%-1.99%
2014100.33%1.12%2.61%4.04%$11,536$13,602$16,097$18,0610.33%1.12%2.61%
2014110.23%0.84%2.86%4.44%$11,563$13,717$16,558$18,8630.23%0.84%2.86%
201412-0.24%-0.35%2.82%5.23%$11,535$13,669$17,025$19,850-0.24%-0.35%2.82%
201510.61%2.70%8.97%13.89%$11,606$14,038$18,551$22,6080.61%2.70%8.97%
20152-0.42%-1.59%-5.66%-8.90%$11,557$13,815$17,501$20,597-0.42%-1.59%-5.66%
201530.33%0.76%1.13%1.52%$11,595$13,920$17,699$20,9100.33%0.76%1.13%
201540.05%-0.21%-3.07%-5.31%$11,601$13,891$17,155$19,7990.05%-0.21%-3.07%
201550.06%-0.12%-2.16%-3.82%$11,608$13,874$16,785$19,0420.06%-0.12%-2.16%
20156-0.04%-0.74%-3.73%-6.05%$11,604$13,771$16,159$17,889-0.04%-0.74%-3.73%
201570.15%0.85%4.21%6.71%$11,622$13,888$16,839$19,0900.15%0.85%4.21%
20158-0.13%-0.03%-0.71%-0.77%$11,607$13,883$16,719$18,944-0.13%-0.03%-0.71%
201590.43%1.19%1.91%2.34%$11,657$14,048$17,039$19,3880.43%1.19%1.91%
201510-0.13%-0.47%-0.48%-0.08%$11,643$13,982$16,957$19,372-0.13%-0.47%-0.48%
201511-0.31%-0.39%-0.81%-1.46%$11,606$13,927$16,820$19,088-0.31%-0.39%-0.81%
201512-0.16%-0.38%-0.34%-0.62%$11,587$13,875$16,763$18,970-0.16%-0.38%-0.34%
201610.82%2.36%5.24%7.59%$11,682$14,202$17,641$20,4100.82%2.36%5.24%
201620.15%0.82%2.86%4.11%$11,700$14,318$18,145$21,2500.15%0.82%2.86%
201630.26%0.22%0.05%-0.28%$11,730$14,349$18,155$21,1900.26%0.22%0.05%
20164-0.03%-0.13%-0.63%-0.95%$11,727$14,331$18,041$20,989-0.03%-0.13%-0.63%
20165-0.10%-0.21%0.69%1.36%$11,716$14,301$18,164$21,274-0.10%-0.21%0.69%
201660.75%2.05%6.57%9.68%$11,803$14,594$19,358$23,3330.75%2.05%6.57%
20167-0.10%0.04%2.01%3.28%$11,791$14,600$19,747$24,098-0.10%0.04%2.01%
20168-0.29%-0.72%-1.00%-1.47%$11,758$14,494$19,549$23,743-0.29%-0.72%-1.00%
201690.23%0.29%-1.32%-2.30%$11,785$14,536$19,292$23,1980.23%0.29%-1.32%
201610-0.12%-0.73%-4.23%-6.27%$11,771$14,429$18,476$21,743-0.12%-0.73%-4.23%
201611-0.58%-2.65%-7.86%-11.07%$11,702$14,047$17,024$19,336-0.58%-2.65%-7.86%
201612-0.00%-0.05%-0.35%-0.38%$11,702$14,039$16,964$19,261-0.00%-0.05%-0.35%
201710.26%0.30%0.65%0.76%$11,732$14,082$17,074$19,4070.26%0.30%0.65%
201720.07%0.39%1.57%2.23%$11,741$14,137$17,342$19,8400.07%0.39%1.57%
201730.02%0.07%-0.59%-1.17%$11,743$14,147$17,239$19,6090.02%0.07%-0.59%
201740.19%0.77%1.58%1.89%$11,766$14,256$17,512$19,9790.19%0.77%1.58%
201750.09%0.59%1.73%2.83%$11,776$14,341$17,815$20,5440.09%0.59%1.73%
20176-0.09%-0.47%0.63%1.84%$11,765$14,273$17,928$20,922-0.09%-0.47%0.63%
201770.28%0.42%-0.59%-1.30%$11,798$14,332$17,822$20,6490.28%0.42%-0.59%
201780.19%0.86%3.27%4.79%$11,820$14,456$18,405$21,6390.19%0.86%3.27%
20179-0.20%-0.83%-2.27%-3.17%$11,796$14,335$17,988$20,954-0.20%-0.83%-2.27%
201710-0.08%-0.21%-0.02%-0.03%$11,787$14,306$17,984$20,948-0.08%-0.21%-0.02%
201711-0.27%-0.39%0.63%1.45%$11,755$14,250$18,098$21,252-0.27%-0.39%0.63%
201712-0.07%0.07%1.78%2.89%$11,747$14,260$18,420$21,866-0.07%0.07%1.78%
20181-0.44%-1.56%-3.40%-4.19%$11,695$14,038$17,793$20,950-0.44%-1.56%-3.40%
20182-0.08%-0.49%-2.89%-4.40%$11,686$13,970$17,280$20,028-0.08%-0.49%-2.89%
201830.29%0.75%2.75%4.02%$11,719$14,074$17,755$20,8320.29%0.75%2.75%
20184-0.30%-0.92%-2.04%-2.45%$11,684$13,945$17,394$20,323-0.30%-0.92%-2.04%
201850.36%0.76%1.79%2.45%$11,726$14,050$17,706$20,8200.36%0.76%1.79%
201860.10%0.11%0.66%1.07%$11,738$14,065$17,823$21,0440.10%0.11%0.66%
20187-0.10%-0.35%-1.28%-2.00%$11,726$14,016$17,594$20,622-0.10%-0.35%-1.28%
201880.37%0.77%1.18%1.54%$11,770$14,124$17,803$20,9400.37%0.77%1.18%
20189-0.20%-0.82%-2.74%-3.90%$11,746$14,009$17,315$20,123-0.20%-0.82%-2.74%
2018100.10%-0.06%-2.82%-4.68%$11,757$13,999$16,827$19,1810.10%-0.06%-2.82%
2018110.38%0.96%1.78%2.18%$11,802$14,134$17,127$19,6000.38%0.96%1.78%
2018120.88%1.90%5.50%7.66%$11,906$14,403$18,069$21,1020.88%1.90%5.50%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl
Large-cap Value0.00%0.00%0.00%0.00%
Large-cap Growth0.00%0.00%0.00%0.00%
Mid-cap Value0.00%0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%0.00%
Small-cap Value0.00%0.46%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.52%0.00%0.00%
Emerging Markets0.50%0.83%1.43%0.00%
REITs0.05%0.00%0.10%0.00%
Corporate Bonds0.97%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%73.57%100.00%
Intermediate-Term Treasuries4.38%63.30%24.89%0.00%
Short-Term Treasuries94.10%34.89%0.00%0.00%
R Squared93.08%97.32%98.16%86.09%
Style analysis is based on monthly returns from Dec 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
VFISXVanguard Short-Term Treasury InvShort Government2.380.20%100.00%$1,906100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.350.20%100.00%$4,403100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government17.640.20%100.00%$8,069100.00%

Asset Allocation

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 3Vanguard Extended Duration Trs Idx Instl
Arithmetic Mean (monthly)0.13%0.28%0.50%0.75%
Arithmetic Mean (annualized)1.60%3.45%6.21%9.43%
Geometric Mean (monthly)0.13%0.27%0.45%0.56%
Geometric Mean (annualized)1.59%3.35%5.48%6.97%
Volatility (monthly)0.40%1.27%3.43%6.29%
Volatility (annualized)1.40%4.41%11.87%21.78%
Downside Deviation (monthly)0.19%0.70%1.97%3.60%
Max. Drawdown-1.46%-4.49%-16.68%-37.63%
US Market Correlation-0.29-0.24-0.29-0.32
Beta(*)0.030.160.531.00
Alpha (annualized)1.30%1.98%1.27%0.00%
R223.49%59.81%93.59%100.00%
Sharpe Ratio0.800.660.470.39
Sortino Ratio1.481.170.810.68
Treynor Ratio (%)35.2518.5510.538.56
Calmar Ratio0.790.280.170.18
Active Return-5.38%-3.62%-1.49%N/A
Tracking Error21.14%18.58%10.73%N/A
Information Ratio-0.25-0.20-0.14N/A
Skewness0.790.520.530.75
Excess Kurtosis3.682.081.143.13
Historical Value-at-Risk (5%)-0.42%-1.78%-4.46%-8.70%
Analytical Value-at-Risk (5%)-0.53%-1.81%-5.13%-9.59%
Conditional Value-at-Risk (5%)-0.68%-2.41%-6.48%-11.89%
Upside Capture Ratio (%)5.3618.5456.06100.00
Downside Capture Ratio (%)1.4014.2756.97100.00
Safe Withdrawal Rate8.62%9.77%10.87%11.57%
Perpetual Withdrawal Rate0.00%1.54%3.38%4.62%
Positive Periods82 out of 133 (61.65%)76 out of 133 (57.14%)73 out of 133 (54.89%)67 out of 133 (50.38%)
Gain/Loss Ratio1.571.371.221.38
* Vanguard Extended Duration Trs Idx Instl is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008May 20082 monthsSep 20084 months6 months-1.46%
2Sep 2017Apr 20188 monthsDec 20188 months1 year 4 months-1.15%
3Dec 2009Dec 20091 monthFeb 20102 months3 months-1.13%
4Nov 2010Mar 20115 monthsMay 20112 months7 months-0.88%
5Jul 2016Dec 20166 monthsAug 20178 months1 year 2 months-0.86%
6May 2013Aug 20134 monthsNov 20133 months7 months-0.63%
7Oct 2015Dec 20153 monthsJan 20161 month4 months-0.60%
8Feb 2015Feb 20151 monthMay 20153 months4 months-0.42%
9Mar 2010Mar 20101 monthApr 20101 month2 months-0.36%
10Dec 2013Dec 20131 monthFeb 20142 months3 months-0.33%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 months-4.49%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
3Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
4Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
5Apr 2009Jun 20093 monthsNov 20095 months8 months-3.20%
6Dec 2009Dec 20091 monthMay 20105 months6 months-3.13%
7Jan 2009Feb 20092 monthsMar 20091 month3 months-2.96%
8Feb 2015Jun 20155 monthsSep 20153 months8 months-1.90%
9Feb 2012Mar 20122 monthsApr 20121 month3 months-1.44%
10Oct 2015Dec 20153 monthsJan 20161 month4 months-1.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
6Feb 2012Mar 20122 monthsMay 20122 months4 months-5.80%
7Apr 2008May 20082 monthsSep 20084 months6 months-3.93%
8Oct 2008Oct 20081 monthNov 20081 month2 months-3.63%
9Oct 2011Oct 20111 monthDec 20112 months3 months-3.34%
10Jun 2012Jun 20121 monthJul 20121 month2 months-1.44%
Worst 10 drawdowns included above

Drawdowns for Vanguard Extended Duration Trs Idx Instl

Drawdowns for Vanguard Extended Duration Trs Idx Instl
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Mar 20101 year 3 monthsSep 20111 year 6 months2 years 9 months-37.63%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-27.18%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-20.87%
4Aug 2016Oct 20182 years 3 months-20.41%
5Jan 2012Mar 20123 monthsMay 20122 months5 months-10.99%
6Apr 2008May 20082 monthsSep 20084 months6 months-8.02%
7Oct 2011Oct 20111 monthDec 20112 months3 months-5.74%
8Dec 2007Feb 20083 monthsMar 20081 month4 months-2.91%
9Jun 2012Jun 20121 monthJul 20121 month2 months-2.42%
10Oct 2008Oct 20081 monthNov 20081 month2 months-0.80%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFISXVanguard Short-Term Treasury Inv1.59%1.40%6.68%-0.10%-1.46%0.801.48-0.29
VFITXVanguard Interm-Term Treasury Inv3.35%4.41%13.32%-3.09%-4.49%0.661.17-0.24
VUSTXVanguard Long-Term Treasury Inv5.48%11.87%29.28%-13.03%-16.68%0.470.81-0.29

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVFITXVUSTXPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl
VFISXVanguard Short-Term Treasury Inv-0.860.581.000.860.580.48
VFITXVanguard Interm-Term Treasury Inv0.86-0.860.861.000.860.77
VUSTXVanguard Long-Term Treasury Inv0.580.86-0.580.861.000.97

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFISXVanguard Short-Term Treasury Inv$1,906
VFITXVanguard Interm-Term Treasury Inv$4,403
VUSTXVanguard Long-Term Treasury Inv$8,069

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard Extended Duration Trs Idx Instl
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year1.59%6.68%-0.10%3.45%13.32%-3.09%6.43%29.28%-13.03%10.92%55.79%-36.65%
3 years1.28%3.56%0.36%3.10%6.57%0.87%5.64%13.37%2.37%7.05%21.05%2.80%
5 years1.14%2.72%0.49%2.91%6.16%1.07%5.77%9.68%2.19%7.70%15.37%-2.33%
7 years1.13%2.03%0.64%2.91%4.53%1.29%5.74%7.97%2.60%7.61%10.74%3.09%
10 years1.34%1.60%1.08%2.99%3.58%2.40%5.18%6.35%4.01%5.77%8.29%3.25%
Result statistics are based on annualized rolling returns over full calendar year periods