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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jun 1998 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VIMSX Vanguard Mid Cap Index Investor 100.00%
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Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
NAESX Vanguard Small Cap Index Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$59,889 9.09% 17.32%40.22%-41.82%-54.14% 0.480.700.95
Portfolio 2$10,000$35,558 6.36% 15.39%33.35%-37.04%-50.89% 0.360.501.00
Portfolio 3$10,000$45,387 7.63% 19.50%45.63%-36.07%-53.95% 0.380.540.90
   
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 1998 are based on monthly returns 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • 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 Mid Cap Index Investor (VIMSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Index Inv (NAESX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19980.68%11.10%10.64%-7.05%$11,110$11,064$9,29511.10%10.64%-7.05%
19992.68%15.32%23.81%23.13%$12,811$13,698$11,44615.32%23.81%23.13%
20003.39%18.10%-10.57%-2.67%$15,130$12,250$11,14118.10%-10.57%-2.67%
20011.55%-0.50%-10.97%3.10%$15,054$10,907$11,486-0.50%-10.97%3.10%
20022.38%-14.61%-20.96%-20.02%$12,855$8,620$9,186-14.61%-20.96%-20.02%
20031.88%34.14%31.35%45.63%$17,244$11,323$13,37834.14%31.35%45.63%
20043.26%20.35%12.51%19.90%$20,754$12,740$16,03920.35%12.51%19.90%
20053.42%13.93%5.98%7.36%$23,645$13,502$17,22013.93%5.98%7.36%
20062.54%13.60%15.51%15.66%$26,860$15,597$19,91613.60%15.51%15.66%
20074.08%6.02%5.49%1.16%$28,477$16,453$20,1466.02%5.49%1.16%
20080.09%-41.82%-37.04%-36.07%$16,567$10,359$12,880-41.82%-37.04%-36.07%
20092.72%40.22%28.70%36.12%$23,230$13,332$17,53140.22%28.70%36.12%
20101.50%25.46%17.09%27.72%$29,144$15,611$22,39125.46%17.09%27.72%
20112.96%-2.11%0.96%-2.80%$28,530$15,761$21,763-2.11%0.96%-2.80%
20121.74%15.80%16.25%18.04%$33,036$18,322$25,69015.80%16.25%18.04%
20131.50%35.00%33.35%37.62%$44,597$24,433$35,35535.00%33.35%37.62%
20140.76%13.60%12.43%7.37%$50,664$27,470$37,96013.60%12.43%7.37%
20150.73%-1.46%0.29%-3.78%$49,927$27,551$36,524-1.46%0.29%-3.78%
20162.07%11.07%12.53%18.17%$55,456$31,003$43,16211.07%12.53%18.17%
20172.11%19.12%21.05%16.10%$66,059$37,530$50,11219.12%21.05%16.10%
20181.91%-9.34%-5.26%-9.43%$59,889$35,558$45,387-9.34%-5.26%-9.43%
Annual returns for 1998 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Mid Cap Index Investor (VIMSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Index Inv (NAESX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199860.82%3.54%-0.16%$10,082$10,354$9,9840.82%3.54%-0.16%
19987-3.94%-2.27%-7.98%$9,684$10,119$9,187-3.94%-2.27%-7.98%
19988-18.42%-15.65%-19.29%$7,900$8,535$7,415-18.42%-15.65%-19.29%
199899.29%6.68%7.53%$8,634$9,105$7,9739.29%6.68%7.53%
1998108.97%7.51%4.21%$9,409$9,789$8,3098.97%7.51%4.21%
1998115.09%6.17%5.31%$9,888$10,393$8,7505.09%6.17%5.31%
19981212.35%6.45%6.23%$11,110$11,064$9,29512.35%6.45%6.23%
19991-3.89%3.65%1.23%$10,677$11,467$9,409-3.89%3.65%1.23%
19992-5.21%-3.73%-8.11%$10,121$11,040$8,646-5.21%-3.73%-8.11%
199932.90%3.93%1.48%$10,414$11,474$8,7742.90%3.93%1.48%
199947.81%4.68%8.87%$11,228$12,010$9,5537.81%4.68%8.87%
199950.48%-2.00%1.67%$11,282$11,771$9,7120.48%-2.00%1.67%
199965.48%5.16%5.83%$11,901$12,378$10,2785.48%5.16%5.83%
19997-2.10%-3.20%-2.24%$11,651$11,982$10,048-2.10%-3.20%-2.24%
19998-3.35%-0.92%-3.79%$11,261$11,872$9,668-3.35%-0.92%-3.79%
19999-3.08%-2.44%-0.14%$10,913$11,583$9,654-3.08%-2.44%-0.14%
1999105.17%6.29%0.37%$11,477$12,311$9,6905.17%6.29%0.37%
1999115.29%3.42%5.98%$12,085$12,732$10,2695.29%3.42%5.98%
1999126.01%7.59%11.46%$12,811$13,698$11,4466.01%7.59%11.46%
20001-2.83%-4.18%-1.69%$12,449$13,125$11,252-2.83%-4.18%-1.69%
200027.01%2.54%16.51%$13,322$13,459$13,1097.01%2.54%16.51%
200038.60%5.69%-6.69%$14,467$14,225$12,2328.60%5.69%-6.69%
20004-3.49%-5.21%-5.96%$13,962$13,484$11,504-3.49%-5.21%-5.96%
20005-1.31%-3.41%-5.78%$13,779$13,024$10,839-1.31%-3.41%-5.78%
200061.67%4.42%9.29%$14,008$13,600$11,8461.67%4.42%9.29%
200071.56%-1.95%-3.38%$14,226$13,334$11,4451.56%-1.95%-3.38%
2000811.21%7.28%7.60%$15,821$14,305$12,31511.21%7.28%7.60%
20009-0.73%-4.67%-2.98%$15,706$13,637$11,949-0.73%-4.67%-2.98%
200010-3.36%-2.04%-4.34%$15,178$13,358$11,430-3.36%-2.04%-4.34%
200011-7.48%-9.90%-10.27%$14,043$12,035$10,257-7.48%-9.90%-10.27%
2000127.74%1.78%8.61%$15,130$12,250$11,1417.74%1.78%8.61%
200112.21%3.83%5.25%$15,464$12,719$11,7252.21%3.83%5.25%
20012-5.69%-9.41%-6.60%$14,585$11,521$10,951-5.69%-9.41%-6.60%
20013-7.47%-6.72%-4.87%$13,495$10,747$10,418-7.47%-6.72%-4.87%
2001411.05%8.16%7.76%$14,987$11,625$11,22611.05%8.16%7.76%
200152.36%1.01%2.45%$15,340$11,742$11,5022.36%1.01%2.45%
20016-0.41%-1.64%4.19%$15,277$11,550$11,983-0.41%-1.64%4.19%
20017-1.41%-1.71%-5.31%$15,062$11,352$11,347-1.41%-1.71%-5.31%
20018-3.27%-6.00%-3.23%$14,570$10,671$10,980-3.27%-6.00%-3.23%
20019-12.40%-9.00%-13.47%$12,763$9,711$9,502-12.40%-9.00%-13.47%
2001104.46%2.52%5.79%$13,331$9,955$10,0524.46%2.52%5.79%
2001117.39%7.63%7.75%$14,317$10,715$10,8317.39%7.63%7.75%
2001125.15%1.78%6.05%$15,054$10,907$11,4865.15%1.78%6.05%
20021-0.51%-1.24%-1.06%$14,978$10,771$11,364-0.51%-1.24%-1.06%
200220.17%-2.05%-2.70%$15,003$10,551$11,0570.17%-2.05%-2.70%
200237.07%4.38%8.02%$16,065$11,012$11,9447.07%4.38%8.02%
20024-0.48%-4.90%0.92%$15,988$10,473$12,054-0.48%-4.90%0.92%
20025-1.69%-1.22%-4.33%$15,718$10,345$11,532-1.69%-1.22%-4.33%
20026-7.35%-7.06%-4.52%$14,563$9,615$11,011-7.35%-7.06%-4.52%
20027-9.69%-8.02%-15.05%$13,152$8,844$9,353-9.69%-8.02%-15.05%
200280.59%0.53%-0.25%$13,229$8,890$9,3300.59%0.53%-0.25%
20029-8.15%-10.07%-7.20%$12,151$7,995$8,658-8.15%-10.07%-7.20%
2002104.33%7.65%3.21%$12,677$8,607$8,9364.33%7.65%3.21%
2002115.77%6.06%8.88%$13,409$9,129$9,7305.77%6.06%8.88%
200212-4.13%-5.57%-5.59%$12,855$8,620$9,186-4.13%-5.57%-5.59%
20031-2.94%-2.54%-2.75%$12,478$8,401$8,934-2.94%-2.54%-2.75%
20032-2.40%-1.69%-3.02%$12,179$8,260$8,664-2.40%-1.69%-3.02%
200330.85%1.09%1.22%$12,283$8,349$8,7700.85%1.09%1.22%
200347.20%8.21%9.36%$13,167$9,035$9,5917.20%8.21%9.36%
200357.81%6.11%9.54%$14,195$9,586$10,5067.81%6.11%9.54%
200360.64%1.43%2.01%$14,286$9,724$10,7170.64%1.43%2.01%
200373.01%2.36%5.36%$14,716$9,953$11,2923.01%2.36%5.36%
200384.77%2.39%4.83%$15,418$10,191$11,8384.77%2.39%4.83%
20039-1.52%-1.15%-1.64%$15,184$10,074$11,644-1.52%-1.15%-1.64%
2003107.54%6.12%8.11%$16,329$10,690$12,5887.54%6.12%8.11%
2003112.87%1.38%3.77%$16,798$10,838$13,0642.87%1.38%3.77%
2003122.66%4.48%2.40%$17,244$11,323$13,3782.66%4.48%2.40%
200412.59%2.23%3.94%$17,691$11,576$13,9042.59%2.23%3.94%
200422.23%1.43%1.36%$18,085$11,741$14,0942.23%1.43%1.36%
20043-0.22%-1.07%1.18%$18,045$11,616$14,260-0.22%-1.07%1.18%
20044-4.08%-2.11%-4.77%$17,310$11,371$13,579-4.08%-2.11%-4.77%
200452.66%1.35%1.92%$17,769$11,524$13,8392.66%1.35%1.92%
200462.66%2.09%4.06%$18,242$11,764$14,4022.66%2.09%4.06%
20047-4.61%-3.80%-5.88%$17,402$11,317$13,555-4.61%-3.80%-5.88%
200480.08%0.31%-0.35%$17,415$11,352$13,5080.08%0.31%-0.35%
200493.77%1.74%4.21%$18,072$11,550$14,0763.77%1.74%4.21%
2004102.98%1.68%2.23%$18,610$11,743$14,3902.98%1.68%2.23%
2004116.99%4.68%7.57%$19,910$12,293$15,4796.99%4.68%7.57%
2004124.24%3.63%3.62%$20,754$12,740$16,0394.24%3.63%3.62%
20051-2.88%-2.68%-3.58%$20,157$12,399$15,465-2.88%-2.68%-3.58%
200523.69%2.07%2.09%$20,900$12,656$15,7883.69%2.07%2.09%
20053-1.14%-1.75%-2.26%$20,661$12,435$15,431-1.14%-1.75%-2.26%
20054-3.53%-2.32%-4.61%$19,931$12,146$14,719-3.53%-2.32%-4.61%
200555.19%3.77%6.17%$20,966$12,604$15,6285.19%3.77%6.17%
200562.91%0.81%3.52%$21,577$12,706$16,1782.91%0.81%3.52%
200575.29%4.11%6.25%$22,718$13,228$17,1885.29%4.11%6.25%
20058-0.35%-0.94%-1.67%$22,638$13,103$16,901-0.35%-0.94%-1.67%
200591.35%0.86%0.71%$22,943$13,215$17,0211.35%0.86%0.71%
200510-3.18%-1.86%-3.23%$22,214$12,969$16,471-3.18%-1.86%-3.23%
2005115.02%3.97%4.61%$23,328$13,484$17,2305.02%3.97%4.61%
2005121.36%0.14%-0.06%$23,645$13,502$17,2201.36%0.14%-0.06%
200615.56%3.50%7.85%$24,959$13,975$18,5735.56%3.50%7.85%
20062-1.07%0.00%-0.16%$24,691$13,975$18,543-1.07%0.00%-0.16%
200632.99%1.80%4.20%$25,429$14,227$19,3222.99%1.80%4.20%
200641.00%1.11%0.03%$25,684$14,385$19,3281.00%1.11%0.03%
20065-3.66%-3.23%-4.94%$24,745$13,919$18,373-3.66%-3.23%-4.94%
20066-0.22%0.17%0.20%$24,691$13,943$18,410-0.22%0.17%0.20%
20067-2.28%-0.13%-3.31%$24,128$13,925$17,800-2.28%-0.13%-3.31%
200682.00%2.31%2.27%$24,611$14,247$18,2042.00%2.31%2.27%
200691.63%2.27%0.86%$25,013$14,570$18,3611.63%2.27%0.86%
2006103.70%3.53%5.20%$25,938$15,085$19,3163.70%3.53%5.20%
2006113.83%2.23%3.10%$26,931$15,422$19,9133.83%2.23%3.10%
200612-0.26%1.13%0.01%$26,860$15,597$19,916-0.26%1.13%0.01%
200713.64%1.88%2.39%$27,838$15,889$20,3923.64%1.88%2.39%
200720.00%-1.61%-0.12%$27,838$15,633$20,3680.00%-1.61%-0.12%
200730.85%1.11%1.22%$28,075$15,806$20,6160.85%1.11%1.22%
200743.68%4.01%2.67%$29,108$16,440$21,1653.68%4.01%2.67%
200754.34%3.69%4.41%$30,371$17,047$22,1004.34%3.69%4.41%
20076-1.97%-1.67%-1.60%$29,773$16,762$21,746-1.97%-1.67%-1.60%
20077-4.11%-3.41%-5.76%$28,551$16,190$20,494-4.11%-3.41%-5.76%
200780.43%1.45%1.34%$28,673$16,425$20,7690.43%1.45%1.34%
200792.89%3.59%2.15%$29,502$17,015$21,2142.89%3.59%2.15%
2007101.70%1.85%2.62%$30,004$17,330$21,7701.70%1.85%2.62%
200711-5.02%-4.49%-6.79%$28,496$16,553$20,292-5.02%-4.49%-6.79%
200712-0.07%-0.60%-0.72%$28,477$16,453$20,146-0.07%-0.60%-0.72%
20081-6.52%-6.08%-6.23%$26,620$15,452$18,891-6.52%-6.08%-6.23%
20082-2.27%-3.07%-2.65%$26,015$14,978$18,390-2.27%-3.07%-2.65%
20083-2.04%-0.58%-0.50%$25,484$14,890$18,298-2.04%-0.58%-0.50%
200846.70%5.02%5.48%$27,190$15,638$19,3006.70%5.02%5.48%
200854.40%2.09%5.16%$28,387$15,965$20,2964.40%2.09%5.16%
20086-7.61%-8.19%-8.90%$26,227$14,657$18,490-7.61%-8.19%-8.90%
20087-3.93%-0.77%1.67%$25,195$14,545$18,799-3.93%-0.77%1.67%
200881.53%1.58%3.13%$25,580$14,775$19,3871.53%1.58%3.13%
20089-12.91%-9.26%-9.41%$22,278$13,406$17,562-12.91%-9.26%-9.41%
200810-21.93%-17.63%-21.56%$17,393$11,043$13,776-21.93%-17.63%-21.56%
200811-9.18%-7.90%-11.45%$15,797$10,170$12,199-9.18%-7.90%-11.45%
2008124.88%1.86%5.58%$16,567$10,359$12,8804.88%1.86%5.58%
20091-7.03%-8.26%-10.25%$15,402$9,504$11,560-7.03%-8.26%-10.25%
20092-9.57%-10.45%-11.96%$13,928$8,511$10,177-9.57%-10.45%-11.96%
200938.86%8.65%9.48%$15,162$9,247$11,1428.86%8.65%9.48%
2009414.18%10.61%18.25%$17,312$10,228$13,17514.18%10.61%18.25%
200954.14%5.38%3.74%$18,029$10,778$13,6684.14%5.38%3.74%
20096-0.47%0.34%1.16%$17,944$10,815$13,826-0.47%0.34%1.16%
200979.01%7.82%9.68%$19,560$11,661$15,1659.01%7.82%9.68%
200984.96%3.63%4.46%$20,530$12,084$15,8414.96%3.63%4.46%
200996.23%4.23%6.34%$21,809$12,594$16,8456.23%4.23%6.34%
200910-4.38%-2.57%-6.64%$20,853$12,271$15,727-4.38%-2.57%-6.64%
2009114.92%5.63%3.33%$21,879$12,961$16,2514.92%5.63%3.33%
2009126.17%2.86%7.88%$23,230$13,332$17,5316.17%2.86%7.88%
20101-3.55%-3.50%-3.35%$22,406$12,866$16,945-3.55%-3.50%-3.35%
201025.20%3.36%4.97%$23,571$13,298$17,7865.20%3.36%4.97%
201037.06%6.27%8.08%$25,235$14,132$19,2247.06%6.27%8.08%
201043.60%2.17%5.54%$26,144$14,439$20,2893.60%2.17%5.54%
20105-7.33%-8.00%-7.80%$24,227$13,284$18,707-7.33%-8.00%-7.80%
20106-6.15%-5.66%-7.57%$22,736$12,531$17,291-6.15%-5.66%-7.57%
201076.87%6.99%7.16%$24,298$13,408$18,5296.87%6.99%7.16%
20108-4.50%-4.75%-6.61%$23,204$12,771$17,304-4.50%-4.75%-6.61%
2010910.59%9.47%11.98%$25,661$13,981$19,37710.59%9.47%11.98%
2010104.04%3.94%4.08%$26,698$14,532$20,1684.04%3.94%4.08%
2010112.18%0.58%3.07%$27,280$14,616$20,7872.18%0.58%3.07%
2010126.83%6.81%7.72%$29,144$15,611$22,3916.83%6.81%7.72%
201112.26%2.19%0.86%$29,804$15,952$22,5842.26%2.19%0.86%
201124.00%3.60%5.34%$30,995$16,526$23,7894.00%3.60%5.34%
201131.72%0.45%2.42%$31,529$16,600$24,3641.72%0.45%2.42%
201142.73%2.99%2.94%$32,390$17,097$25,0792.73%2.99%2.94%
20115-0.44%-1.16%-2.03%$32,247$16,898$24,570-0.44%-1.16%-2.03%
20116-2.40%-1.79%-1.99%$31,472$16,596$24,081-2.40%-1.79%-1.99%
20117-3.47%-2.28%-3.72%$30,381$16,217$23,185-3.47%-2.28%-3.72%
20118-7.04%-5.99%-8.31%$28,243$15,245$21,258-7.04%-5.99%-8.31%
20119-9.86%-7.75%-11.00%$25,459$14,063$18,919-9.86%-7.75%-11.00%
20111013.13%11.51%15.26%$28,802$15,681$21,80613.13%11.51%15.26%
201111-0.65%-0.29%-0.41%$28,616$15,636$21,716-0.65%-0.29%-0.41%
201112-0.30%0.80%0.22%$28,530$15,761$21,763-0.30%0.80%0.22%
201216.56%5.08%6.95%$30,403$16,562$23,2766.56%5.08%6.95%
201224.30%4.26%3.19%$31,709$17,267$24,0194.30%4.26%3.19%
201231.98%3.07%2.30%$32,337$17,796$24,5721.98%3.07%2.30%
20124-0.58%-0.65%-0.93%$32,148$17,680$24,344-0.58%-0.65%-0.93%
20125-7.23%-6.24%-6.78%$29,825$16,578$22,694-7.23%-6.24%-6.78%
201262.48%3.91%4.51%$30,565$17,226$23,7182.48%3.91%4.51%
201270.00%1.03%-0.82%$30,565$17,403$23,5220.00%1.03%-0.82%
201283.04%2.48%3.47%$31,494$17,835$24,3373.04%2.48%3.47%
201292.07%2.58%2.73%$32,148$18,295$25,0022.07%2.58%2.73%
201210-1.17%-1.76%-1.46%$31,770$17,974$24,637-1.17%-1.76%-1.46%
2012111.51%0.74%1.16%$32,249$18,106$24,9241.51%0.74%1.16%
2012122.44%1.19%3.07%$33,036$18,322$25,6902.44%1.19%3.07%
201316.72%5.50%6.35%$35,256$19,330$27,3226.72%5.50%6.35%
201321.33%1.28%1.33%$35,727$19,577$27,6861.33%1.28%1.33%
201334.38%3.88%4.69%$37,291$20,337$28,9834.38%3.88%4.69%
201341.70%1.70%0.14%$37,923$20,683$29,0231.70%1.70%0.14%
201351.82%2.32%3.61%$38,614$21,163$30,0711.82%2.32%3.61%
20136-1.18%-1.27%-0.99%$38,159$20,894$29,773-1.18%-1.27%-0.99%
201375.63%5.49%6.66%$40,305$22,040$31,7565.63%5.49%6.66%
20138-2.52%-2.82%-3.17%$39,291$21,417$30,748-2.52%-2.82%-3.17%
201394.53%3.66%5.69%$41,070$22,202$32,4994.53%3.66%5.69%
2013103.37%4.22%3.27%$42,452$23,140$33,5603.37%4.22%3.27%
2013112.01%2.88%2.71%$43,305$23,807$34,4682.01%2.88%2.71%
2013122.98%2.63%2.57%$44,597$24,433$35,3552.98%2.63%2.57%
20141-2.33%-3.11%-2.07%$43,557$23,674$34,623-2.33%-3.11%-2.07%
201426.00%4.73%5.06%$46,172$24,794$36,3756.00%4.73%5.06%
20143-0.31%0.51%-0.31%$46,031$24,922$36,261-0.31%0.51%-0.31%
20144-0.84%0.06%-2.33%$45,644$24,937$35,416-0.84%0.06%-2.33%
201452.31%2.17%1.17%$46,699$25,479$35,8322.31%2.17%1.17%
201462.99%2.54%4.96%$48,096$26,125$37,6102.99%2.54%4.96%
20147-2.53%-1.98%-4.94%$46,878$25,608$35,751-2.53%-1.98%-4.94%
201484.72%4.18%4.97%$49,092$26,679$37,5294.72%4.18%4.97%
20149-3.21%-2.14%-5.31%$47,517$26,109$35,536-3.21%-2.14%-5.31%
2014103.44%2.74%4.48%$49,151$26,825$37,1273.44%2.74%4.48%
2014112.81%2.41%0.98%$50,533$27,471$37,4892.81%2.41%0.98%
2014120.26%-0.01%1.25%$50,664$27,470$37,9600.26%-0.01%1.25%
20151-1.99%-2.77%-2.17%$49,658$26,708$37,137-1.99%-2.77%-2.17%
201525.99%5.76%5.82%$52,633$28,247$39,2985.99%5.76%5.82%
201530.33%-1.04%1.18%$52,805$27,954$39,7630.33%-1.04%1.18%
20154-0.40%0.42%-1.69%$52,595$28,072$39,090-0.40%0.42%-1.69%
201551.03%1.39%2.00%$53,136$28,462$39,8721.03%1.39%2.00%
20156-1.81%-1.71%-0.87%$52,174$27,976$39,525-1.81%-1.71%-0.87%
201571.24%1.63%-0.29%$52,820$28,432$39,4091.24%1.63%-0.29%
20158-5.12%-6.03%-5.85%$50,116$26,719$37,105-5.12%-6.03%-5.85%
20159-3.70%-2.93%-4.50%$48,263$25,935$35,437-3.70%-2.93%-4.50%
2015106.00%7.84%5.68%$51,158$27,970$37,4516.00%7.84%5.68%
2015110.27%0.54%1.81%$51,294$28,121$38,1290.27%0.54%1.81%
201512-2.66%-2.03%-4.21%$49,927$27,551$36,524-2.66%-2.03%-4.21%
20161-7.47%-5.67%-7.66%$46,197$25,988$33,728-7.47%-5.67%-7.66%
201621.22%-0.04%0.92%$46,760$25,977$34,0381.22%-0.04%0.92%
201637.98%7.01%8.35%$50,492$27,798$36,8807.98%7.01%8.35%
201640.51%0.63%1.72%$50,751$27,973$37,5160.51%0.63%1.72%
201651.86%1.79%1.93%$51,697$28,474$38,2411.86%1.79%1.93%
20166-0.09%0.23%0.25%$51,648$28,538$38,337-0.09%0.23%0.25%
201674.62%3.95%5.07%$54,037$29,666$40,2824.62%3.95%5.07%
201680.14%0.26%0.62%$54,113$29,742$40,5310.14%0.26%0.62%
201690.37%0.15%0.39%$54,313$29,787$40,6900.37%0.15%0.39%
201610-3.08%-2.21%-4.12%$52,638$29,127$39,015-3.08%-2.21%-4.12%
2016114.67%4.44%8.61%$55,097$30,419$42,3724.67%4.44%8.61%
2016120.65%1.92%1.86%$55,456$31,003$43,1620.65%1.92%1.86%
201712.98%1.91%1.57%$57,108$31,595$43,8402.98%1.91%1.57%
201723.08%3.71%2.34%$58,868$32,768$44,8683.08%3.71%2.34%
201730.01%0.07%-0.24%$58,875$32,789$44,7600.01%0.07%-0.24%
201741.16%1.05%0.85%$59,557$33,134$45,1381.16%1.05%0.85%
201750.91%1.01%-1.15%$60,099$33,467$44,6200.91%1.01%-1.15%
201760.64%0.92%2.24%$60,483$33,775$45,6200.64%0.92%2.24%
201771.72%1.87%1.09%$61,524$34,406$46,1191.72%1.87%1.09%
20178-0.58%0.15%-0.94%$61,166$34,456$45,683-0.58%0.15%-0.94%
201792.25%2.45%4.40%$62,544$35,301$47,6932.25%2.45%4.40%
2017101.44%2.16%1.55%$63,448$36,063$48,4331.44%2.16%1.55%
2017113.14%3.04%3.08%$65,443$37,161$49,9273.14%3.04%3.08%
2017120.94%0.99%0.37%$66,059$37,530$50,1120.94%0.99%0.37%
201814.33%5.31%2.84%$68,922$39,522$51,5354.33%5.31%2.84%
20182-4.06%-3.72%-4.07%$66,122$38,053$49,439-4.06%-3.72%-4.07%
20183-0.11%-1.99%1.12%$66,050$37,295$49,992-0.11%-1.99%1.12%
20184-0.17%0.38%0.33%$65,941$37,436$50,156-0.17%0.38%0.33%
201851.76%2.79%5.07%$67,102$38,481$52,6981.76%2.79%5.07%
201860.93%0.68%0.72%$67,726$38,742$53,0790.93%0.68%0.72%
201872.56%3.34%1.82%$69,457$40,035$54,0472.56%3.34%1.82%
201882.52%3.44%4.48%$71,204$41,413$56,4672.52%3.44%4.48%
20189-0.48%0.16%-1.54%$70,860$41,479$55,595-0.48%0.16%-1.54%
201810-8.41%-7.40%-10.10%$64,901$38,409$49,981-8.41%-7.40%-10.10%
2018112.39%2.06%2.16%$66,450$39,201$51,0602.39%2.06%2.16%
201812-9.87%-9.29%-11.11%$59,889$35,558$45,387-9.87%-9.29%-11.11%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value4.22%37.36%0.00%
Large-cap Growth14.18%43.47%0.00%
Mid-cap Value30.74%5.00%15.60%
Mid-cap Growth40.39%7.62%26.13%
Small-cap Value0.00%3.03%36.83%
Small-cap Growth0.00%2.38%15.27%
Global ex-US Developed Markets5.82%0.66%0.31%
Emerging Markets3.32%0.48%3.32%
REITs1.33%0.00%2.55%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared98.35%99.88%98.73%
Style analysis is based on monthly returns from Apr 2005 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VIMSXVanguard Mid Cap Index InvestorMid-Cap Blend100.00%0.17%18.92$49,889100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%19.23$25,558100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
NAESXVanguard Small Cap Index InvSmall Blend100.00%0.17%15.82$35,387100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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)0.85%0.62%0.77%
Arithmetic Mean (annualized)10.75%7.64%9.70%
Geometric Mean (monthly)0.73%0.51%0.61%
Geometric Mean (annualized)9.09%6.36%7.63%
Volatility (monthly)5.00%4.44%5.63%
Volatility (annualized)17.32%15.39%19.50%
Downside Deviation (monthly)3.40%3.13%3.86%
Max. Drawdown-54.14%-50.89%-53.95%
US Market Correlation0.951.000.90
Beta(*)1.071.001.15
Alpha (annualized)2.38%0.00%0.84%
R289.84%100.00%81.73%
Sharpe Ratio0.480.360.38
Sortino Ratio0.700.500.54
Treynor Ratio (%)7.875.526.49
Calmar Ratio0.390.620.38
Active Return2.73%0.00%1.27%
Tracking Error5.62%0.00%8.63%
Information Ratio0.490.010.15
Skewness-0.72-0.75-0.51
Excess Kurtosis2.151.331.44
Historical Value-at-Risk (5%)-7.56%-8.01%-9.21%
Analytical Value-at-Risk (5%)-7.37%-6.69%-8.48%
Conditional Value-at-Risk (5%)-11.50%-10.43%-12.91%
Upside Capture Ratio (%)113.67100.00121.00
Downside Capture Ratio (%)101.52100.00116.06
Safe Withdrawal Rate9.07%5.91%6.97%
Perpetual Withdrawal Rate6.25%3.90%5.01%
Positive Periods150 out of 247 (60.73%)157 out of 247 (63.56%)152 out of 247 (61.54%)
Gain/Loss Ratio0.990.810.89
* 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
Russian Debt DefaultJul 1998Oct 1998-21.64%-17.57%-25.73%
Dotcom CrashMar 2000Oct 2002-24.36%-44.11%-33.95%
Subprime CrisisNov 2007Mar 2009-53.58%-50.89%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-54.14%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.36%
3Jul 1998Aug 19982 monthsDec 19984 months6 months-21.64%
4May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.40%
5Sep 2000Sep 20011 year 1 monthMar 20026 months1 year 7 months-19.33%
6Sep 2018Dec 20184 months-15.89%
7Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.06%
8Jan 1999Feb 19992 monthsApr 19992 months4 months-8.90%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-8.30%
10May 2006Jul 20063 monthsOct 20063 months6 months-6.06%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.95%
2Mar 2000Sep 20022 years 7 monthsDec 20031 year 3 months3 years 10 months-33.95%
3Jun 1998Aug 19983 monthsJun 199910 months1 year 1 month-25.85%
4May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.56%
5Sep 2018Dec 20184 months-19.62%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-15.41%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-8.23%
8May 2006Jul 20063 monthsNov 20064 months7 months-7.91%
9Jul 2004Aug 20042 monthsNov 20043 months5 months-6.21%
10Jul 1999Sep 19993 monthsDec 19993 months6 months-6.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIMSXVanguard Mid Cap Index Investor9.09%17.32%40.22%-41.82%-54.14%0.480.700.95
VTSMXVanguard Total Stock Mkt Idx Inv6.36%15.39%33.35%-37.04%-50.89%0.360.501.00
NAESXVanguard Small Cap Index Inv7.63%19.50%45.63%-36.07%-53.95%0.380.540.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIMSXVTSMXNAESXPortfolio 1Portfolio 2Portfolio 3
VIMSXVanguard Mid Cap Index Investor1.000.950.931.000.950.93
VTSMXVanguard Total Stock Mkt Idx Inv0.951.000.900.951.000.90
NAESXVanguard Small Cap Index Inv0.930.901.000.930.901.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIMSXVanguard Mid Cap Index Investor$49,889
VTSMXVanguard Total Stock Mkt Idx Inv$25,558
NAESXVanguard Small Cap Index Inv$35,387

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VIMSXVanguard Mid Cap Index Investor100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
NAESXVanguard Small Cap Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.59%40.22%-41.82%7.63%33.35%-37.04%10.12%45.63%-36.07%
3 years9.30%22.52%-11.18%6.35%20.34%-14.31%8.88%23.30%-9.23%
5 years9.59%21.90%-0.80%6.92%18.72%-1.76%9.31%22.38%-0.76%
7 years9.25%17.07%1.38%6.76%15.00%-0.73%9.05%16.06%1.65%
10 years8.23%13.71%4.08%5.94%13.13%-0.66%8.21%13.42%3.32%
15 years9.48%11.53%8.28%6.86%10.30%4.75%9.26%11.97%8.24%
Result statistics are based on annualized rolling returns over full calendar year periods