Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 7
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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% 0.490.700.95
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% 0.380.550.90
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 1998 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • 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%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value4.71%37.36%0.00%
Large-cap Growth13.63%43.47%0.00%
Mid-cap Value31.76%5.00%17.10%
Mid-cap Growth40.48%7.62%26.12%
Small-cap Value0.00%3.03%38.34%
Small-cap Growth0.00%2.38%14.27%
Global ex-US Developed Markets6.18%0.66%0.94%
Emerging Markets3.25%0.48%3.23%
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 Squared98.34%99.88%98.69%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VIMSXVanguard Mid Cap Index InvestorMid-Cap Blend0.17%100.00%$49,889100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%100.00%$25,558100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
NAESXVanguard Small Cap Index InvSmall Blend0.17%100.00%$35,387100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 02/05/2019. © 2019 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 Ratio0.490.360.38
Sortino Ratio0.700.500.55
Treynor Ratio (%)7.905.566.53
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
Sustainable Withdrawal Rate9.07%5.91%6.97%
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%0.490.700.95
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%0.380.550.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIMSXVTSMXNAESXPortfolio 1Portfolio 2Portfolio 3
VIMSXVanguard Mid Cap Index Investor-0.950.931.000.950.93
VTSMXVanguard Total Stock Mkt Idx Inv0.95-0.900.951.000.90
NAESXVanguard Small Cap Index Inv0.930.90-0.930.901.00

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