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 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 (Oct 1992 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$71,614 7.79% 8.78%28.64%-22.21%-32.57% 0.630.920.99
Portfolio 2$10,000$74,823 7.97% 8.90%29.15%-21.59%-31.80% 0.640.940.99
   
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 1992 are based on full calendar months from October 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 excluding cashflows
  • The backtested results include bands based (5.00% absolute, 25.00% relative) 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 Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19920.42%3.90%4.35%$10,390$10,4353.90%7.10%0.22%
19932.75%10.00%10.26%$11,429$11,50510.00%10.62%9.68%
19942.67%-1.56%-1.12%$11,251$11,377-1.56%-0.17%-2.66%
19952.54%28.64%29.15%$14,474$14,69328.64%35.79%18.18%
19963.32%13.95%14.02%$16,493$16,75313.95%20.96%3.58%
19971.70%22.24%22.60%$20,161$20,53922.24%30.99%9.44%
19981.61%17.85%17.66%$23,760$24,16717.85%23.26%8.58%
19992.68%13.61%13.99%$26,995$27,54813.61%23.81%-0.76%
20003.39%-2.04%-2.78%$26,444$26,781-2.04%-10.57%11.39%
20011.55%-3.02%-3.01%$25,647$25,975-3.02%-10.97%8.43%
20022.38%-9.52%-9.74%$23,205$23,447-9.52%-20.96%8.26%
20031.88%19.87%19.93%$27,816$28,11919.87%31.35%3.97%
20043.26%9.32%9.52%$30,409$30,7959.32%12.51%4.24%
20053.42%4.65%4.55%$31,824$32,1954.65%5.98%2.40%
20062.54%11.02%11.11%$35,332$35,77111.02%15.51%4.27%
20074.08%6.16%6.50%$37,509$38,0986.16%5.49%6.92%
20080.09%-22.21%-21.59%$29,178$29,874-22.21%-37.04%5.05%
20092.72%20.05%20.17%$35,029$35,90020.05%28.70%5.93%
20101.50%13.13%12.97%$39,628$40,55513.13%17.09%6.42%
20112.96%4.14%4.79%$41,267$42,4974.14%0.96%7.56%
20121.74%11.33%11.72%$45,943$47,47811.33%16.25%4.05%
20131.50%17.91%18.61%$54,172$56,31617.91%33.35%-2.26%
20140.76%9.84%9.86%$59,505$61,8709.84%12.43%5.76%
20150.73%0.37%0.30%$59,724$62,0530.37%0.29%0.30%
20162.07%8.63%8.82%$64,880$67,5248.63%12.53%2.50%
20172.11%13.75%14.02%$73,803$76,98813.75%21.05%3.46%
20181.91%-2.97%-2.81%$71,614$74,823-2.97%-5.26%-0.13%
Annual returns for 1992 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Balanced Index Inv (VBINX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
1992100.10%0.21%$10,010$10,0210.10%1.17%-1.22%
1992112.20%2.55%$10,230$10,2772.20%4.23%-0.02%
1992121.56%1.53%$10,390$10,4351.56%1.57%1.48%
199311.26%1.31%$10,521$10,5711.26%1.01%1.79%
199321.05%1.04%$10,632$10,6811.05%0.46%1.96%
199331.52%1.65%$10,794$10,8571.52%2.46%0.37%
19934-1.41%-1.42%$10,641$10,703-1.41%-2.77%0.74%
199351.91%1.89%$10,844$10,9061.91%3.03%0.14%
199360.95%1.03%$10,947$11,0180.95%0.55%1.80%
199370.09%0.07%$10,957$11,0260.09%-0.27%0.61%
199382.99%3.05%$11,285$11,3632.99%3.93%1.69%
199390.28%0.16%$11,316$11,3810.28%0.01%0.40%
1993101.00%1.12%$11,429$11,5091.00%1.64%0.30%
199311-1.35%-1.37%$11,275$11,352-1.35%-1.62%-0.97%
1993121.37%1.35%$11,429$11,5051.37%1.90%0.48%
199412.29%2.43%$11,691$11,7852.29%3.08%1.39%
19942-2.15%-2.07%$11,439$11,542-2.15%-2.24%-1.78%
19943-3.60%-3.63%$11,028$11,123-3.60%-4.44%-2.30%
199440.10%0.23%$11,038$11,1490.10%0.89%-0.83%
199450.67%0.60%$11,112$11,2160.67%0.97%0.00%
19946-1.72%-1.77%$10,921$11,018-1.72%-2.73%-0.18%
199472.53%2.60%$11,197$11,3052.53%3.08%1.84%
199482.66%2.77%$11,495$11,6182.66%4.39%0.14%
19949-1.76%-1.70%$11,293$11,421-1.76%-1.85%-1.44%
1994100.85%0.95%$11,390$11,5290.85%1.55%-0.07%
199411-2.26%-2.37%$11,133$11,256-2.26%-3.65%-0.18%
1994121.06%1.07%$11,251$11,3771.06%1.23%0.80%
199512.13%2.09%$11,490$11,6142.13%2.20%1.90%
199523.22%3.34%$11,860$12,0023.22%4.04%2.17%
199531.75%1.92%$12,068$12,2321.75%2.65%0.67%
199542.00%2.07%$12,309$12,4862.00%2.51%1.31%
199553.65%3.65%$12,758$12,9413.65%3.48%3.95%
199562.15%2.13%$13,032$13,2172.15%2.98%0.66%
199572.29%2.48%$13,330$13,5452.29%4.02%-0.25%
199581.08%1.11%$13,474$13,6951.08%1.07%1.18%
199592.62%2.68%$13,827$14,0622.62%3.61%0.95%
1995100.00%-0.11%$13,827$14,0460.00%-1.17%1.47%
1995113.13%3.06%$14,261$14,4763.13%4.17%1.44%
1995121.50%1.50%$14,474$14,6931.50%1.54%1.44%
199611.88%1.85%$14,746$14,9651.88%2.66%0.63%
199620.31%0.28%$14,791$15,0070.31%1.62%-1.76%
199630.30%0.40%$14,836$15,0680.30%1.14%-0.77%
199641.15%1.30%$15,007$15,2641.15%2.41%-0.49%
199651.52%1.60%$15,236$15,5081.52%2.66%-0.17%
199660.08%-0.06%$15,248$15,4980.08%-0.84%1.27%
19967-3.09%-3.27%$14,777$14,992-3.09%-5.37%0.25%
199681.87%1.83%$15,052$15,2661.87%3.09%-0.16%
199693.90%3.98%$15,639$15,8743.90%5.38%1.70%
1996101.77%1.72%$15,916$16,1471.77%1.43%2.21%
1996114.72%4.92%$16,667$16,9424.72%6.81%1.76%
199612-1.05%-1.12%$16,493$16,753-1.05%-1.27%-0.85%
199713.38%3.57%$17,050$17,3503.38%5.46%0.25%
199720.00%-0.03%$17,050$17,3450.00%-0.11%0.11%
19973-3.12%-3.23%$16,517$16,785-3.12%-4.45%-0.97%
199743.34%3.41%$17,069$17,3583.34%4.50%1.49%
199754.57%4.90%$17,849$18,2084.57%7.10%0.87%
199763.16%3.09%$18,412$18,7703.16%4.37%1.16%
199775.70%5.82%$19,463$19,8635.70%7.77%2.80%
19978-2.61%-2.62%$18,956$19,341-2.61%-3.72%-0.85%
199794.01%4.09%$19,716$20,1334.01%5.77%1.45%
199710-1.42%-1.56%$19,437$19,818-1.42%-3.40%1.45%
1997112.19%2.16%$19,862$20,2462.19%3.33%0.33%
1997121.51%1.45%$20,161$20,5391.51%1.70%1.04%
199810.80%0.78%$20,322$20,6980.80%0.44%1.32%
199824.32%4.49%$21,201$21,6284.32%7.34%-0.10%
199833.16%3.33%$21,870$22,3473.16%5.06%0.33%
199840.91%0.89%$22,069$22,5450.91%1.10%0.51%
19985-1.24%-1.39%$21,795$22,233-1.24%-2.71%1.02%
199862.46%2.55%$22,332$22,7992.46%3.54%0.81%
19987-1.24%-1.38%$22,056$22,485-1.24%-2.27%0.23%
19988-8.53%-9.28%$20,174$20,398-8.53%-15.65%1.90%
199894.53%4.76%$21,088$21,3674.53%6.68%1.96%
1998104.25%4.31%$21,984$22,2894.25%7.51%-0.55%
1998113.96%4.02%$22,855$23,1853.96%6.17%0.49%
1998123.96%4.23%$23,760$24,1673.96%6.45%0.38%
199912.49%2.64%$24,352$24,8052.49%3.65%0.79%
19992-2.90%-2.94%$23,645$24,075-2.90%-3.73%-1.77%
199932.59%2.57%$24,256$24,6932.59%3.93%0.56%
199942.89%2.98%$24,957$25,4292.89%4.68%0.40%
19995-1.56%-1.57%$24,567$25,031-1.56%-2.00%-0.88%
199962.93%2.96%$25,287$25,7712.93%5.16%-0.50%
19997-1.97%-2.14%$24,790$25,219-1.97%-3.20%-0.39%
19998-0.63%-0.60%$24,633$25,069-0.63%-0.92%-0.08%
19999-0.96%-1.01%$24,398$24,815-0.96%-2.44%1.26%
1999103.89%3.94%$25,347$25,7923.89%6.29%0.33%
1999112.08%2.13%$25,875$26,3412.08%3.42%0.02%
1999124.33%4.58%$26,995$27,5484.33%7.59%-0.48%
20001-2.57%-2.76%$26,300$26,787-2.57%-4.18%-0.17%
200021.98%2.05%$26,821$27,3351.98%2.54%1.18%
200033.97%4.14%$27,886$28,4673.97%5.69%1.40%
20004-3.33%-3.55%$26,958$27,457-3.33%-5.21%-0.49%
20005-2.10%-2.23%$26,393$26,844-2.10%-3.41%-0.16%
200063.47%3.58%$27,309$27,8053.47%4.42%2.15%
20007-0.79%-0.92%$27,092$27,550-0.79%-1.95%0.88%
200084.90%5.09%$28,421$28,9534.90%7.28%1.40%
20009-2.53%-2.72%$27,702$28,165-2.53%-4.67%0.76%
200010-0.94%-1.07%$27,443$27,862-0.94%-2.04%0.57%
200011-5.38%-5.56%$25,967$26,312-5.38%-9.90%1.58%
2000121.84%1.78%$26,444$26,7811.84%1.78%1.79%
200113.04%2.99%$27,248$27,5813.04%3.83%1.76%
20012-5.34%-5.27%$25,793$26,128-5.34%-9.41%0.91%
20013-3.62%-3.62%$24,858$25,183-3.62%-6.72%0.54%
200144.61%4.31%$26,006$26,2694.61%8.16%-0.46%
200150.86%0.89%$26,229$26,5040.86%1.01%0.73%
20016-0.80%-0.72%$26,020$26,314-0.80%-1.64%0.52%
20017-0.11%-0.02%$25,992$26,310-0.11%-1.71%2.23%
20018-3.09%-2.87%$25,189$25,553-3.09%-6.00%1.11%
20019-4.77%-5.04%$23,986$24,265-4.77%-9.00%0.89%
2001102.19%2.24%$24,512$24,8092.19%2.52%1.86%
2001113.77%3.83%$25,436$25,7613.77%7.63%-1.34%
2001120.83%0.83%$25,647$25,9750.83%1.78%-0.58%
20021-0.45%-0.48%$25,532$25,851-0.45%-1.24%0.69%
20022-0.84%-0.88%$25,317$25,623-0.84%-2.05%0.85%
200231.99%1.99%$25,819$26,1341.99%4.38%-1.46%
20024-2.30%-2.30%$25,227$25,533-2.30%-4.90%1.69%
20025-0.40%-0.39%$25,125$25,434-0.40%-1.22%0.80%
20026-3.97%-4.01%$24,127$24,415-3.97%-7.06%0.29%
20027-4.22%-4.33%$23,108$23,358-4.22%-8.02%0.48%
200280.95%0.98%$23,327$23,5870.95%0.53%1.66%
20029-5.44%-5.40%$22,058$22,314-5.44%-10.07%1.53%
2002104.26%4.08%$22,999$23,2244.26%7.65%-0.61%
2002113.58%3.57%$23,822$24,0533.58%6.06%0.02%
200212-2.59%-2.52%$23,205$23,447-2.59%-5.57%2.07%
20031-1.47%-1.46%$22,864$23,104-1.47%-2.54%0.05%
20032-0.39%-0.39%$22,775$23,015-0.39%-1.69%1.38%
200330.58%0.56%$22,907$23,1440.58%1.09%-0.13%
200345.22%5.06%$24,102$24,3165.22%8.21%0.87%
200354.34%4.35%$25,147$25,3734.34%6.11%1.82%
200360.88%0.80%$25,370$25,5770.88%1.43%-0.13%
200370.06%0.09%$25,385$25,6010.06%2.36%-3.34%
200381.66%1.71%$25,805$26,0381.66%2.39%0.61%
200390.41%0.32%$25,911$26,1200.41%-1.15%2.71%
2003103.21%3.36%$26,742$26,9993.21%6.12%-0.96%
2003110.96%0.97%$26,998$27,2600.96%1.38%0.27%
2003123.03%3.15%$27,816$28,1193.03%4.48%0.88%
200411.70%1.74%$28,288$28,6071.70%2.23%0.86%
200421.29%1.29%$28,653$28,9751.29%1.43%1.03%
20043-0.37%-0.40%$28,547$28,858-0.37%-1.07%0.80%
20044-2.31%-2.29%$27,889$28,197-2.31%-2.11%-2.61%
200450.66%0.71%$28,073$28,3960.66%1.35%-0.43%
200461.47%1.54%$28,486$28,8341.47%2.09%0.56%
20047-1.89%-2.12%$27,947$28,223-1.89%-3.80%0.96%
200480.99%0.91%$28,225$28,4790.99%0.31%1.94%
200491.15%1.16%$28,548$28,8091.15%1.74%0.16%
2004101.30%1.37%$28,920$29,2051.30%1.68%0.85%
2004112.52%2.69%$29,649$29,9912.52%4.68%-0.81%
2004122.57%2.68%$30,409$30,7952.57%3.63%0.92%
20051-1.34%-1.34%$30,003$30,381-1.34%-2.68%0.65%
200520.99%0.97%$30,300$30,6760.99%2.07%-0.63%
20053-1.29%-1.24%$29,910$30,295-1.29%-1.75%-0.49%
20054-0.84%-0.83%$29,659$30,042-0.84%-2.32%1.35%
200552.76%2.65%$30,476$30,8372.76%3.77%1.05%
200560.72%0.71%$30,697$31,0550.72%0.81%0.55%
200572.11%2.03%$31,346$31,6862.11%4.11%-0.99%
20058-0.10%-0.04%$31,314$31,674-0.10%-0.94%1.36%
200590.11%0.07%$31,347$31,6980.11%0.86%-1.10%
200510-1.47%-1.45%$30,885$31,239-1.47%-1.86%-0.81%
2005112.58%2.58%$31,682$32,0452.58%3.97%0.48%
2005120.45%0.47%$31,824$32,1950.45%0.14%0.99%
200612.12%2.09%$32,499$32,8672.12%3.50%-0.11%
200620.15%0.14%$32,547$32,9140.15%0.00%0.37%
200630.69%0.73%$32,771$33,1540.69%1.80%-1.00%
200640.54%0.61%$32,949$33,3570.54%1.11%-0.21%
20065-1.96%-2.06%$32,302$32,670-1.96%-3.23%-0.09%
200660.16%0.15%$32,354$32,7180.16%0.17%0.10%
200670.50%0.43%$32,517$32,8600.50%-0.13%1.35%
200682.00%2.05%$33,168$33,5352.00%2.31%1.64%
200691.68%1.71%$33,724$34,1081.68%2.27%0.81%
2006102.43%2.46%$34,544$34,9472.43%3.53%0.72%
2006111.80%1.81%$35,168$35,5811.80%2.23%1.11%
2006120.47%0.54%$35,332$35,7710.47%1.13%-0.48%
200711.08%1.16%$35,712$36,1851.08%1.88%-0.08%
20072-0.32%-0.48%$35,596$36,011-0.32%-1.61%1.50%
200730.65%0.71%$35,826$36,2650.65%1.11%0.02%
200742.60%2.72%$36,759$37,2532.60%4.01%0.51%
200751.90%2.08%$37,458$38,0281.90%3.69%-0.78%
20076-1.15%-1.16%$37,026$37,588-1.15%-1.67%-0.39%
20077-1.72%-1.70%$36,389$36,950-1.72%-3.41%0.84%
200781.43%1.41%$36,908$37,4701.43%1.45%1.34%
200792.45%2.41%$37,814$38,3712.45%3.59%0.72%
2007101.47%1.47%$38,371$38,9371.47%1.85%0.93%
200711-1.94%-1.90%$37,628$38,197-1.94%-4.49%1.91%
200712-0.32%-0.26%$37,509$38,098-0.32%-0.60%0.22%
20081-2.91%-2.80%$36,418$37,030-2.91%-6.08%1.69%
20082-1.78%-1.63%$35,770$36,426-1.78%-3.07%0.19%
20083-0.19%-0.19%$35,702$36,358-0.19%-0.58%0.30%
200842.83%2.89%$36,714$37,4102.83%5.02%-0.30%
200850.98%0.98%$37,074$37,7750.98%2.09%-0.79%
20086-4.98%-5.07%$35,227$35,858-4.98%-8.19%-0.01%
20087-0.44%-0.46%$35,071$35,693-0.44%-0.77%0.00%
200881.23%1.23%$35,504$36,1311.23%1.58%0.70%
20089-6.04%-5.99%$33,361$33,966-6.04%-9.26%-1.10%
200810-11.59%-11.26%$29,493$30,140-11.59%-17.63%-2.53%
200811-3.43%-3.29%$28,483$29,150-3.43%-7.90%3.64%
2008122.44%2.48%$29,178$29,8742.44%1.86%3.32%
20091-5.18%-4.99%$27,666$28,384-5.18%-8.26%-0.70%
20092-6.48%-6.44%$25,872$26,556-6.48%-10.45%-0.42%
200936.10%5.60%$27,451$28,0436.10%8.65%1.48%
200946.40%6.41%$29,206$29,8426.40%10.61%0.36%
200953.58%3.63%$30,253$30,9253.58%5.38%0.85%
200960.50%0.42%$30,404$31,0540.50%0.34%0.54%
200975.28%5.42%$32,010$32,7375.28%7.82%1.43%
200982.62%2.68%$32,849$33,6152.62%3.63%1.01%
200992.98%3.15%$33,827$34,6722.98%4.23%1.19%
200910-1.33%-1.38%$33,378$34,195-1.33%-2.57%0.41%
2009113.88%3.89%$34,671$35,5243.88%5.63%1.36%
2009121.03%1.06%$35,029$35,9001.03%2.86%-1.68%
20101-1.50%-1.54%$34,504$35,348-1.50%-3.50%1.57%
201022.10%2.10%$35,228$36,0892.10%3.36%0.20%
201033.74%3.79%$36,546$37,4563.74%6.27%-0.08%
201041.74%1.75%$37,183$38,1121.74%2.17%1.06%
20105-4.45%-4.68%$35,526$36,329-4.45%-8.00%0.87%
20106-2.75%-2.78%$34,550$35,318-2.75%-5.66%1.61%
201074.50%4.49%$36,106$36,9034.50%6.99%0.94%
20108-2.33%-2.26%$35,264$36,070-2.33%-4.75%1.48%
201095.59%5.53%$37,236$38,0655.59%9.47%-0.01%
2010102.52%2.53%$38,175$39,0302.52%3.94%0.36%
2010110.14%0.14%$38,231$39,0830.14%0.58%-0.57%
2010123.66%3.77%$39,628$40,5553.66%6.81%-1.15%
201111.36%1.42%$40,165$41,1311.36%2.19%0.08%
201122.26%2.36%$41,074$42,1032.26%3.60%0.16%
201130.23%0.29%$41,168$42,2250.23%0.45%-0.01%
201142.35%2.40%$42,137$43,2402.35%2.99%1.32%
20115-0.18%-0.18%$42,062$43,164-0.18%-1.16%1.30%
20116-1.21%-1.22%$41,553$42,638-1.21%-1.79%-0.39%
20117-0.72%-0.70%$41,253$42,338-0.72%-2.28%1.58%
20118-2.81%-2.87%$40,092$41,122-2.81%-5.99%1.46%
20119-4.39%-3.97%$38,331$39,489-4.39%-7.75%0.89%
2011106.98%6.97%$41,005$42,2416.98%11.51%0.16%
201111-0.28%-0.29%$40,892$42,117-0.28%-0.29%-0.30%
2011120.92%0.90%$41,267$42,4970.92%0.80%1.08%
201213.40%3.50%$42,669$43,9853.40%5.08%0.87%
201222.49%2.68%$43,730$45,1662.49%4.26%-0.05%
201231.62%1.77%$44,437$45,9641.62%3.07%-0.58%
201240.04%0.06%$44,456$45,9930.04%-0.65%1.14%
20125-3.34%-3.33%$42,971$44,461-3.34%-6.24%0.95%
201262.28%2.27%$43,951$45,4722.28%3.91%0.04%
201271.17%1.18%$44,467$46,0081.17%1.03%1.39%
201281.55%1.47%$45,156$46,6831.55%2.48%0.03%
201291.58%1.57%$45,871$47,4161.58%2.58%0.11%
201210-1.01%-1.01%$45,409$46,939-1.01%-1.76%0.11%
2012110.51%0.52%$45,640$47,1820.51%0.74%0.19%
2012120.66%0.63%$45,943$47,4780.66%1.19%-0.20%
201313.03%3.00%$47,335$48,9043.03%5.50%-0.71%
201320.98%0.99%$47,799$49,3890.98%1.28%0.54%
201332.36%2.42%$48,927$50,5832.36%3.88%0.08%
201341.39%1.40%$49,606$51,2931.39%1.70%0.91%
201350.74%0.81%$49,975$51,7080.74%2.32%-1.71%
20136-1.41%-1.41%$49,268$50,978-1.41%-1.27%-1.65%
201373.33%3.56%$50,906$52,7903.33%5.49%0.20%
20138-1.95%-2.05%$49,912$51,706-1.95%-2.82%-0.64%
201392.56%2.70%$51,192$53,1012.56%3.66%0.96%
2013102.83%3.01%$52,642$54,6992.83%4.22%0.78%
2013111.60%1.59%$53,484$55,5681.60%2.88%-0.35%
2013121.29%1.34%$54,172$56,3161.29%2.63%-0.65%
20141-1.24%-1.32%$53,503$55,573-1.24%-3.11%1.54%
201423.02%3.05%$55,117$57,2683.02%4.73%0.48%
201430.21%0.26%$55,233$57,4150.21%0.51%-0.15%
201440.36%0.34%$55,431$57,6080.36%0.06%0.77%
201451.71%1.74%$56,380$58,6091.71%2.17%1.05%
201461.57%1.61%$57,264$59,5511.57%2.54%0.11%
20147-1.28%-1.33%$56,530$58,759-1.28%-1.98%-0.26%
201482.95%3.02%$58,197$60,5322.95%4.18%1.13%
20149-1.57%-1.61%$57,283$59,560-1.57%-2.14%-0.72%
2014102.09%2.06%$58,480$60,7862.09%2.74%0.94%
2014111.74%1.75%$59,497$61,8521.74%2.41%0.65%
2014120.01%0.03%$59,505$61,8700.01%-0.01%0.09%
20151-0.77%-0.89%$59,044$61,319-0.77%-2.77%2.31%
201522.95%3.15%$60,788$63,2492.95%5.76%-1.08%
20153-0.44%-0.51%$60,521$62,928-0.44%-1.04%0.41%
201540.10%0.13%$60,581$63,0100.10%0.42%-0.36%
201550.63%0.71%$60,964$63,4600.63%1.39%-0.45%
20156-1.42%-1.45%$60,099$62,536-1.42%-1.71%-1.01%
201571.31%1.31%$60,887$63,3581.31%1.63%0.76%
20158-3.72%-3.96%$58,622$60,846-3.72%-6.03%-0.36%
20159-1.45%-1.54%$57,773$59,908-1.45%-2.93%0.76%
2015104.61%4.82%$60,435$62,7974.61%7.84%0.01%
2015110.24%0.24%$60,577$62,9490.24%0.54%-0.27%
201512-1.41%-1.42%$59,724$62,053-1.41%-2.03%-0.38%
20161-2.81%-3.04%$58,048$60,165-2.81%-5.67%1.43%
201620.28%0.23%$58,211$60,3040.28%-0.04%0.66%
201634.59%4.65%$60,883$63,1084.59%7.01%0.94%
201640.54%0.53%$61,212$63,4450.54%0.63%0.38%
201651.04%1.13%$61,848$64,1591.04%1.79%0.01%
201660.93%0.86%$62,424$64,7110.93%0.23%1.94%
201672.64%2.71%$64,074$66,4652.64%3.95%0.64%
201680.06%0.10%$64,115$66,5330.06%0.26%-0.17%
201690.08%0.06%$64,164$66,5760.08%0.15%-0.09%
201610-1.68%-1.70%$63,086$65,444-1.68%-2.21%-0.81%
2016111.61%1.83%$64,102$66,6381.61%4.44%-2.64%
2016121.21%1.33%$64,880$67,5241.21%1.92%0.24%
201711.25%1.26%$65,693$68,3771.25%1.91%0.29%
201722.48%2.50%$67,320$70,0882.48%3.71%0.66%
201730.02%0.01%$67,333$70,0970.02%0.07%-0.07%
201740.93%0.94%$67,962$70,7540.93%1.05%0.76%
201750.89%0.88%$68,569$71,3740.89%1.01%0.67%
201760.55%0.57%$68,950$71,7810.55%0.92%0.01%
201771.28%1.30%$69,833$72,7121.28%1.87%0.39%
201780.42%0.42%$70,128$73,0140.42%0.15%0.85%
201791.26%1.31%$71,012$73,9681.26%2.45%-0.54%
2017101.31%1.39%$71,942$74,9951.31%2.16%0.11%
2017111.79%1.85%$73,232$76,3811.79%3.04%-0.17%
2017120.78%0.79%$73,803$76,9880.78%0.99%0.44%
201812.71%2.98%$75,801$79,2852.71%5.31%-1.09%
20182-2.61%-2.64%$73,825$77,192-2.61%-3.72%-1.03%
20183-0.93%-0.93%$73,135$76,475-0.93%-1.99%0.63%
20184-0.09%-0.12%$73,071$76,383-0.09%0.38%-0.83%
201851.93%1.90%$74,481$77,8311.93%2.79%0.61%
201860.40%0.42%$74,778$78,1540.40%0.68%0.03%
201872.01%2.01%$76,280$79,7212.01%3.34%0.03%
201882.31%2.28%$78,040$81,5432.31%3.44%0.52%
20189-0.13%-0.11%$77,938$81,450-0.13%0.16%-0.54%
201810-4.76%-4.82%$74,227$77,524-4.76%-7.40%-0.73%
2018111.48%1.44%$75,327$78,6431.48%2.06%0.53%
201812-4.93%-4.86%$71,614$74,823-4.93%-9.29%1.80%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value21.27%20.70%
Large-cap Growth27.90%28.41%
Mid-cap Value6.46%6.83%
Mid-cap Growth4.07%3.55%
Small-cap Value0.00%0.00%
Small-cap Growth1.15%1.09%
Global ex-US Developed Markets0.00%0.12%
Emerging Markets0.97%1.03%
Corporate Bonds5.29%5.59%
Long-Term Treasuries0.37%0.82%
Intermediate-Term Treasuries12.52%10.98%
Short-Term Treasuries20.00%20.90%
R Squared99.67%99.71%
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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VBINXVanguard Balanced Index Inv50% to 70% Equity6.010.18%100.00%$61,614100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%60.00%$50,27997.45%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.000.15%40.00%$14,5452.55%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/03/2019. © 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 2
Arithmetic Mean (monthly)0.66%0.67%
Arithmetic Mean (annualized)8.20%8.40%
Geometric Mean (monthly)0.63%0.64%
Geometric Mean (annualized)7.79%7.97%
Volatility (monthly)2.53%2.57%
Volatility (annualized)8.78%8.90%
Downside Deviation (monthly)1.65%1.67%
Max. Drawdown-32.57%-31.80%
US Market Correlation0.990.99
Beta(*)0.600.61
Alpha (annualized)2.00%2.09%
R297.29%97.42%
Sharpe Ratio0.630.64
Sortino Ratio0.920.94
Treynor Ratio (%)9.259.42
Calmar Ratio0.760.78
Active Return-1.42%-1.24%
Tracking Error6.02%5.90%
Information Ratio-0.24-0.21
Skewness-0.79-0.78
Excess Kurtosis1.821.66
Historical Value-at-Risk (5%)-4.02%-3.98%
Analytical Value-at-Risk (5%)-3.51%-3.52%
Conditional Value-at-Risk (5%)-5.77%-5.80%
Upside Capture Ratio (%)62.8564.19
Downside Capture Ratio (%)56.7057.63
Safe Withdrawal Rate7.64%7.78%
Perpetual Withdrawal Rate5.03%5.18%
Positive Periods214 out of 315 (67.94%)213 out of 315 (67.62%)
Gain/Loss Ratio0.890.93
* 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 2
Asian CrisisJul 1997Jan 1998-2.61%-2.62%
Russian Debt DefaultJul 1998Oct 1998-9.66%-10.54%
Dotcom CrashMar 2000Oct 2002-22.39%-22.93%
Subprime CrisisNov 2007Mar 2009-32.57%-31.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.66%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
5Sep 2018Dec 20184 months-8.23%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.58%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.52%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-31.80%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.93%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-10.54%
4May 2011Sep 20115 monthsJan 20124 months9 months-8.67%
5Sep 2018Dec 20184 months-8.24%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.51%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.70%
8Jun 2015Sep 20154 monthsMay 20168 months1 year-5.60%
9Jul 1999Sep 19993 monthsOct 19991 month4 months-3.71%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-3.66%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBINXVanguard Balanced Index Inv7.79%8.78%28.64%-22.21%-32.57%0.630.920.99
VTSMXVanguard Total Stock Mkt Idx Inv9.20%14.51%35.79%-37.04%-50.89%0.520.741.00
VBMFXVanguard Total Bond Market Index Inv5.04%3.55%18.18%-2.66%-5.01%0.741.200.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBINXVTSMXVBMFXPortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv-0.990.161.001.00
VTSMXVanguard Total Stock Mkt Idx Inv0.99-0.000.990.99
VBMFXVanguard Total Bond Market Index Inv0.160.00-0.160.16

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv$61,614
VTSMXVanguard Total Stock Mkt Idx Inv$50,279
VBMFXVanguard Total Bond Market Index Inv$14,545

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VBINXVanguard Balanced Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv97.45%
VBMFXVanguard Total Bond Market Index Inv2.55%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.28%28.64%-22.21%8.44%29.15%-21.59%
3 years8.19%21.46%-4.92%8.35%21.76%-5.23%
5 years7.90%19.13%0.96%8.05%19.35%1.22%
7 years7.37%14.61%1.86%7.52%14.88%2.02%
10 years6.73%10.45%2.08%6.87%10.47%2.14%
15 years6.64%8.94%5.41%6.78%9.02%5.54%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
109/30/1995Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.55%
Vanguard Total Bond Market Index Inv (VBMFX): 34.45%
205/31/1997Vanguard Total Stock Mkt Idx Inv (VTSMX): 66.01%
Vanguard Total Bond Market Index Inv (VBMFX): 33.99%
301/31/1999Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.43%
Vanguard Total Bond Market Index Inv (VBMFX): 34.57%
408/31/2001Vanguard Total Stock Mkt Idx Inv (VTSMX): 54.20%
Vanguard Total Bond Market Index Inv (VBMFX): 45.80%
507/31/2002Vanguard Total Stock Mkt Idx Inv (VTSMX): 54.40%
Vanguard Total Bond Market Index Inv (VBMFX): 45.60%
612/31/2004Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.56%
Vanguard Total Bond Market Index Inv (VBMFX): 34.44%
705/31/2007Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.01%
Vanguard Total Bond Market Index Inv (VBMFX): 34.99%
803/31/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 54.82%
Vanguard Total Bond Market Index Inv (VBMFX): 45.18%
910/31/2008Vanguard Total Stock Mkt Idx Inv (VTSMX): 53.68%
Vanguard Total Bond Market Index Inv (VBMFX): 46.32%
1001/31/2009Vanguard Total Stock Mkt Idx Inv (VTSMX): 54.83%
Vanguard Total Bond Market Index Inv (VBMFX): 45.17%
1109/30/2009Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.09%
Vanguard Total Bond Market Index Inv (VBMFX): 34.91%
1204/30/2011Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.31%
Vanguard Total Bond Market Index Inv (VBMFX): 34.69%
1309/30/2011Vanguard Total Stock Mkt Idx Inv (VTSMX): 54.04%
Vanguard Total Bond Market Index Inv (VBMFX): 45.96%
1403/31/2012Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.23%
Vanguard Total Bond Market Index Inv (VBMFX): 34.77%
1510/31/2013Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.56%
Vanguard Total Bond Market Index Inv (VBMFX): 34.44%
1612/31/2016Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.12%
Vanguard Total Bond Market Index Inv (VBMFX): 34.88%
1701/31/2018Vanguard Total Stock Mkt Idx Inv (VTSMX): 65.14%
Vanguard Total Bond Market Index Inv (VBMFX): 34.86%