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 
Asset 1
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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 (Jul 2002 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 36.00%
VGTSX Vanguard Total Intl Stock Index Inv 24.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 30.60%
VGTSX Vanguard Total Intl Stock Index Inv 20.40%
VBMFX Vanguard Total Bond Market Index Inv 34.00%
PCRIX PIMCO Commodity Real Ret Strat Instl 15.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 36.00%
VGTSX Vanguard Total Intl Stock Index Inv 24.00%
VBMFX Vanguard Total Bond Market Index Inv 25.00%
PCRIX PIMCO Commodity Real Ret Strat Instl 15.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$33,774 7.20% 8.82%22.56%-21.90%-33.02% 0.691.020.96
Portfolio 2$10,000$31,041 6.69% 9.28%24.28%-25.11%-34.82% 0.610.880.89
Portfolio 3$10,000$32,736 7.01% 10.53%26.62%-29.15%-39.72% 0.580.830.92
   
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 2002 are based on full calendar months from July to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume 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 Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)PIMCO Commodity Real Ret Strat Instl (PCRIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20020.56%-5.02%-0.63%-2.17%$9,498$9,937$9,783-10.34%-14.16%5.24%24.28%
20031.88%22.56%23.65%26.44%$11,640$12,287$12,36931.35%40.34%3.97%29.82%
20043.26%11.20%11.97%13.02%$12,944$13,758$13,98012.51%20.84%4.24%16.36%
20053.42%6.85%8.90%9.56%$13,830$14,982$15,3175.98%15.57%2.40%20.50%
20062.54%13.68%11.18%12.59%$15,723$16,656$17,24515.51%26.64%4.27%-3.04%
20074.08%8.47%10.77%11.00%$17,055$18,450$19,1425.49%15.52%6.92%23.80%
20080.09%-21.90%-25.11%-29.15%$13,320$13,817$13,561-37.04%-44.10%5.05%-43.33%
20092.72%21.52%24.28%26.62%$16,187$17,172$17,17128.70%36.73%5.93%39.92%
20101.50%11.39%13.30%14.05%$18,030$19,456$19,58317.09%11.12%6.42%24.13%
20112.96%-0.13%-1.24%-2.39%$18,008$19,214$19,1140.96%-14.56%7.56%-7.56%
20121.74%11.82%10.85%12.01%$20,137$21,299$21,41016.25%18.14%4.05%5.31%
20131.50%14.71%10.28%12.83%$23,100$23,489$24,15733.35%15.04%-2.26%-14.81%
20140.76%5.76%2.19%2.19%$24,430$24,003$24,68612.43%-4.24%5.76%-18.06%
20150.73%-0.82%-4.56%-4.72%$24,229$22,909$23,5190.29%-4.37%0.30%-25.70%
20162.07%6.63%7.81%8.43%$25,835$24,699$25,50312.53%4.65%2.50%14.54%
20172.11%15.54%13.61%15.42%$29,849$28,061$29,43621.05%27.40%3.46%2.70%
20181.91%-5.41%-6.66%-7.46%$28,234$26,191$27,242-5.26%-14.44%-0.13%-13.77%
20192.29%19.62%18.52%20.17%$33,774$31,041$32,73630.65%21.43%8.61%12.27%
Annual returns for 2002 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)PIMCO Commodity Real Ret Strat Instl (PCRIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20027-5.05%-3.81%-4.64%$9,495$9,619$9,536-8.02%-9.80%0.48%3.20%
200280.86%1.91%1.79%$9,577$9,803$9,7070.53%-0.12%1.66%7.36%
20029-5.30%-3.32%-4.38%$9,069$9,477$9,281-10.07%-10.88%1.53%6.37%
2002103.46%2.28%2.94%$9,382$9,693$9,5547.65%5.70%-0.61%-2.82%
2002113.12%2.60%3.09%$9,676$9,945$9,8506.06%4.75%0.02%0.18%
200212-1.84%-0.08%-0.68%$9,498$9,937$9,783-5.57%-3.43%2.07%8.32%
20031-1.80%-0.35%-0.62%$9,327$9,903$9,722-2.54%-3.76%0.05%7.87%
20032-0.61%0.66%0.36%$9,270$9,968$9,757-1.69%-2.42%1.38%7.22%
20033-0.11%-1.83%-1.84%$9,259$9,786$9,5781.09%-1.93%-0.13%-10.02%
200345.50%4.48%5.19%$9,768$10,224$10,0768.21%9.70%0.87%-0.91%
200354.42%5.29%5.68%$10,200$10,765$10,6486.11%6.15%1.82%10.23%
200361.12%0.43%0.61%$10,314$10,812$10,7131.43%2.66%-0.13%-3.25%
200370.38%-0.31%0.22%$10,353$10,778$10,7362.36%3.18%-3.34%-4.18%
200381.76%2.36%2.51%$10,535$11,032$11,0062.39%2.51%0.61%5.85%
200391.25%1.57%1.37%$10,667$11,205$11,157-1.15%2.78%2.71%3.41%
2003103.60%3.77%4.39%$11,050$11,628$11,6476.12%6.49%-0.96%4.75%
2003111.19%1.04%1.16%$11,181$11,749$11,7821.38%2.13%0.27%0.22%
2003124.10%4.58%4.99%$11,640$12,287$12,3694.48%7.80%0.88%7.22%
200411.53%1.71%1.81%$11,818$12,497$12,5932.23%1.60%0.86%2.71%
200421.53%2.62%2.70%$11,999$12,825$12,9331.43%2.50%1.03%8.76%
200430.04%0.76%0.65%$12,003$12,922$13,016-1.07%0.45%0.80%4.54%
20044-2.56%-3.16%-3.15%$11,696$12,513$12,606-2.11%-3.14%-2.61%-6.17%
200450.43%0.88%1.01%$11,746$12,624$12,7331.35%0.46%-0.43%3.25%
200461.56%0.59%0.73%$11,929$12,698$12,8262.09%2.40%0.56%-4.33%
20047-1.83%-1.10%-1.51%$11,711$12,558$12,632-3.80%-3.34%0.96%2.77%
200481.07%0.97%0.84%$11,837$12,680$12,7390.31%0.75%1.94%0.47%
200491.39%2.27%2.46%$12,001$12,968$13,0521.74%2.96%0.16%6.78%
2004101.72%1.90%2.03%$12,208$13,215$13,3171.68%3.24%0.85%2.79%
2004113.13%2.36%2.94%$12,591$13,527$13,7084.68%7.23%-0.81%-1.36%
2004122.80%1.71%1.98%$12,944$13,758$13,9803.63%4.44%0.92%-3.83%
20051-1.10%-0.82%-1.08%$12,801$13,646$13,829-2.68%-1.67%0.65%0.81%
200521.60%2.36%2.70%$13,005$13,968$14,2032.07%4.68%-0.63%6.61%
20053-1.54%-0.74%-0.90%$12,805$13,865$14,075-1.75%-2.93%-0.49%3.48%
20054-0.78%-1.34%-1.66%$12,705$13,679$13,842-2.32%-2.07%1.35%-4.17%
200551.77%1.41%1.52%$12,930$13,872$14,0523.77%0.08%1.05%-0.45%
200560.82%0.97%1.01%$13,036$14,006$14,1940.81%1.30%0.55%1.76%
200571.93%1.97%2.41%$13,288$14,282$14,5374.11%3.68%-0.99%2.18%
200580.88%2.27%2.20%$13,405$14,606$14,856-0.94%2.85%1.36%9.59%
200591.03%1.52%1.83%$13,543$14,829$15,1280.86%4.73%-1.10%3.93%
200510-1.84%-2.87%-3.01%$13,294$14,403$14,672-1.86%-3.37%-0.81%-7.75%
2005112.27%1.87%2.13%$13,596$14,673$14,9863.97%2.67%0.48%-0.12%
2005121.72%2.11%2.21%$13,830$14,982$15,3170.14%5.14%0.99%4.08%
200612.87%2.68%3.12%$14,227$15,383$15,7953.50%6.87%-0.11%1.62%
20062-0.03%-1.01%-1.07%$14,222$15,228$15,6260.00%-0.72%0.37%-6.62%
200631.05%0.83%1.14%$14,371$15,354$15,8041.80%3.17%-1.00%-0.50%
200641.62%2.31%2.57%$14,604$15,710$16,2101.11%5.12%-0.21%6.63%
20065-2.37%-1.93%-2.25%$14,257$15,407$15,846-3.23%-4.45%-0.09%0.74%
200660.00%-0.29%-0.30%$14,258$15,363$15,7980.17%-0.38%0.10%-1.96%
200670.76%1.28%1.19%$14,367$15,559$15,986-0.13%1.15%1.35%4.29%
200682.11%1.45%1.52%$14,670$15,785$16,2302.31%2.53%1.64%-2.28%
200691.19%0.06%0.13%$14,844$15,795$16,2502.27%0.25%0.81%-6.59%
2006102.57%2.79%3.05%$15,226$16,235$16,7463.53%4.00%0.72%4.16%
2006112.20%2.77%2.92%$15,560$16,685$17,2352.23%3.73%1.11%6.40%
2006121.05%-0.17%0.05%$15,723$16,656$17,2451.13%3.09%-0.48%-7.57%
200710.87%0.68%0.82%$15,860$16,769$17,3861.88%0.96%-0.08%-0.43%
200720.02%0.78%0.56%$15,864$16,900$17,483-1.61%0.06%1.50%5.11%
200731.08%1.05%1.21%$16,035$17,078$17,6951.11%2.80%0.02%0.91%
200742.60%2.44%2.75%$16,451$17,494$18,1814.01%3.92%0.51%1.58%
200751.80%1.24%1.61%$16,748$17,711$18,4743.69%3.09%-0.78%-1.89%
20076-0.61%-0.84%-0.87%$16,645$17,562$18,314-1.67%0.61%-0.39%-2.13%
20077-1.20%-0.50%-0.79%$16,446$17,475$18,169-3.41%-1.06%0.84%3.56%
200780.86%0.20%0.14%$16,587$17,510$18,1941.45%-0.72%1.34%-3.44%
200793.17%4.16%4.52%$17,113$18,239$19,0153.59%6.38%0.72%9.91%
2007102.54%2.84%3.07%$17,548$18,757$19,5981.85%5.90%0.93%4.46%
200711-2.11%-1.72%-2.28%$17,178$18,435$19,152-4.49%-4.57%1.91%0.38%
200712-0.72%0.08%-0.05%$17,055$18,450$19,142-0.60%-2.28%0.22%4.27%
20081-3.56%-1.78%-2.57%$16,447$18,122$18,650-6.08%-8.55%1.69%8.32%
20082-0.92%1.55%1.40%$16,295$18,403$18,911-3.07%0.33%0.19%14.05%
20083-0.24%-1.57%-1.67%$16,256$18,114$18,596-0.58%-0.71%0.30%-7.41%
200842.93%2.73%3.24%$16,732$18,609$19,1995.02%5.85%-0.30%1.80%
200850.76%1.06%1.29%$16,860$18,806$19,4472.09%1.51%-0.79%2.47%
20086-5.03%-2.47%-3.21%$16,011$18,341$18,822-8.19%-8.99%-0.01%9.55%
20087-1.10%-3.36%-3.56%$15,835$17,724$18,152-0.77%-3.67%0.00%-12.59%
20088-0.28%-1.46%-1.63%$15,790$17,465$17,8561.58%-5.10%0.70%-6.87%
20089-6.48%-8.29%-9.20%$14,767$16,017$16,213-9.26%-13.09%-1.10%-17.21%
200810-11.48%-14.17%-15.83%$13,071$13,748$13,647-17.63%-22.09%-2.53%-29.11%
200811-1.71%-2.81%-3.96%$12,847$13,362$13,106-7.90%-6.29%3.64%-10.42%
2008123.69%3.41%3.47%$13,320$13,817$13,5611.86%8.16%3.32%1.30%
20091-6.12%-5.58%-6.39%$12,505$13,046$12,694-8.26%-11.96%-0.70%-2.50%
20092-6.01%-6.05%-6.94%$11,753$12,257$11,813-10.45%-9.58%-0.42%-6.26%
200935.58%6.03%6.74%$12,409$12,996$12,6098.65%9.31%1.48%8.49%
200946.68%5.92%6.94%$13,238$13,766$13,48410.61%12.78%0.36%1.92%
200955.67%7.22%7.95%$13,988$14,759$14,5565.38%14.35%0.85%15.83%
20096-0.01%-0.36%-0.44%$13,987$14,706$14,4930.34%-1.32%0.54%-2.16%
200975.88%5.67%6.31%$14,809$15,540$15,4077.82%9.96%1.43%4.62%
200982.62%2.37%2.59%$15,197$15,909$15,8073.63%3.50%1.01%1.07%
200993.36%3.38%3.67%$15,707$16,447$16,3874.23%5.15%1.19%3.50%
200910-1.39%-0.39%-0.64%$15,489$16,382$16,282-2.57%-2.17%0.41%4.94%
2009113.59%3.94%4.24%$16,045$17,028$16,9725.63%3.86%1.36%5.70%
2009120.88%0.84%1.17%$16,187$17,172$17,1712.86%1.53%-1.68%0.65%
20101-1.85%-2.40%-2.92%$15,888$16,759$16,670-3.50%-5.07%1.57%-5.56%
201021.32%1.63%1.81%$16,098$17,032$16,9723.36%0.22%0.20%3.45%
201033.77%3.08%3.67%$16,705$17,556$17,5946.27%6.71%-0.08%-0.94%
201040.82%1.21%1.17%$16,842$17,769$17,8012.17%-1.71%1.06%3.58%
20105-5.13%-5.50%-6.39%$15,977$16,791$16,663-8.00%-10.78%0.87%-7.65%
20106-1.63%-1.21%-1.73%$15,716$16,588$16,375-5.66%-1.17%1.61%1.34%
201075.09%5.44%6.13%$16,516$17,489$17,3786.99%10.33%0.94%7.45%
20108-1.80%-1.80%-2.31%$16,218$17,175$16,976-4.75%-3.22%1.48%-1.77%
201095.60%6.04%6.96%$17,126$18,212$18,1589.47%10.41%-0.01%8.56%
2010102.39%3.06%3.37%$17,535$18,770$18,7703.94%3.55%0.36%6.81%
201011-1.09%-1.16%-1.23%$17,343$18,553$18,5390.58%-4.52%-0.57%-1.48%
2010123.96%4.87%5.63%$18,030$19,456$19,5836.81%8.34%-1.15%9.72%
201110.99%1.15%1.28%$18,209$19,679$19,8342.19%0.70%0.08%2.05%
201122.02%2.02%2.30%$18,577$20,076$20,2893.60%2.71%0.16%2.00%
201130.06%0.50%0.51%$18,588$20,176$20,3920.45%-0.43%-0.01%2.95%
201142.88%3.25%3.47%$19,123$20,832$21,1002.99%5.24%1.32%5.26%
20115-0.64%-1.31%-1.58%$19,002$20,559$20,766-1.16%-2.87%1.30%-4.90%
20116-1.17%-1.77%-1.88%$18,779$20,195$20,375-1.79%-1.51%-0.39%-5.09%
20117-0.58%0.26%-0.06%$18,669$20,247$20,363-2.28%-1.53%1.58%5.15%
20118-3.58%-2.96%-3.71%$18,001$19,648$19,606-5.99%-8.45%1.46%0.44%
20119-5.11%-6.84%-7.80%$17,081$18,305$18,077-7.75%-12.29%0.89%-15.91%
2011106.13%6.46%7.50%$18,128$19,487$19,43211.51%10.22%0.16%8.39%
201111-0.85%-1.08%-1.17%$17,974$19,277$19,205-0.29%-2.88%-0.30%-2.37%
2011120.19%-0.33%-0.48%$18,008$19,214$19,1140.80%-2.64%1.08%-3.38%
201213.92%4.07%4.53%$18,714$19,996$19,9795.08%7.27%0.87%4.89%
201222.81%2.82%3.23%$19,239$20,561$20,6264.26%5.14%-0.05%2.92%
201230.72%-0.05%0.14%$19,378$20,549$20,6533.07%-0.75%-0.58%-4.41%
20124-0.27%-0.14%-0.34%$19,327$20,520$20,584-0.65%-1.78%1.14%0.60%
20125-4.73%-5.25%-6.05%$18,413$19,443$19,339-6.24%-11.14%0.95%-8.32%
201262.85%3.12%3.54%$18,937$20,049$20,0243.91%6.03%0.04%4.76%
201271.03%1.93%1.88%$19,132$20,436$20,4001.03%0.44%1.39%7.32%
201281.58%1.63%1.85%$19,435$20,769$20,7772.48%2.72%0.03%1.89%
201291.88%1.97%2.23%$19,799$21,178$21,2402.58%3.62%0.11%2.52%
201210-0.49%-0.99%-1.07%$19,702$20,968$21,012-1.76%0.56%0.11%-3.78%
2012110.79%0.78%0.87%$19,859$21,133$21,1950.74%1.82%0.19%0.73%
2012121.40%0.78%1.02%$20,137$21,299$21,4101.19%4.17%-0.20%-2.78%
201312.50%2.51%2.99%$20,640$21,832$22,0505.50%3.34%-0.71%2.56%
201320.39%-0.27%-0.29%$20,719$21,774$21,9871.28%-1.23%0.54%-3.96%
201331.67%1.56%1.79%$21,064$22,114$22,3813.88%0.77%0.08%0.94%
201341.84%1.23%1.37%$21,453$22,386$22,6861.70%3.58%0.91%-2.44%
20135-0.47%-1.12%-0.94%$21,352$22,135$22,4742.32%-2.95%-1.71%-5.15%
20136-1.99%-2.85%-2.89%$20,926$21,505$21,825-1.27%-3.75%-1.65%-8.42%
201373.29%3.19%3.64%$21,614$22,192$22,6205.49%4.56%0.20%2.53%
20138-1.75%-1.29%-1.45%$21,236$21,905$22,291-2.82%-1.63%-0.64%1.94%
201393.50%2.92%3.28%$21,979$22,545$23,0223.66%7.21%0.96%-1.01%
2013102.79%2.32%2.60%$22,592$23,067$23,6204.22%3.41%0.78%-1.05%
2013111.07%0.80%0.99%$22,834$23,251$23,8552.88%0.12%-0.35%-1.24%
2013121.16%1.02%1.27%$23,100$23,489$24,1572.63%1.25%-0.65%-0.01%
20141-1.65%-1.29%-1.77%$22,719$23,186$23,730-3.11%-4.78%1.54%0.73%
201423.13%3.70%4.12%$23,430$24,044$24,7064.73%5.39%0.48%6.87%
201430.22%0.19%0.24%$23,482$24,089$24,7660.51%0.41%-0.15%0.00%
201440.64%1.02%1.00%$23,633$24,335$25,0150.06%1.31%0.77%3.05%
201451.65%1.10%1.19%$24,024$24,602$25,3112.17%1.88%1.05%-1.81%
201461.38%1.35%1.53%$24,354$24,933$25,7002.54%1.74%0.11%1.17%
20147-1.21%-1.85%-1.98%$24,059$24,473$25,190-1.98%-1.61%-0.26%-5.29%
201482.22%1.73%1.89%$24,593$24,895$25,6654.18%1.05%1.13%-1.05%
20149-2.26%-3.04%-3.26%$24,037$24,139$24,828-2.14%-5.01%-0.72%-7.55%
2014101.32%1.03%1.09%$24,354$24,388$25,0982.74%-0.31%0.94%-0.77%
2014111.11%0.37%0.44%$24,623$24,479$25,2092.41%-0.25%0.65%-4.25%
201412-0.78%-1.95%-2.08%$24,430$24,003$24,686-0.01%-3.65%0.09%-9.68%
20151-0.04%-0.34%-0.69%$24,420$23,922$24,515-2.77%0.13%2.31%-2.01%
201522.90%2.91%3.53%$25,129$24,618$25,3805.76%5.52%-1.08%2.96%
20153-0.59%-1.39%-1.53%$24,980$24,277$24,991-1.04%-1.54%0.41%-5.97%
201541.25%1.93%2.18%$25,292$24,746$25,5350.42%5.08%-0.36%6.12%
201550.08%-0.39%-0.31%$25,312$24,650$25,4561.39%-0.94%-0.45%-3.10%
20156-1.68%-1.18%-1.28%$24,885$24,361$25,131-1.71%-2.69%-1.01%1.88%
201570.69%-0.99%-0.99%$25,056$24,120$24,8821.63%-0.80%0.76%-10.71%
20158-4.11%-3.84%-4.40%$24,026$23,194$23,786-6.03%-7.29%-0.36%-2.04%
20159-1.66%-2.01%-2.39%$23,627$22,727$23,218-2.93%-3.90%0.76%-4.29%
2015104.21%3.65%4.33%$24,622$23,558$24,2227.84%6.26%0.01%0.00%
201511-0.22%-1.15%-1.14%$24,567$23,288$23,9460.54%-1.32%-0.27%-7.49%
201512-1.38%-1.63%-1.78%$24,229$22,909$23,519-2.03%-2.07%-0.38%-3.47%
20161-2.81%-2.65%-3.29%$23,548$22,302$22,746-5.67%-5.59%1.43%-1.74%
20162-0.27%-0.57%-0.72%$23,485$22,175$22,583-0.04%-2.27%0.66%-2.26%
201634.72%4.90%5.51%$24,594$23,262$23,8277.01%8.19%0.94%5.94%
201640.90%2.08%2.16%$24,816$23,746$24,3420.63%2.22%0.38%8.72%
201650.40%0.22%0.28%$24,915$23,799$24,4101.79%-1.02%0.01%-0.72%
201660.64%1.36%1.17%$25,074$24,123$24,6960.23%-0.94%1.94%5.20%
201672.71%1.45%1.76%$25,754$24,472$25,1293.95%4.41%0.64%-4.95%
201680.20%-0.12%-0.06%$25,805$24,443$25,1130.26%0.74%-0.17%-1.88%
201690.34%0.88%0.95%$25,894$24,658$25,3500.15%1.37%-0.09%3.90%
201610-1.54%-1.39%-1.49%$25,496$24,316$24,972-2.21%-1.72%-0.81%-0.57%
2016110.03%0.16%0.56%$25,505$24,356$25,1124.44%-2.15%-2.64%0.86%
2016121.29%1.41%1.56%$25,835$24,699$25,5031.92%2.02%0.24%2.02%
201711.73%1.60%1.82%$26,282$25,094$25,9661.91%3.87%0.29%0.84%
201721.97%1.69%1.89%$26,799$25,520$26,4563.71%1.50%0.66%0.14%
201730.68%0.21%0.32%$26,983$25,573$26,5410.07%2.82%-0.07%-2.56%
201741.22%0.83%0.90%$27,313$25,784$26,7791.05%2.20%0.76%-1.57%
201751.38%0.97%1.07%$27,691$26,034$27,0661.01%3.01%0.67%-1.60%
201760.47%0.29%0.35%$27,822$26,108$27,1620.92%0.52%0.01%-0.91%
201771.70%1.84%2.03%$28,295$26,589$27,7141.87%3.42%0.39%2.76%
201780.54%0.55%0.50%$28,448$26,735$27,8530.15%0.64%0.85%0.60%
201791.16%0.99%1.23%$28,777$26,998$28,1952.45%1.81%-0.54%-0.13%
2017101.34%1.51%1.68%$29,164$27,405$28,6682.16%1.94%0.11%2.59%
2017111.27%1.02%1.22%$29,535$27,685$29,0193.04%0.78%-0.17%-0.59%
2017121.06%1.36%1.44%$29,849$28,061$29,4360.99%2.01%0.44%3.29%
201812.81%2.68%3.27%$30,689$28,814$30,3985.31%5.59%-1.09%1.92%
20182-3.03%-2.90%-3.19%$29,758$27,977$29,428-3.72%-5.14%-1.03%-2.17%
20183-0.64%-0.54%-0.73%$29,569$27,825$29,213-1.99%-0.64%0.63%0.00%
201840.01%0.39%0.51%$29,571$27,932$29,3620.38%0.83%-0.83%2.52%
201850.79%0.89%0.91%$29,803$28,180$29,6302.79%-1.92%0.61%1.45%
20186-0.23%-0.71%-0.74%$29,734$27,981$29,4100.68%-2.08%0.03%-3.30%
201871.83%1.20%1.46%$30,280$28,316$29,8403.34%2.48%0.03%-2.40%
201880.99%0.60%0.67%$30,579$28,485$30,0403.44%-2.19%0.52%-1.69%
20189-0.08%0.19%0.26%$30,555$28,540$30,1180.16%0.30%-0.54%1.83%
201810-5.05%-4.82%-5.45%$29,011$27,164$28,477-7.40%-8.35%-0.73%-3.44%
2018111.27%0.75%0.86%$29,379$27,368$28,7232.06%1.26%0.53%-2.27%
201812-3.90%-4.30%-5.16%$28,234$26,191$27,242-9.29%-4.85%1.80%-6.73%
201915.31%5.52%6.16%$29,734$27,637$28,9218.59%7.58%1.01%6.68%
201921.70%1.72%1.97%$30,239$28,112$29,4913.50%1.72%-0.06%1.86%
201931.46%1.34%1.27%$30,679$28,488$29,8651.44%0.72%1.96%0.65%
201942.19%1.91%2.21%$31,351$29,032$30,5263.98%2.76%0.04%0.33%
20195-3.16%-3.28%-3.96%$30,362$28,080$29,316-6.45%-5.55%1.83%-3.97%
201964.43%4.25%4.73%$31,706$29,273$30,7026.97%5.83%1.15%3.21%
201970.18%0.05%0.04%$31,762$29,288$30,7161.44%-1.89%0.23%-0.68%
20198-0.28%-0.66%-1.09%$31,671$29,094$30,380-2.03%-2.35%2.78%-2.90%
201991.04%1.01%1.25%$32,002$29,387$30,7591.70%2.72%-0.60%0.77%
2019101.68%1.76%1.98%$32,539$29,905$31,3662.10%3.38%0.21%2.30%
2019111.68%1.10%1.35%$33,087$30,235$31,7913.77%1.11%-0.06%-2.42%
2019122.08%2.67%2.97%$33,774$31,041$32,7362.85%4.27%-0.15%6.39%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value11.16%0.37%2.71%
Large-cap Growth18.61%15.35%17.34%
Mid-cap Value5.37%9.42%9.82%
Mid-cap Growth1.94%2.33%2.89%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets17.67%20.68%23.44%
Emerging Markets6.14%11.35%11.94%
REITs0.00%0.00%0.00%
Corporate Bonds7.32%7.46%6.34%
Long-Term Treasuries0.97%0.00%0.00%
Intermediate-Term Treasuries9.74%8.75%5.46%
Short-Term Treasuries21.08%24.28%20.05%
R Squared99.66%94.76%95.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%36.00%$12,87954.47%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%24.00%$5,69343.55%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%40.00%$5,2021.98%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%30.60%$10,94741.36%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%20.40%$4,88034.78%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%34.00%$4,5062.18%
PCRIXPIMCO Commodity Real Ret Strat InstlCommodities Broad Basket1.46%15.00%$70821.68%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%36.00%$12,99844.07%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend0.17%24.00%$5,73436.54%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%25.00%$3,3760.99%
PCRIXPIMCO Commodity Real Ret Strat InstlCommodities Broad Basket1.46%15.00%$62818.40%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.61%0.58%0.61%
Arithmetic Mean (annualized)7.62%7.15%7.61%
Geometric Mean (monthly)0.58%0.54%0.57%
Geometric Mean (annualized)7.20%6.69%7.01%
Volatility (monthly)2.55%2.68%3.04%
Volatility (annualized)8.82%9.28%10.53%
Downside Deviation (monthly)1.69%1.81%2.08%
Max. Drawdown-33.02%-34.82%-39.72%
US Market Correlation0.960.890.92
Beta(*)0.590.580.67
Alpha (annualized)1.43%1.09%0.57%
R291.23%79.71%83.74%
Sharpe Ratio0.690.610.58
Sortino Ratio1.020.880.83
Treynor Ratio (%)10.309.728.99
Calmar Ratio1.170.870.84
Active Return-2.22%-2.73%-2.41%
Tracking Error6.42%7.32%6.30%
Information Ratio-0.35-0.37-0.38
Skewness-0.83-1.05-1.02
Excess Kurtosis2.454.444.11
Historical Value-at-Risk (5%)-4.87%-3.82%-4.51%
Analytical Value-at-Risk (5%)-3.68%-3.92%-4.47%
Conditional Value-at-Risk (5%)-6.08%-6.46%-7.38%
Upside Capture Ratio (%)60.5157.5565.79
Downside Capture Ratio (%)56.7154.9565.55
Safe Withdrawal Rate8.26%8.50%8.63%
Perpetual Withdrawal Rate4.67%4.22%4.50%
Positive Periods140 out of 210 (66.67%)136 out of 210 (64.76%)137 out of 210 (65.24%)
Gain/Loss Ratio0.940.970.91
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-33.02%-34.82%-39.72%

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-33.02%
2May 2011Sep 20115 monthsFeb 20125 months10 months-10.68%
3Jul 2002Sep 20023 monthsMay 20038 months11 months-9.31%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.00%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-7.22%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.98%
7May 2019May 20191 monthJun 20191 month2 months-3.16%
8Apr 2004Apr 20041 monthOct 20046 months7 months-2.56%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.45%
10May 2006May 20061 monthAug 20063 months4 months-2.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsDec 20101 year 10 months2 years 7 months-34.82%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-12.13%
3Jul 2014Feb 20161 year 8 monthsJan 201711 months2 years 7 months-11.06%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.10%
5Jul 2002Sep 20023 monthsApr 20037 months10 months-5.23%
6May 2013Jun 20132 monthsSep 20133 months5 months-3.93%
7Nov 2007Mar 20085 monthsMay 20082 months7 months-3.43%
8May 2019May 20191 monthJun 20191 month2 months-3.28%
9Apr 2004Apr 20041 monthSep 20045 months6 months-3.16%
10Oct 2005Oct 20051 monthDec 20052 months3 months-2.87%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-39.72%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-14.33%
3Jul 2014Feb 20161 year 8 monthsJan 201711 months2 years 7 months-12.13%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-10.38%
5Jul 2002Sep 20023 monthsApr 20037 months10 months-7.19%
6May 2019May 20191 monthJun 20191 month2 months-3.96%
7May 2013Jun 20132 monthsSep 20133 months5 months-3.80%
8Apr 2004Apr 20041 monthSep 20045 months6 months-3.15%
9Oct 2005Oct 20051 monthDec 20052 months3 months-3.01%
10May 2006Jun 20062 monthsAug 20062 months4 months-2.54%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.42%14.30%33.35%-37.04%-50.89%0.610.891.00
VGTSXVanguard Total Intl Stock Index Inv6.64%17.03%40.34%-44.10%-58.50%0.390.560.88
VBMFXVanguard Total Bond Market Index Inv4.21%3.43%8.61%-2.26%-3.99%0.841.41-0.08
PCRIXPIMCO Commodity Real Ret Strat Instl2.48%18.91%39.92%-43.33%-63.49%0.160.220.40

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXPCRIXPortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv-0.88-0.080.400.960.890.92
VGTSXVanguard Total Intl Stock Index Inv0.88-0.050.550.960.950.96
VBMFXVanguard Total Bond Market Index Inv-0.080.05-0.220.130.180.12
PCRIXPIMCO Commodity Real Ret Strat Instl0.400.550.22-0.500.720.69

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$12,879$10,947$12,998
VGTSXVanguard Total Intl Stock Index Inv$5,693$4,880$5,734
VBMFXVanguard Total Bond Market Index Inv$5,202$4,506$3,376
PCRIXPIMCO Commodity Real Ret Strat Instl$708$628

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv54.47%41.36%44.07%
VGTSXVanguard Total Intl Stock Index Inv43.55%34.78%36.54%
VBMFXVanguard Total Bond Market Index Inv1.98%2.18%0.99%
PCRIXPIMCO Commodity Real Ret Strat Instl21.68%18.40%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.32%22.56%-21.90%7.63%24.28%-25.11%8.27%26.62%-29.15%
3 years6.95%13.35%-1.24%6.07%14.67%-2.66%6.41%16.12%-3.98%
5 years6.47%12.42%2.73%5.46%13.17%2.20%5.70%14.37%1.86%
7 years6.66%8.92%4.83%5.64%8.13%3.83%5.88%8.37%3.70%
10 years6.69%7.80%5.09%5.71%7.92%4.02%5.95%8.15%3.99%
15 years6.87%7.93%6.09%5.97%7.17%5.18%6.29%7.62%5.40%
Result statistics are based on annualized rolling returns over full calendar year periods