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 (Nov 1991 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 300.00%
CASHX Cash -200.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 50.00%
VFITX Vanguard Interm-Term Treasury Inv 150.00%
CASHX Cash -100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,109 5.49% 4.72%20.44%-4.33%-6.47% 0.641.07-0.15
Portfolio 2$10,000$189,612 11.01% 14.04%54.95%-20.02%-24.16% 0.641.07-0.15
Portfolio 3$10,000$191,778 11.06% 9.31%46.24%-9.91%-19.81% 0.911.520.64
Vanguard 500 Index Investor$10,000$141,864 9.87% 14.13%37.45%-37.02%-50.97% 0.570.830.99
   
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 1991 are based on full calendar months from November to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results assume monthly 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 Interm-Term Treasury Inv (VFITX)Cash (CASHX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
19910.36%4.77%12.88%9.93%6.94%$10,477$11,288$10,993$10,6944.77%0.77%6.94%
19922.90%7.78%15.65%11.79%7.42%$11,292$13,055$12,289$11,4887.78%3.57%7.42%
19932.75%11.43%29.48%19.54%9.89%$12,583$16,904$14,689$12,62511.43%3.05%9.89%
19942.67%-4.33%-20.02%-9.91%1.18%$12,038$13,519$13,234$12,773-4.33%4.20%1.18%
19952.54%20.44%54.95%46.24%37.45%$14,499$20,948$19,353$17,55620.44%5.71%37.45%
19963.32%1.92%-5.08%8.32%22.88%$14,777$19,884$20,964$21,5731.92%5.17%22.88%
19971.70%8.96%16.29%24.70%33.19%$16,101$23,123$26,141$28,7338.96%5.22%33.19%
19981.61%10.61%22.01%26.74%28.62%$17,809$28,212$33,130$36,95510.61%4.97%28.62%
19992.68%-3.52%-18.68%-0.39%21.07%$17,182$22,941$33,000$44,741-3.52%4.77%21.07%
20003.39%14.03%31.42%9.78%-9.06%$19,592$30,150$36,228$40,68914.03%5.99%-9.06%
20011.55%7.55%14.76%1.74%-12.02%$21,071$34,601$36,858$35,7977.55%3.70%-12.02%
20022.38%14.15%42.08%7.26%-22.15%$24,052$49,159$39,533$27,87014.15%1.65%-22.15%
20031.88%2.37%3.87%16.28%28.50%$24,622$51,060$45,971$35,8132.37%1.04%28.50%
20043.26%3.40%6.93%9.17%10.74%$25,460$54,597$50,185$39,6603.40%1.32%10.74%
20053.42%2.32%0.27%2.79%4.77%$26,049$54,746$51,586$41,5532.32%3.14%4.77%
20062.54%3.14%-0.40%7.46%15.64%$26,866$54,528$55,434$48,0533.14%4.82%15.64%
20074.08%9.98%20.97%13.47%5.39%$29,548$65,965$62,902$50,6419.98%4.56%5.39%
20080.09%13.32%38.68%-4.80%-37.02%$33,485$91,481$59,883$31,89413.32%1.53%-37.02%
20092.72%-1.69%-6.31%9.63%26.49%$32,920$85,708$65,649$40,341-1.69%0.16%26.49%
20101.50%7.35%22.45%19.91%14.91%$35,341$104,954$78,723$46,3577.35%0.14%14.91%
20112.96%9.80%31.44%16.56%1.97%$38,803$137,951$91,762$47,2699.80%0.07%1.97%
20121.74%2.67%7.84%12.10%15.82%$39,841$148,772$102,863$54,7492.67%0.08%15.82%
20131.50%-3.09%-9.45%9.72%32.18%$38,611$134,721$112,863$72,364-3.09%0.05%32.18%
20140.76%4.32%13.17%13.48%13.51%$40,278$152,463$128,080$82,1404.32%0.03%13.51%
20150.73%1.50%4.06%3.18%1.25%$40,884$158,658$132,151$83,1651.50%0.05%1.25%
20162.07%1.19%2.42%7.54%11.82%$41,370$162,498$142,112$92,9931.19%0.30%11.82%
20172.11%1.57%2.86%11.97%21.67%$42,019$167,144$159,124$113,1421.57%0.88%21.67%
20181.91%1.00%-1.08%-2.28%-4.52%$42,440$165,342$155,503$108,0231.00%1.90%-4.52%
20192.29%6.29%14.68%23.33%31.33%$45,109$189,612$191,778$141,8646.29%2.13%31.33%
Annual returns for 1991 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
1991111.00%2.18%-0.91%-4.01%$10,100$10,218$9,909$9,5991.00%0.40%-4.01%
1991123.73%10.47%10.94%11.41%$10,477$11,288$10,993$10,6943.73%0.37%11.41%
19921-2.15%-7.10%-4.49%-1.88%$10,251$10,486$10,499$10,493-2.15%0.33%-1.88%
199220.52%0.91%1.08%1.24%$10,305$10,581$10,612$10,6240.52%0.32%1.24%
19923-0.91%-3.39%-2.66%-1.93%$10,211$10,222$10,330$10,419-0.91%0.33%-1.93%
199240.57%1.02%1.97%2.91%$10,268$10,326$10,533$10,7230.57%0.34%2.91%
199252.18%5.91%3.20%0.48%$10,492$10,936$10,869$10,7752.18%0.31%0.48%
199261.82%4.85%1.68%-1.49%$10,683$11,467$11,052$10,6141.82%0.31%-1.49%
199273.07%8.63%6.33%4.04%$11,012$12,456$11,752$11,0433.07%0.30%4.04%
199281.20%3.07%0.50%-2.07%$11,144$12,839$11,811$10,8151.20%0.27%-2.07%
199291.73%4.67%2.92%1.17%$11,337$13,439$12,156$10,9411.73%0.26%1.17%
199210-1.71%-5.59%-2.63%0.33%$11,143$12,688$11,836$10,977-1.71%0.23%0.33%
199211-0.46%-1.87%0.77%3.40%$11,092$12,450$11,927$11,351-0.46%0.25%3.40%
1992121.80%4.85%3.03%1.21%$11,292$13,055$12,289$11,4881.80%0.27%1.21%
199312.72%7.65%4.23%0.81%$11,599$14,053$12,808$11,5812.72%0.26%0.81%
199322.53%7.11%4.23%1.36%$11,893$15,052$13,350$11,7382.53%0.24%1.36%
199330.40%0.71%1.41%2.11%$11,940$15,158$13,538$11,9850.40%0.25%2.11%
199340.93%2.31%-0.06%-2.42%$12,051$15,508$13,530$11,6950.93%0.24%-2.42%
19935-0.15%-0.93%0.86%2.65%$12,033$15,364$13,647$12,005-0.15%0.24%2.65%
199362.20%6.09%3.18%0.27%$12,298$16,299$14,080$12,0372.20%0.26%0.27%
199370.02%-0.44%-0.43%-0.42%$12,301$16,227$14,019$11,9860.02%0.25%-0.42%
199382.18%6.04%4.91%3.79%$12,569$17,206$14,708$12,4402.18%0.25%3.79%
199390.62%1.36%0.28%-0.79%$12,647$17,440$14,749$12,3410.62%0.25%-0.79%
1993100.09%-0.21%0.94%2.08%$12,659$17,404$14,887$12,5980.09%0.24%2.08%
199311-1.16%-3.98%-2.49%-1.00%$12,513$16,711$14,517$12,472-1.16%0.25%-1.00%
1993120.56%1.15%1.19%1.22%$12,583$16,904$14,689$12,6250.56%0.26%1.22%
199411.49%3.95%3.66%3.38%$12,769$17,572$15,228$13,0511.49%0.25%3.38%
19942-2.46%-7.88%-5.30%-2.71%$12,455$16,187$14,421$12,697-2.46%0.25%-2.71%
19943-2.62%-8.42%-6.40%-4.39%$12,129$14,825$13,498$12,140-2.62%0.28%-4.39%
19944-0.92%-3.35%-1.03%1.29%$12,017$14,328$13,359$12,296-0.92%0.29%1.29%
199450.18%-0.12%0.74%1.60%$12,038$14,311$13,458$12,4930.18%0.32%1.60%
19946-0.33%-1.70%-2.07%-2.45%$11,998$14,067$13,179$12,188-0.33%0.35%-2.45%
199471.70%4.41%3.85%3.28%$12,203$14,688$13,685$12,5871.70%0.35%3.28%
199480.30%0.18%2.13%4.08%$12,239$14,715$13,977$13,1000.30%0.36%4.08%
19949-1.79%-6.12%-4.28%-2.45%$12,021$13,814$13,378$12,780-1.79%0.38%-2.45%
199410-0.26%-1.57%0.34%2.25%$11,989$13,597$13,423$13,067-0.26%0.39%2.25%
199411-0.38%-1.99%-2.82%-3.65%$11,943$13,327$13,044$12,589-0.38%0.42%-3.65%
1994120.79%1.45%1.45%1.46%$12,038$13,519$13,234$12,7730.79%0.47%1.46%
199511.94%4.89%3.74%2.58%$12,272$14,181$13,729$13,1031.94%0.47%2.58%
199522.58%6.76%5.32%3.88%$12,589$15,140$14,459$13,6122.58%0.49%3.88%
199530.57%0.75%1.85%2.95%$12,661$15,253$14,727$14,0140.57%0.48%2.95%
199541.56%3.71%3.33%2.94%$12,858$15,819$15,217$14,4261.56%0.48%2.94%
199554.74%13.26%8.61%3.95%$13,467$17,917$16,527$14,9964.74%0.48%3.95%
199560.81%1.48%1.89%2.31%$13,576$18,182$16,840$15,3430.81%0.47%2.31%
19957-0.61%-2.73%0.29%3.30%$13,494$17,686$16,888$15,850-0.61%0.46%3.30%
199581.31%3.02%1.64%0.26%$13,671$18,220$17,165$15,8921.31%0.46%0.26%
199590.90%1.81%3.01%4.21%$13,794$18,550$17,682$16,5610.90%0.44%4.21%
1995101.76%4.41%2.03%-0.36%$14,037$19,368$18,040$16,5011.76%0.44%-0.36%
1995111.82%4.57%4.47%4.38%$14,293$20,253$18,847$17,2241.82%0.45%4.38%
1995121.44%3.43%2.68%1.93%$14,499$20,948$19,353$17,5561.44%0.45%1.93%
199610.69%1.24%2.31%3.39%$14,599$21,207$19,800$18,1510.69%0.42%3.39%
19962-2.38%-7.96%-3.52%0.92%$14,252$19,520$19,104$18,318-2.38%0.41%0.92%
19963-1.09%-4.10%-1.56%0.98%$14,096$18,720$18,806$18,497-1.09%0.41%0.98%
19964-1.03%-3.93%-1.24%1.46%$13,951$17,985$18,573$18,767-1.03%0.42%1.46%
19965-0.44%-2.16%0.19%2.54%$13,890$17,596$18,609$19,244-0.44%0.42%2.54%
199661.51%3.68%2.03%0.38%$14,099$18,243$18,987$19,3181.51%0.42%0.38%
199670.14%-0.42%-2.42%-4.42%$14,120$18,166$18,527$18,4640.14%0.42%-4.42%
19968-0.35%-1.91%0.09%2.10%$14,071$17,820$18,545$18,851-0.35%0.44%2.10%
199691.91%4.85%5.23%5.61%$14,339$18,684$19,514$19,9081.91%0.43%5.61%
1996102.48%6.61%4.68%2.76%$14,694$19,920$20,428$20,4562.48%0.41%2.76%
1996112.04%5.28%6.42%7.56%$14,994$20,971$21,740$22,0042.04%0.42%7.56%
199612-1.45%-5.18%-3.57%-1.96%$14,777$19,884$20,964$21,573-1.45%0.42%-1.96%
199710.06%-0.68%2.77%6.22%$14,785$19,748$21,544$22,9140.06%0.43%6.22%
199720.10%-0.55%0.12%0.79%$14,800$19,639$21,569$23,0950.10%0.42%0.79%
19973-1.30%-4.76%-4.45%-4.14%$14,607$18,703$20,609$22,140-1.30%0.43%-4.14%
199741.61%3.96%4.96%5.96%$14,842$19,444$21,631$23,4581.61%0.44%5.96%
199750.83%1.64%3.86%6.09%$14,966$19,762$22,466$24,8860.83%0.43%6.09%
199761.00%2.20%3.33%4.45%$15,116$20,198$23,214$25,9951.00%0.40%4.45%
199772.85%7.70%7.83%7.97%$15,547$21,753$25,033$28,0652.85%0.43%7.97%
19978-0.99%-3.84%-4.73%-5.61%$15,393$20,917$23,850$26,491-0.99%0.43%-5.61%
199791.47%3.55%4.51%5.47%$15,619$21,659$24,925$27,9401.47%0.43%5.47%
1997101.66%4.15%0.40%-3.35%$15,878$22,558$25,025$27,0041.66%0.41%-3.35%
1997110.31%0.09%2.34%4.60%$15,928$22,578$25,611$28,2460.31%0.43%4.60%
1997121.09%2.41%2.07%1.72%$16,101$23,123$26,141$28,7331.09%0.43%1.72%
199811.73%4.30%2.71%1.11%$16,379$24,118$26,848$29,0521.73%0.44%1.11%
19982-0.38%-2.00%2.59%7.19%$16,316$23,634$27,545$31,141-0.38%0.43%7.19%
199830.14%-0.46%2.32%5.10%$16,338$23,525$28,184$32,7310.14%0.44%5.10%
199840.49%0.63%0.82%1.01%$16,419$23,673$28,415$33,0600.49%0.42%1.01%
199850.98%2.11%0.18%-1.74%$16,579$24,173$28,467$32,4840.98%0.41%-1.74%
199860.95%2.04%3.06%4.07%$16,737$24,666$29,337$33,8070.95%0.41%4.07%
199870.22%-0.18%-0.61%-1.05%$16,774$24,623$29,157$33,4500.22%0.42%-1.05%
199883.20%8.75%-2.86%-14.47%$17,310$26,778$28,323$28,6093.20%0.42%-14.47%
199893.64%10.12%8.26%6.41%$17,940$29,487$30,663$30,4433.64%0.40%6.41%
199810-0.77%-3.02%2.57%8.16%$17,802$28,597$31,452$32,928-0.77%0.36%8.16%
199811-0.35%-1.75%2.16%6.07%$17,741$28,096$32,132$34,928-0.35%0.36%6.07%
1998120.38%0.41%3.11%5.81%$17,809$28,212$33,130$36,9550.38%0.37%5.81%
199910.65%1.23%2.72%4.20%$17,925$28,559$34,030$38,5090.65%0.37%4.20%
19992-3.07%-9.94%-6.53%-3.12%$17,375$25,721$31,808$37,306-3.07%0.37%-3.12%
199930.58%0.98%2.49%4.00%$17,477$25,973$32,600$38,7960.58%0.38%4.00%
199940.28%0.12%1.99%3.85%$17,526$26,005$33,247$40,2910.28%0.37%3.85%
19995-1.37%-4.85%-3.62%-2.39%$17,287$24,744$32,044$39,328-1.37%0.37%-2.39%
19996-0.26%-1.55%2.00%5.56%$17,241$24,360$32,686$41,513-0.26%0.38%5.56%
19997-0.45%-2.14%-2.63%-3.13%$17,163$23,840$31,825$40,214-0.45%0.39%-3.13%
19998-0.07%-0.99%-0.74%-0.50%$17,151$23,605$31,589$40,014-0.07%0.39%-0.50%
199991.08%2.43%-0.16%-2.74%$17,336$24,178$31,540$38,9181.08%0.41%-2.74%
1999100.12%-0.42%2.95%6.33%$17,358$24,076$32,471$41,3800.12%0.40%6.33%
199911-0.08%-1.07%0.48%2.02%$17,344$23,818$32,626$42,218-0.08%0.42%2.02%
199912-0.94%-3.68%1.15%5.98%$17,182$22,941$33,000$44,741-0.94%0.43%5.98%
20001-0.46%-2.25%-3.64%-5.03%$17,103$22,426$31,799$42,490-0.46%0.43%-5.03%
200021.00%2.07%0.08%-1.91%$17,274$22,891$31,826$41,6801.00%0.47%-1.91%
200032.04%5.16%7.46%9.76%$17,626$24,073$34,201$45,7482.04%0.47%9.76%
20004-0.26%-1.73%-2.37%-3.01%$17,581$23,657$33,391$44,373-0.26%0.48%-3.01%
200050.16%-0.48%-1.26%-2.04%$17,609$23,544$32,971$43,4680.16%0.48%-2.04%
200062.20%5.68%4.09%2.49%$17,996$24,882$34,318$44,5492.20%0.46%2.49%
200070.62%0.91%-0.29%-1.49%$18,109$25,109$34,219$43,8850.62%0.48%-1.49%
200081.62%3.83%5.01%6.19%$18,401$26,070$35,933$46,6021.62%0.51%6.19%
200090.89%1.65%-1.82%-5.29%$18,565$26,500$35,279$44,1370.89%0.52%-5.29%
2000100.90%1.69%0.63%-0.43%$18,733$26,947$35,501$43,9470.90%0.51%-0.43%
2000112.14%5.38%-1.25%-7.88%$19,134$28,398$35,058$40,4852.14%0.52%-7.88%
2000122.39%6.17%3.34%0.50%$19,592$30,150$36,228$40,6892.39%0.51%0.50%
200111.33%3.01%3.28%3.55%$19,852$31,058$37,416$42,1321.33%0.48%3.55%
200121.26%2.97%-3.09%-9.14%$20,102$31,979$36,261$38,2821.26%0.41%-9.14%
200130.50%0.72%-2.82%-6.36%$20,204$32,209$35,239$35,8490.50%0.40%-6.36%
20014-1.16%-4.18%1.80%7.77%$19,970$30,863$35,872$38,634-1.16%0.35%7.77%
200150.22%0.01%0.33%0.65%$20,013$30,865$35,989$38,8850.22%0.32%0.65%
200160.30%0.31%-1.07%-2.45%$20,074$30,960$35,605$37,9340.30%0.30%-2.45%
200172.73%7.58%3.29%-1.00%$20,621$33,307$36,777$37,5552.73%0.30%-1.00%
200181.11%2.75%-1.76%-6.27%$20,850$34,224$36,129$35,1991.11%0.29%-6.27%
200192.41%6.68%-0.71%-8.09%$21,353$36,509$35,874$32,3512.41%0.28%-8.09%
2001102.22%6.26%4.08%1.90%$21,826$38,793$37,336$32,9642.22%0.20%1.90%
200111-2.32%-7.31%0.17%7.65%$21,319$35,959$37,401$35,487-2.32%0.17%7.65%
200112-1.16%-3.78%-1.45%0.87%$21,071$34,601$36,858$35,797-1.16%0.15%0.87%
200210.45%1.07%-0.20%-1.47%$21,166$34,970$36,783$35,2700.45%0.14%-1.47%
200221.29%3.58%0.82%-1.94%$21,439$36,224$37,086$34,5871.29%0.14%-1.94%
20023-2.30%-7.19%-1.73%3.74%$20,946$33,618$36,446$35,882-2.30%0.15%3.74%
200242.62%7.56%0.74%-6.07%$21,495$36,159$36,717$33,7022.62%0.15%-6.07%
200251.04%2.83%1.04%-0.75%$21,718$37,181$37,097$33,4481.04%0.15%-0.75%
200261.72%4.87%-1.13%-7.13%$22,091$38,993$36,678$31,0611.72%0.14%-7.13%
200272.66%7.69%-0.02%-7.72%$22,678$41,990$36,672$28,6642.66%0.14%-7.72%
200282.42%6.98%3.82%0.65%$23,227$44,920$38,071$28,8512.42%0.14%0.65%
200293.03%8.80%-1.04%-10.87%$23,930$48,874$37,676$25,7133.03%0.14%-10.87%
200210-0.70%-2.36%3.21%8.78%$23,762$47,719$38,886$27,972-0.70%0.13%8.78%
200211-1.32%-4.20%0.84%5.88%$23,448$45,713$39,211$29,615-1.32%0.12%5.88%
2002122.58%7.54%0.82%-5.89%$24,052$49,159$39,533$27,8702.58%0.10%-5.89%
20031-0.49%-1.68%-2.15%-2.62%$23,933$48,331$38,681$27,138-0.49%0.10%-2.62%
200321.77%5.12%1.80%-1.52%$24,357$50,805$39,378$26,7261.77%0.10%-1.52%
20033-0.19%-0.75%0.10%0.96%$24,312$50,422$39,418$26,982-0.19%0.10%0.96%
200340.24%0.54%4.39%8.25%$24,371$50,692$41,150$29,2090.24%0.09%8.25%
200352.74%8.02%6.64%5.26%$25,037$54,759$43,884$30,7462.74%0.09%5.26%
20036-0.43%-1.48%-0.11%1.26%$24,929$53,950$43,836$31,134-0.43%0.09%1.26%
20037-3.87%-11.77%-5.01%1.74%$23,964$47,601$41,639$31,677-3.87%0.07%1.74%
200380.19%0.40%1.17%1.93%$24,008$47,792$42,125$32,2890.19%0.08%1.93%
200393.09%9.10%4.02%-1.07%$24,750$52,142$43,816$31,9433.09%0.08%-1.07%
200310-1.36%-4.22%0.71%5.64%$24,414$49,939$44,126$33,745-1.36%0.08%5.64%
2003110.01%-0.14%0.36%0.86%$24,415$49,871$44,287$34,0370.01%0.08%0.86%
2003120.85%2.39%3.80%5.22%$24,622$51,060$45,971$35,8130.85%0.08%5.22%
200410.81%2.29%2.05%1.82%$24,822$52,228$46,915$36,4660.81%0.08%1.82%
200421.23%3.53%2.45%1.38%$25,127$54,070$48,066$36,9681.23%0.08%1.38%
200431.06%3.04%0.76%-1.51%$25,394$55,713$48,432$36,4081.06%0.08%-1.51%
20044-3.25%-9.91%-5.74%-1.58%$24,569$50,192$45,651$35,834-3.25%0.08%-1.58%
20045-0.51%-1.69%-0.16%1.36%$24,444$49,346$45,576$36,321-0.51%0.08%1.36%
200460.54%1.45%1.69%1.93%$24,576$50,059$46,345$37,0220.54%0.09%1.93%
200470.91%2.51%-0.40%-3.31%$24,799$51,315$46,159$35,7960.91%0.11%-3.31%
200482.07%5.98%3.18%0.38%$25,314$54,386$47,629$35,9332.07%0.12%0.38%
200490.19%0.30%0.69%1.07%$25,361$54,551$47,955$36,3160.19%0.13%1.07%
2004100.91%2.45%1.98%1.51%$25,592$55,886$48,905$36,8670.91%0.14%1.51%
200411-1.48%-4.74%-0.35%4.05%$25,214$53,235$48,734$38,358-1.48%0.16%4.05%
2004120.97%2.56%2.98%3.39%$25,460$54,597$50,185$39,6600.97%0.18%3.39%
200510.56%1.31%-0.57%-2.45%$25,602$55,313$49,898$38,6860.56%0.18%-2.45%
20052-0.98%-3.36%-0.63%2.09%$25,351$53,456$49,583$39,496-0.98%0.21%2.09%
20053-0.51%-1.98%-1.87%-1.76%$25,222$52,396$48,655$38,801-0.51%0.23%-1.76%
200541.75%4.79%1.44%-1.91%$25,663$54,906$49,355$38,0591.75%0.23%-1.91%
200551.20%3.11%3.14%3.17%$25,970$56,614$50,904$39,2651.20%0.24%3.17%
200560.55%1.16%0.64%0.13%$26,113$57,271$51,232$39,3150.55%0.25%0.13%
20057-1.41%-4.73%-0.51%3.71%$25,746$54,563$50,970$40,772-1.41%0.26%3.71%
200581.65%4.38%1.73%-0.91%$26,169$56,951$51,853$40,4001.65%0.28%-0.91%
20059-1.14%-4.01%-1.61%0.79%$25,870$54,669$51,020$40,720-1.14%0.29%0.79%
200510-0.79%-2.96%-2.32%-1.68%$25,665$53,052$49,837$40,037-0.79%0.29%-1.68%
2005110.48%0.78%2.27%3.76%$25,788$53,465$50,969$41,5440.48%0.33%3.76%
2005121.01%2.40%1.21%0.02%$26,049$54,746$51,586$41,5531.01%0.32%0.02%
20061-0.34%-1.68%0.48%2.65%$25,962$53,828$51,835$42,653-0.34%0.33%2.65%
200620.09%-0.47%-0.11%0.26%$25,984$53,573$51,781$42,7650.09%0.37%0.26%
20063-0.99%-3.72%-1.24%1.23%$25,728$51,581$51,136$43,291-0.99%0.38%1.23%
20064-0.37%-1.87%-0.27%1.33%$25,632$50,614$50,998$43,868-0.37%0.38%1.33%
200650.02%-0.73%-1.81%-2.90%$25,637$50,244$50,073$42,5970.02%0.39%-2.90%
200660.10%-0.49%-0.18%0.13%$25,662$49,996$49,982$42,6520.10%0.40%0.13%
200671.35%3.24%1.92%0.61%$26,010$51,616$50,943$42,9111.35%0.41%0.61%
200681.62%4.03%3.20%2.36%$26,431$53,696$52,571$43,9241.62%0.42%2.36%
200690.94%1.99%2.28%2.56%$26,679$54,763$53,767$45,0500.94%0.41%2.56%
2006100.57%0.92%2.09%3.25%$26,833$55,268$54,889$46,5150.57%0.40%3.25%
2006111.12%2.53%2.21%1.89%$27,133$56,665$56,101$47,3941.12%0.42%1.89%
200612-0.98%-3.77%-1.19%1.39%$26,866$54,528$55,434$48,053-0.98%0.41%1.39%
20071-0.26%-1.59%-0.05%1.49%$26,798$53,662$55,407$48,770-0.26%0.41%1.49%
200721.86%4.74%1.38%-1.97%$27,296$56,203$56,174$47,8101.86%0.42%-1.97%
200730.03%-0.76%0.17%1.11%$27,303$55,774$56,271$48,3420.03%0.42%1.11%
200740.57%0.87%2.65%4.42%$27,457$56,260$57,760$50,4770.57%0.41%4.42%
20075-1.18%-4.36%-0.44%3.48%$27,132$53,808$57,505$52,232-1.18%0.40%3.48%
20076-0.18%-1.32%-1.50%-1.68%$27,082$53,097$56,643$51,357-0.18%0.39%-1.68%
200771.81%4.64%0.78%-3.08%$27,573$55,563$57,085$49,7731.81%0.39%-3.08%
200781.97%5.10%3.30%1.50%$28,116$58,396$58,968$50,5181.97%0.40%1.50%
200790.46%0.72%2.22%3.72%$28,245$58,818$60,279$52,4000.46%0.33%3.72%
2007100.84%1.89%1.73%1.58%$28,481$59,927$61,323$53,2270.84%0.31%1.58%
2007113.46%9.74%2.78%-4.19%$29,467$65,764$63,026$50,9983.46%0.32%-4.19%
2007120.27%0.31%-0.20%-0.70%$29,548$65,965$62,902$50,6410.27%0.26%-0.70%
200813.10%8.74%1.36%-6.02%$30,463$71,733$63,760$47,5953.10%0.28%-6.02%
200821.35%3.74%0.24%-3.25%$30,875$74,412$63,914$46,0481.35%0.16%-3.25%
200830.93%2.48%1.02%-0.44%$31,161$76,257$64,565$45,8450.93%0.15%-0.44%
20084-2.14%-6.64%-0.89%4.85%$30,495$71,196$63,990$48,070-2.14%0.11%4.85%
20085-1.32%-4.20%-1.45%1.29%$30,093$68,206$63,060$48,691-1.32%0.12%1.29%
200860.77%1.99%-3.22%-8.44%$30,323$69,565$61,027$44,5830.77%0.15%-8.44%
200870.77%2.01%0.59%-0.83%$30,558$70,965$61,387$44,2120.77%0.16%-0.83%
200880.98%2.65%2.05%1.45%$30,856$72,846$62,645$44,8510.98%0.14%1.45%
200890.51%1.25%-3.83%-8.91%$31,014$73,757$60,247$40,8570.51%0.14%-8.91%
200810-1.36%-4.22%-10.51%-16.79%$30,593$70,642$53,917$33,996-1.36%0.08%-16.79%
2008115.58%16.68%4.75%-7.17%$32,301$82,424$56,479$31,5575.58%0.04%-7.17%
2008123.66%10.99%6.03%1.07%$33,485$91,481$59,883$31,8943.66%0.00%1.07%
20091-2.39%-7.19%-7.80%-8.41%$32,684$84,903$55,211$29,211-2.39%0.01%-8.41%
20092-0.58%-1.78%-6.22%-10.66%$32,494$83,388$51,776$26,098-0.58%0.02%-10.66%
200933.20%9.57%9.17%8.76%$33,535$91,369$56,522$28,3843.20%0.02%8.76%
20094-1.76%-5.30%2.13%9.56%$32,947$86,526$57,726$31,097-1.76%0.02%9.56%
20095-1.10%-3.34%1.14%5.62%$32,583$83,640$58,384$32,844-1.10%0.01%5.62%
20096-0.37%-1.14%-0.46%0.22%$32,462$82,688$58,116$32,916-0.37%0.01%0.22%
200970.60%1.75%4.67%7.58%$32,655$84,139$60,828$35,4100.60%0.02%7.58%
200980.89%2.64%3.12%3.60%$32,946$86,362$62,726$36,6850.89%0.02%3.60%
200990.92%2.74%3.23%3.72%$33,250$88,727$64,751$38,0480.92%0.01%3.72%
2009100.25%0.73%-0.57%-1.87%$33,334$89,378$64,384$37,3380.25%0.01%-1.87%
2009111.96%5.86%5.92%5.98%$33,986$94,616$68,196$39,5711.96%0.00%5.98%
200912-3.13%-9.41%-3.73%1.95%$32,920$85,708$65,649$40,341-3.13%0.01%1.95%
201011.97%5.89%1.15%-3.60%$33,568$90,761$66,401$38,8871.97%0.01%-3.60%
201020.40%1.20%2.15%3.09%$33,704$91,849$67,826$40,0890.40%0.01%3.09%
20103-0.91%-2.75%1.63%6.01%$33,398$89,328$68,934$42,500-0.91%0.01%6.01%
201041.23%3.67%2.63%1.58%$33,810$92,610$70,745$43,1711.23%0.01%1.58%
201051.85%5.52%-1.24%-8.01%$34,435$97,720$69,865$39,7151.85%0.01%-8.01%
201062.07%6.17%0.47%-5.24%$35,146$103,751$70,190$37,6342.07%0.01%-5.24%
201071.07%3.19%5.09%7.00%$35,523$107,060$73,765$40,2671.07%0.02%7.00%
201082.00%5.98%0.72%-4.53%$36,234$113,457$74,298$38,4432.00%0.01%-4.53%
201090.36%1.07%5.00%8.92%$36,366$114,673$78,009$41,8720.36%0.01%8.92%
2010100.45%1.32%2.55%3.79%$36,529$116,182$80,000$43,4580.45%0.01%3.79%
201011-0.98%-2.97%-1.48%0.00%$36,170$112,737$78,814$43,458-0.98%0.01%0.00%
201012-2.29%-6.90%-0.12%6.67%$35,341$104,954$78,723$46,357-2.29%0.01%6.67%
201110.29%0.86%1.61%2.36%$35,445$105,852$79,987$47,4500.29%0.01%2.36%
20112-0.43%-1.32%1.05%3.42%$35,292$104,457$80,827$49,071-0.43%0.01%3.42%
20113-0.12%-0.38%-0.18%0.03%$35,250$104,056$80,682$49,083-0.12%0.01%0.03%
201141.60%4.80%3.87%2.95%$35,815$109,048$83,806$50,5301.60%0.01%2.95%
201151.77%5.29%2.07%-1.15%$36,447$114,816$85,543$49,9521.77%0.00%-1.15%
20116-0.16%-0.50%-1.09%-1.67%$36,387$114,238$84,612$49,116-0.16%0.01%-1.67%
201172.18%6.53%2.24%-2.05%$37,180$121,699$86,509$48,1112.18%0.00%-2.05%
201182.70%8.10%1.32%-5.45%$38,185$131,551$87,655$45,4912.70%0.01%-5.45%
201190.73%2.19%-2.43%-7.04%$38,465$134,434$85,529$42,2870.73%0.00%-7.04%
201110-0.42%-1.25%4.83%10.91%$38,305$132,749$89,660$46,902-0.42%0.00%10.91%
2011110.29%0.88%0.32%-0.23%$38,417$133,918$89,950$46,7920.29%0.00%-0.23%
2011121.00%3.01%2.01%1.02%$38,803$137,951$91,762$47,2691.00%0.00%1.02%
201210.81%2.42%3.44%4.46%$39,116$141,288$94,921$49,3790.81%0.00%4.46%
20122-0.65%-1.97%1.17%4.31%$38,860$138,499$96,028$51,506-0.65%0.01%4.31%
20123-0.79%-2.39%0.44%3.28%$38,552$135,185$96,454$53,196-0.79%0.01%3.28%
201241.50%4.49%1.93%-0.64%$39,131$141,259$98,313$52,8551.50%0.01%-0.64%
201251.24%3.71%-1.16%-6.02%$39,617$146,495$97,177$49,6751.24%0.01%-6.02%
20126-0.22%-0.68%1.72%4.11%$39,529$145,505$98,845$51,716-0.22%0.01%4.11%
201270.86%2.57%1.97%1.37%$39,870$149,248$100,794$52,4240.86%0.01%1.37%
201280.10%0.29%1.26%2.24%$39,911$149,678$102,067$53,5980.10%0.01%2.24%
20129-0.06%-0.20%1.19%2.58%$39,885$149,373$103,278$54,979-0.06%0.01%2.58%
201210-0.32%-0.96%-1.41%-1.86%$39,759$147,932$101,820$53,957-0.32%0.01%-1.86%
2012110.62%1.83%1.20%0.56%$40,005$150,644$103,038$54,2590.62%0.01%0.56%
201212-0.41%-1.24%-0.17%0.90%$39,841$148,772$102,863$54,749-0.41%0.01%0.90%
20131-0.74%-2.22%1.48%5.18%$39,547$145,464$104,381$57,583-0.74%0.00%5.18%
201320.71%2.12%1.73%1.34%$39,828$148,552$106,188$58,3530.71%0.01%1.34%
201330.27%0.80%2.27%3.74%$39,937$149,743$108,599$60,5350.27%0.01%3.74%
201340.71%2.12%2.02%1.91%$40,221$152,924$110,789$61,6900.71%0.01%1.91%
20135-1.84%-5.53%-1.60%2.33%$39,481$144,464$109,013$63,126-1.84%0.00%2.33%
20136-1.62%-4.87%-3.11%-1.35%$38,840$137,424$105,621$62,274-1.62%0.00%-1.35%
201370.13%0.37%2.72%5.07%$38,890$137,938$108,497$65,4320.13%0.00%5.07%
20138-1.02%-3.06%-2.99%-2.91%$38,494$133,715$105,257$63,527-1.02%0.00%-2.91%
201391.47%4.40%3.76%3.12%$39,058$139,595$109,214$65,5101.47%0.00%3.12%
2013100.49%1.45%3.02%4.59%$39,248$141,625$112,513$68,5150.49%0.00%4.59%
201311-0.14%-0.41%1.31%3.03%$39,195$141,038$113,983$70,590-0.14%0.00%3.03%
201312-1.49%-4.48%-0.98%2.51%$38,611$134,721$112,863$72,364-1.49%0.01%2.51%
201411.67%4.98%0.76%-3.47%$39,254$141,434$113,718$69,8541.67%0.01%-3.47%
201420.21%0.63%2.59%4.56%$39,336$142,321$116,667$73,0400.21%0.00%4.56%
20143-0.60%-1.81%-0.49%0.82%$39,101$139,751$116,094$73,641-0.60%0.00%0.82%
201440.49%1.47%1.10%0.72%$39,293$141,802$117,366$74,1750.49%0.00%0.72%
201451.03%3.08%2.71%2.33%$39,698$146,175$120,546$75,9071.03%0.00%2.33%
20146-0.13%-0.40%0.83%2.05%$39,646$145,594$121,544$77,464-0.13%0.00%2.05%
20147-0.39%-1.18%-1.28%-1.39%$39,491$143,880$119,985$76,389-0.39%0.00%-1.39%
201481.03%3.09%3.54%3.98%$39,899$148,330$124,229$79,4301.03%0.00%3.98%
20149-0.66%-1.97%-1.69%-1.41%$39,637$145,404$122,126$78,308-0.66%0.00%-1.41%
2014101.12%3.36%2.89%2.42%$40,082$150,295$125,660$80,2061.12%0.00%2.42%
2014110.84%2.53%2.61%2.68%$40,421$154,099$128,935$82,3570.84%0.00%2.68%
201412-0.35%-1.06%-0.66%-0.26%$40,278$152,463$128,080$82,140-0.35%0.00%-0.26%
201512.70%8.09%2.53%-3.02%$41,364$164,790$131,326$79,6612.70%0.00%-3.02%
20152-1.59%-4.76%0.49%5.74%$40,708$156,939$131,966$84,233-1.59%0.00%5.74%
201530.76%2.29%0.35%-1.59%$41,019$160,526$132,423$82,8910.76%0.00%-1.59%
20154-0.21%-0.64%0.15%0.95%$40,932$159,499$132,627$83,678-0.21%0.00%0.95%
20155-0.12%-0.37%0.45%1.27%$40,882$158,915$133,229$84,742-0.12%0.00%1.27%
20156-0.74%-2.22%-2.07%-1.93%$40,580$155,392$130,464$83,104-0.74%0.00%-1.93%
201570.85%2.54%2.31%2.08%$40,923$159,334$133,476$84,8330.85%0.00%2.08%
20158-0.03%-0.12%-3.08%-6.04%$40,909$159,146$129,365$79,708-0.03%0.01%-6.04%
201591.19%3.55%0.53%-2.49%$41,395$164,793$130,050$77,7231.19%0.01%-2.49%
201510-0.47%-1.41%3.50%8.42%$41,200$162,461$134,607$84,270-0.47%0.00%8.42%
201511-0.39%-1.18%-0.45%0.29%$41,039$160,537$134,002$84,511-0.39%0.01%0.29%
201512-0.38%-1.17%-1.38%-1.59%$40,884$158,658$132,151$83,165-0.38%0.02%-1.59%
201612.36%7.05%1.03%-4.98%$41,848$169,838$133,519$79,0262.36%0.01%-4.98%
201620.82%2.40%1.13%-0.15%$42,190$173,915$135,024$78,9110.82%0.03%-0.15%
201630.22%0.60%3.69%6.78%$42,283$174,964$140,006$84,2580.22%0.03%6.78%
20164-0.13%-0.42%-0.02%0.37%$42,228$174,225$139,972$84,573-0.13%0.02%0.37%
20165-0.21%-0.66%0.56%1.78%$42,141$173,077$140,758$86,081-0.21%0.02%1.78%
201662.05%6.08%3.17%0.25%$43,003$183,602$145,214$86,2962.05%0.03%0.25%
201670.04%0.09%1.88%3.68%$43,022$183,768$147,949$89,4680.04%0.02%3.68%
20168-0.72%-2.22%-1.04%0.13%$42,710$179,692$146,404$89,584-0.72%0.02%0.13%
201690.29%0.80%0.41%0.01%$42,833$181,138$146,999$89,5920.29%0.03%0.01%
201610-0.73%-2.25%-2.04%-1.83%$42,518$177,063$143,998$87,949-0.73%0.02%-1.83%
201611-2.65%-8.01%-2.15%3.70%$41,391$162,883$140,896$91,203-2.65%0.03%3.70%
201612-0.05%-0.24%0.86%1.96%$41,370$162,498$142,112$92,993-0.05%0.04%1.96%
201710.30%0.82%1.35%1.88%$41,495$163,838$144,036$94,7440.30%0.04%1.88%
201720.39%1.09%2.53%3.96%$41,658$165,631$147,678$98,4980.39%0.04%3.96%
201730.07%0.11%0.10%0.10%$41,686$165,812$147,832$98,5970.07%0.04%0.10%
201740.77%2.20%1.61%1.02%$42,008$169,457$150,210$99,6010.77%0.06%1.02%
201750.59%1.65%1.52%1.39%$42,258$172,248$152,494$100,9890.59%0.07%1.39%
20176-0.47%-1.58%-0.49%0.61%$42,057$169,521$151,753$101,606-0.47%0.08%0.61%
201770.42%1.08%1.56%2.04%$42,232$171,355$154,123$103,6820.42%0.08%2.04%
201780.86%2.41%1.35%0.29%$42,596$175,481$156,205$103,9860.86%0.09%0.29%
20179-0.83%-2.67%-0.30%2.06%$42,241$170,798$155,729$106,127-0.83%0.08%2.06%
201710-0.21%-0.79%0.76%2.32%$42,154$169,450$156,919$108,587-0.21%0.09%2.32%
201711-0.39%-1.35%0.85%3.06%$41,990$167,156$158,257$111,909-0.39%0.09%3.06%
2017120.07%-0.01%0.55%1.10%$42,019$167,144$159,124$113,1420.07%0.10%1.10%
20181-1.56%-4.89%0.41%5.71%$41,365$158,964$159,775$119,605-1.56%0.11%5.71%
20182-0.49%-1.70%-2.70%-3.69%$41,164$156,259$155,464$115,186-0.49%0.12%-3.69%
201830.75%1.97%-0.29%-2.56%$41,471$159,331$155,006$112,2430.75%0.14%-2.56%
20184-0.92%-3.03%-1.33%0.37%$41,091$154,500$152,945$112,662-0.92%0.14%0.37%
201850.76%1.97%2.18%2.39%$41,402$157,536$156,279$115,3600.76%0.15%2.39%
201860.11%-0.00%0.30%0.61%$41,446$157,535$156,751$116,0580.11%0.16%0.61%
20187-0.35%-1.37%1.17%3.71%$41,301$155,383$158,588$120,362-0.35%0.16%3.71%
201880.77%1.97%2.61%3.25%$41,618$158,445$162,724$124,2700.77%0.17%3.25%
20189-0.82%-2.79%-1.12%0.55%$41,279$154,022$160,904$124,959-0.82%0.17%0.55%
201810-0.06%-0.55%-3.70%-6.85%$41,252$153,168$154,948$116,400-0.06%0.18%-6.85%
2018110.96%2.51%2.27%2.03%$41,649$157,011$158,462$118,7590.96%0.19%2.03%
2018121.90%5.31%-1.87%-9.04%$42,440$165,342$155,503$108,0231.90%0.19%-9.04%
201910.58%1.35%4.68%8.00%$42,688$167,578$162,777$116,6670.58%0.20%8.00%
20192-0.26%-1.19%1.01%3.20%$42,575$165,587$164,415$120,401-0.26%0.20%3.20%
201931.78%4.93%3.43%1.94%$43,332$173,755$170,061$122,7331.78%0.20%1.94%
20194-0.05%-0.53%1.75%4.04%$43,312$172,828$173,044$127,693-0.05%0.20%4.04%
201952.05%5.75%-0.31%-6.36%$44,200$182,765$172,512$119,5662.05%0.20%-6.36%
201961.02%2.68%4.86%7.03%$44,651$187,663$180,890$127,9751.02%0.19%7.03%
20197-0.16%-0.83%0.30%1.43%$44,579$186,108$181,430$129,799-0.16%0.17%1.43%
201982.48%7.09%2.75%-1.59%$45,684$199,301$186,417$127,7342.48%0.17%-1.59%
20199-0.70%-2.41%-0.28%1.86%$45,366$194,488$185,899$130,109-0.70%0.16%1.86%
2019100.16%0.18%1.17%2.15%$45,440$194,847$188,074$132,9120.16%0.15%2.15%
201911-0.37%-1.35%1.14%3.62%$45,274$192,216$190,209$137,724-0.37%0.13%3.62%
201912-0.36%-1.35%0.83%3.01%$45,109$189,612$191,778$141,864-0.36%0.13%3.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value0.00%47.15%
Large-cap Growth0.00%52.66%
Mid-cap Value0.53%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.92%0.00%
Emerging Markets0.31%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries63.58%0.20%
Short-Term Treasuries34.66%0.00%
R Squared97.51%99.92%
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
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.350.20%100.00%$35,109100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/06/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.46%0.96%0.91%0.87%
Arithmetic Mean (annualized)5.61%12.09%11.53%10.98%
Geometric Mean (monthly)0.45%0.87%0.88%0.79%
Geometric Mean (annualized)5.49%11.01%11.06%9.87%
Volatility (monthly)1.36%4.05%2.69%4.08%
Volatility (annualized)4.72%14.04%9.31%14.13%
Downside Deviation (monthly)0.72%2.33%1.52%2.70%
Max. Drawdown-6.47%-24.16%-19.81%-50.97%
US Market Correlation-0.15-0.150.640.99
Beta(*)-0.04-0.130.441.00
Alpha (annualized)5.90%12.78%6.39%-0.00%
R21.53%1.60%44.03%100.00%
Sharpe Ratio0.640.640.910.57
Sortino Ratio1.071.071.520.83
Treynor Ratio (%)-72.51-71.5419.427.99
Calmar Ratio0.830.422.201.12
Active Return-4.38%1.14%1.18%N/A
Tracking Error15.44%21.14%10.57%N/A
Information Ratio-0.280.050.11N/A
Skewness0.080.09-0.18-0.65
Excess Kurtosis0.690.731.771.42
Historical Value-at-Risk (5%)-1.76%-5.54%-3.62%-6.86%
Analytical Value-at-Risk (5%)-1.78%-5.70%-3.50%-5.84%
Conditional Value-at-Risk (5%)-2.54%-7.96%-5.40%-9.36%
Upside Capture Ratio (%)10.5918.4258.28100.00
Downside Capture Ratio (%)-18.68-42.3030.30100.00
Safe Withdrawal Rate5.88%10.49%10.10%8.55%
Perpetual Withdrawal Rate2.99%7.68%7.71%6.75%
Positive Periods215 out of 338 (63.61%)198 out of 338 (58.58%)226 out of 338 (66.86%)225 out of 338 (66.57%)
Gain/Loss Ratio1.371.311.210.86
* Vanguard 500 Index Investor 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 3Vanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-0.99%-3.84%-4.73%-5.61%
Russian Debt DefaultJul 1998Oct 1998-0.77%-3.02%-3.46%-15.38%
Dotcom CrashMar 2000Oct 2002-4.03%-13.34%-5.82%-44.82%
Subprime CrisisNov 2007Mar 2009-3.43%-10.56%-19.81%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-6.47%
2Feb 1996May 19964 monthsOct 19965 months9 months-4.86%
3Oct 1998Jan 20001 year 4 monthsJun 20005 months1 year 9 months-4.67%
4Aug 2016Apr 20181 year 9 monthsMar 201911 months2 years 8 months-4.49%
5May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
6Jun 2003Jul 20032 monthsFeb 20047 months9 months-4.29%
7Nov 2001Mar 20025 monthsJun 20023 months8 months-4.03%
8Apr 2004May 20042 monthsOct 20045 months7 months-3.74%
9Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
10Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-24.16%
2Oct 1998Jan 20001 year 4 monthsDec 200011 months2 years 3 months-23.95%
3Feb 1996May 19964 monthsJul 19971 year 2 months1 year 6 months-17.03%
4Aug 2016Oct 20182 years 3 monthsJun 20198 months2 years 11 months-16.65%
5Nov 2001Mar 20025 monthsJun 20023 months8 months-13.34%
6Jun 2003Jul 20032 monthsMar 20048 months10 months-13.07%
7Jul 2005Jun 20061 yearAug 20071 year 2 months2 years 2 months-12.70%
8May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-12.56%
9Apr 2004May 20042 monthsOct 20045 months7 months-11.43%
10Apr 2008May 20082 monthsNov 20086 months8 months-10.56%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Feb 200911 monthsSep 20097 months1 year 6 months-19.81%
2Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-14.34%
3Feb 1999Sep 19998 monthsMar 20006 months1 year 2 months-7.32%
4Feb 1996Jul 19966 monthsOct 19963 months9 months-6.43%
5Jan 1992Mar 19923 monthsJun 19923 months6 months-6.03%
6Apr 2004May 20042 monthsOct 20045 months7 months-5.90%
7Feb 2001Mar 20012 monthsAug 20021 year 5 months1 year 7 months-5.82%
8Dec 1996Mar 19974 monthsMay 19972 months6 months-5.20%
9Jun 2003Jul 20032 monthsOct 20033 months5 months-5.12%
10May 2013Aug 20134 monthsOct 20132 months6 months-4.99%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFITXVanguard Interm-Term Treasury Inv5.49%4.72%20.44%-4.33%-6.47%0.641.07-0.15
CASHXCash2.50%0.59%5.99%0.03%0.00%N/AN/A0.01
VFINXVanguard 500 Index Investor9.87%14.13%37.45%-37.02%-50.97%0.570.830.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFITXCASHXVFINXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VFITXVanguard Interm-Term Treasury Inv-0.14-0.121.001.000.66-0.12
CASHXCash0.14-0.020.140.050.060.02
VFINXVanguard 500 Index Investor-0.120.02--0.12-0.130.661.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFITXVanguard Interm-Term Treasury Inv$35,109$236,915$109,045
CASHXCash-$57,303-$28,830
VFINXVanguard 500 Index Investor$101,563

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFITXVanguard Interm-Term Treasury Inv100.00%100.46%50.00%
CASHXCash-0.46%-0.36%
VFINXVanguard 500 Index Investor50.36%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.52%20.44%-4.33%11.97%54.95%-20.02%11.26%46.24%-9.91%11.17%37.45%-37.02%
3 years5.29%11.87%0.87%10.54%28.92%1.38%10.60%25.47%3.62%9.99%31.03%-14.60%
5 years5.38%8.36%1.07%10.76%20.40%2.36%10.65%20.05%5.43%9.55%28.49%-2.38%
7 years5.44%8.33%1.29%10.98%15.35%2.62%10.51%17.07%6.53%8.87%21.44%-1.64%
10 years5.61%7.85%2.40%11.51%14.98%6.10%10.11%14.26%6.10%7.39%13.40%-1.46%
15 years5.57%6.94%3.70%11.30%13.78%8.15%9.83%11.50%8.46%7.01%10.54%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods