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 5
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Asset 6
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Asset 10
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Portfolio Analysis Results (Jan 1992 - Dec 2020)

Portfolio Allocations

48% US stock, 12% ex-US stock, 40% bonds
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 48.00%
FDIVX Fidelity Diversified International 12.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
30% US stock, 30% ex-US stock, 40% bonds
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 30.00%
FDIVX Fidelity Diversified International 30.00%
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
48% US stock, 12% ex-US stock, 40% bonds$10,000$104,212 8.42% 8.63%27.40%-21.17%-31.70% 0.711.050.97
30% US stock, 30% ex-US stock, 40% bonds$10,000$99,730 8.25% 8.75%23.90%-22.65%-33.09% 0.681.010.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
48% US stock, 12% ex-US stock, 40% bonds7.44%14.07%10.13%10.29%9.14%8.42%10.95%8.91%
30% US stock, 30% ex-US stock, 40% bonds7.36%14.19%9.34%9.39%8.07%8.25%10.61%8.73%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
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.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bondsVanguard 500 Index Investor (VFINX)Fidelity Diversified International (FDIVX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
19922.90%4.76%$10,4760.94%$10,0947.42%-13.81%7.14%
19932.75%13.02%$11,84017.84%$11,8959.89%36.67%9.68%
19942.67%-0.37%$11,797-0.38%$11,8501.18%1.09%-2.66%
19952.54%27.40%$15,03023.90%$14,68137.45%17.97%18.18%
19963.32%14.82%$17,25714.30%$16,78122.88%20.02%3.58%
19971.70%21.36%$20,94217.85%$19,77733.19%13.72%9.44%
19981.61%18.90%$24,89916.34%$23,00728.62%14.39%8.58%
19992.68%15.89%$28,85521.21%$27,88721.07%50.65%-0.76%
20003.39%-0.87%$28,605-0.85%$27,651-9.06%-8.96%11.39%
20011.55%-3.96%$27,472-4.13%$26,508-12.02%-12.99%8.43%
20022.38%-8.45%$25,151-6.15%$24,877-22.15%-9.37%8.26%
20031.88%20.36%$30,27022.85%$30,56328.50%42.38%3.97%
20043.26%9.21%$33,05810.81%$33,86810.74%19.66%4.24%
20053.42%5.32%$34,8167.56%$36,4284.77%17.23%2.40%
20062.54%11.92%$38,96513.15%$41,21915.64%22.52%4.27%
20074.08%7.28%$41,8009.19%$45,0095.39%16.03%6.92%
20080.09%-21.17%$32,950-22.65%$34,816-37.02%-45.21%5.05%
20092.72%18.90%$39,17719.85%$41,72826.49%31.78%5.93%
20101.50%10.89%$43,4429.94%$45,87514.91%9.65%6.42%
20112.96%2.31%$44,447-0.52%$45,6361.97%-13.78%7.56%
20121.74%11.54%$49,57812.19%$51,19915.82%19.41%4.05%
20131.50%17.56%$58,28516.31%$59,54732.18%25.19%-2.26%
20140.76%8.40%$63,1835.40%$62,76113.51%-3.20%5.76%
20150.73%1.09%$63,8741.43%$63,6591.25%3.12%0.30%
20162.07%6.22%$67,8503.43%$65,83911.82%-3.73%2.50%
20172.11%14.98%$78,01615.88%$76,29621.67%26.65%3.46%
20181.91%-4.05%$74,855-5.98%$71,732-4.52%-15.24%-0.13%
20192.29%22.04%$91,35621.75%$87,33531.33%29.70%8.61%
20201.36%14.07%$104,21214.19%$99,73018.25%18.91%7.61%
Monthly returns for the configured portfolios
YearMonth48% US stock, 12% ex-US stock, 40% bonds Return30% US stock, 30% ex-US stock, 40% bonds ReturnVanguard 500 Index Investor (VFINX)Fidelity Diversified International (FDIVX)Vanguard Total Bond Market Index Inv (VBMFX)
19921-1.70%-1.72%-1.88%-1.99%-1.39%
199220.63%0.07%1.24%-1.83%0.62%
19923-1.78%-2.42%-1.93%-5.58%-0.50%
199241.81%1.49%2.91%1.09%0.71%
199251.59%2.46%0.48%5.52%1.84%
19926-0.44%-0.55%-1.49%-2.15%1.31%
199272.29%0.95%4.04%-3.67%1.91%
19928-0.41%0.25%-2.07%1.74%0.98%
199290.83%0.26%1.17%-2.25%1.26%
199210-1.14%-2.43%0.33%-7.44%-1.22%
1992111.64%1.06%3.40%0.00%-0.02%
1992121.45%1.65%1.21%2.49%1.48%
199311.38%1.66%0.81%2.33%1.79%
199321.85%2.22%1.36%3.42%1.96%
199332.14%3.23%2.11%8.05%0.37%
19934-0.06%1.54%-2.42%6.12%0.74%
199351.63%1.63%2.65%2.50%0.14%
199360.44%-0.19%0.27%-2.81%1.80%
199370.46%1.13%-0.42%3.09%0.61%
199383.14%3.43%3.79%5.15%1.69%
19939-0.40%-0.53%-0.79%-1.34%0.40%
1993101.39%1.43%2.08%2.17%0.30%
199311-1.37%-1.91%-1.00%-3.71%-0.97%
1993121.79%3.02%1.22%7.45%0.48%
199413.08%3.82%3.38%7.50%1.39%
19942-2.26%-2.13%-2.71%-2.00%-1.78%
19943-3.41%-3.20%-4.39%-3.19%-2.30%
199440.52%0.65%1.29%1.94%-0.83%
199450.76%0.43%1.63%-0.17%0.00%
19946-1.43%-1.23%-2.47%-1.33%-0.18%
199472.73%2.77%3.28%3.45%1.84%
199482.33%2.06%4.08%2.52%0.14%
19949-2.11%-2.19%-2.45%-2.86%-1.44%
1994101.29%1.22%2.25%1.80%-0.07%
199411-2.55%-2.88%-3.65%-5.38%-0.18%
1994120.96%0.59%1.46%-0.54%0.80%
199511.45%0.15%2.58%-4.60%1.90%
199522.89%2.42%3.88%1.21%2.17%
199532.26%2.57%2.95%4.86%0.67%
199542.32%2.35%2.94%3.15%1.31%
199553.60%3.05%3.95%0.85%3.95%
199561.58%1.43%2.31%1.51%0.66%
199572.28%2.80%3.30%6.46%-0.25%
199580.39%0.07%0.25%-1.56%1.18%
199592.72%2.28%4.23%1.90%0.95%
1995100.21%0.06%-0.36%-1.32%1.47%
1995112.89%2.28%4.38%1.02%1.44%
1995121.94%2.23%1.93%3.66%1.44%
199612.24%2.17%3.39%2.99%0.63%
19962-0.24%-0.39%0.92%0.08%-1.76%
199630.42%0.61%0.98%1.99%-0.77%
199640.97%1.37%1.46%3.60%-0.49%
199651.32%1.04%2.54%1.01%-0.17%
199660.78%0.89%0.38%0.93%1.27%
19967-2.52%-2.29%-4.42%-3.19%0.25%
199681.18%1.10%2.10%1.69%-0.16%
199693.80%3.32%5.61%3.03%1.70%
1996102.29%1.89%2.76%0.63%2.21%
1996115.16%4.78%7.56%5.56%1.76%
199612-1.28%-0.85%-1.96%0.33%-0.85%
199713.16%2.17%6.22%0.68%0.25%
199720.63%0.79%0.79%1.69%0.11%
19973-2.41%-1.63%-4.14%0.13%-0.97%
199743.52%2.50%5.96%0.33%1.49%
199754.10%4.12%6.09%6.28%0.87%
199763.31%3.41%4.45%5.10%1.16%
199775.45%4.48%7.97%2.84%2.80%
19978-3.95%-3.98%-5.61%-5.93%-0.85%
199794.16%4.39%5.47%6.91%1.45%
199710-1.86%-2.17%-3.35%-5.21%1.45%
1997112.39%1.38%4.60%-0.84%0.33%
1997121.49%1.50%1.72%1.82%1.04%
199811.41%1.74%1.11%2.91%1.32%
199824.04%3.70%7.19%5.24%-0.10%
199833.21%3.13%5.10%4.64%0.33%
199841.07%1.43%1.01%2.95%0.51%
19985-0.48%-0.13%-1.74%0.11%1.02%
199862.24%1.35%4.07%-0.64%0.81%
19987-0.31%0.10%-1.05%1.12%0.23%
19988-8.38%-8.42%-14.47%-14.63%1.90%
199893.70%2.41%6.41%-0.93%1.96%
1998104.53%4.37%8.16%7.50%-0.55%
1998113.68%3.32%6.07%4.18%0.49%
1998123.43%2.88%5.81%2.91%0.38%
199912.48%1.95%4.20%1.24%0.79%
19992-2.56%-2.52%-3.12%-2.90%-1.77%
199932.69%2.77%4.00%4.48%0.56%
199942.62%2.79%3.85%4.78%0.40%
19995-1.96%-2.18%-2.39%-3.57%-0.88%
199963.24%3.25%5.56%5.66%-0.50%
19997-1.45%-0.45%-3.13%2.21%-0.39%
19998-0.08%0.30%-0.50%1.51%-0.08%
19999-0.69%0.12%-2.74%1.54%1.26%
1999103.76%3.40%6.33%4.25%0.33%
1999112.29%3.76%2.02%9.51%0.02%
1999124.83%6.58%5.98%14.23%-0.48%
20001-3.29%-3.58%-5.03%-6.67%-0.17%
200020.47%2.13%-1.91%7.61%1.18%
200035.05%3.30%9.75%-0.16%1.40%
20004-2.40%-3.02%-3.00%-6.50%-0.49%
20005-1.25%-1.20%-2.04%-1.83%-0.16%
200062.58%2.93%2.49%4.54%2.15%
20007-0.51%-0.49%-1.50%-1.42%0.88%
200083.76%3.10%6.19%2.43%1.40%
20009-2.69%-2.45%-5.29%-4.10%0.76%
200010-0.37%-0.92%-0.43%-3.73%0.57%
200011-3.29%-2.38%-7.89%-2.70%1.58%
2000121.49%2.11%0.51%4.32%1.79%
200112.41%1.78%3.55%0.05%1.76%
20012-4.70%-4.00%-9.14%-5.33%0.91%
20013-3.51%-3.60%-6.36%-6.83%0.54%
200143.90%3.50%7.77%5.42%-0.46%
200150.50%0.23%0.65%-0.93%0.73%
20016-1.13%-1.01%-2.45%-1.83%0.52%
200170.27%0.10%-1.00%-2.02%2.23%
20018-2.45%-1.50%-6.27%-0.72%1.11%
20019-4.19%-4.45%-8.09%-9.58%0.89%
2001102.04%2.28%1.90%3.44%1.86%
2001112.99%2.42%7.65%3.99%-1.34%
2001120.30%0.42%0.87%1.65%-0.58%
20021-0.83%-1.17%-1.47%-3.35%0.69%
20022-0.37%0.29%-1.94%1.79%0.85%
200231.65%1.73%3.74%4.16%-1.46%
20024-1.96%-0.45%-6.07%2.25%1.69%
200250.18%0.58%-0.75%1.50%0.80%
20026-3.51%-2.81%-7.13%-3.01%0.29%
20027-4.48%-5.02%-7.72%-10.06%0.48%
200281.13%1.14%0.65%0.79%1.66%
20029-4.93%-4.68%-10.87%-8.63%1.53%
2002103.60%2.87%8.78%3.68%-0.61%
2002112.85%2.50%5.88%3.49%0.02%
200212-1.70%-0.95%-5.89%-1.13%2.07%
20031-1.53%-1.50%-2.62%-2.45%0.05%
20032-0.41%-0.51%-1.52%-2.09%1.38%
200330.24%-0.16%0.96%-1.34%-0.13%
200345.22%5.22%8.25%8.35%0.87%
200354.16%4.54%5.26%7.42%1.82%
200360.92%1.21%1.26%2.87%-0.13%
20037-0.13%-0.03%1.74%2.27%-3.34%
200381.70%2.08%1.93%3.94%0.61%
200390.85%1.64%-1.07%3.06%2.71%
2003103.15%3.13%5.64%5.37%-0.96%
2003110.84%1.13%0.86%2.28%0.27%
2003123.91%4.27%5.22%6.88%0.88%
200411.42%1.40%1.82%1.70%0.86%
200421.49%1.87%1.38%3.47%1.03%
20043-0.24%0.29%-1.51%1.42%0.80%
20044-2.21%-2.53%-1.58%-3.34%-2.61%
200450.52%0.33%1.36%0.32%-0.43%
200461.30%1.18%1.93%1.24%0.56%
20047-1.71%-1.83%-3.31%-3.92%0.96%
200481.05%1.10%0.38%0.70%1.94%
200491.00%1.46%1.07%3.60%0.16%
2004101.42%1.69%1.51%2.96%0.85%
2004112.38%2.81%4.05%6.29%-0.81%
2004122.53%2.68%3.39%4.12%0.92%
20051-1.13%-1.00%-2.45%-1.75%0.65%
200521.25%1.65%2.09%4.34%-0.63%
20053-1.32%-1.43%-1.76%-2.32%-0.49%
20054-0.61%-0.63%-1.91%-2.02%1.35%
200552.00%1.55%3.17%0.64%1.05%
200560.50%0.81%0.13%1.84%0.55%
200571.78%1.77%3.71%3.61%-0.99%
200580.51%1.29%-0.91%3.38%1.36%
200590.37%0.88%0.79%3.47%-1.10%
200510-1.57%-1.92%-1.68%-3.51%-0.81%
2005112.43%2.40%3.76%3.54%0.48%
2005121.07%2.06%0.02%5.28%0.99%
200612.07%2.86%2.65%7.04%-0.11%
200620.08%-0.25%0.26%-1.52%0.37%
200630.70%1.22%1.23%4.02%-1.00%
200641.13%1.72%1.33%4.40%-0.21%
20065-2.07%-2.44%-2.90%-4.72%-0.09%
200660.01%-0.15%0.13%-0.73%0.10%
200670.89%0.87%0.61%0.54%1.35%
200682.11%2.15%2.36%2.57%1.64%
200691.55%1.06%2.56%-0.06%0.81%
2006102.30%2.36%3.25%3.50%0.72%
2006111.78%2.06%1.89%3.38%1.11%
2006120.84%1.08%1.39%2.62%-0.48%
200710.80%0.70%1.49%0.95%-0.08%
20072-0.44%-0.21%-1.97%-0.70%1.50%
200730.88%1.19%1.11%2.83%0.02%
200742.95%3.10%4.42%5.20%0.51%
200751.72%1.60%3.48%2.75%-0.78%
20076-1.01%-0.75%-1.68%-0.29%-0.39%
20077-1.29%-0.88%-3.08%-0.83%0.84%
200781.12%0.66%1.50%-0.96%1.34%
200792.92%3.50%3.72%6.77%0.72%
2007101.83%2.58%1.58%5.48%0.93%
200711-1.89%-1.97%-4.19%-4.38%1.91%
200712-0.41%-0.52%-0.70%-1.26%0.22%
20081-3.32%-3.91%-6.02%-9.27%1.69%
20082-1.33%-0.62%-3.25%0.91%0.19%
20083-0.22%-0.37%-0.44%-1.29%0.30%
200842.76%2.93%4.85%5.88%-0.30%
200850.51%0.63%1.29%1.99%-0.79%
20086-4.85%-4.68%-8.44%-7.45%-0.01%
20087-0.87%-1.46%-0.83%-4.25%0.00%
200880.49%-0.45%1.45%-4.17%0.70%
20089-6.01%-6.76%-8.91%-13.73%-1.10%
200810-10.85%-11.67%-16.79%-23.03%-2.53%
200811-1.80%-1.74%-7.17%-7.88%3.64%
2008122.82%3.73%1.07%8.07%3.32%
20091-5.54%-5.87%-8.41%-10.23%-0.70%
20092-6.12%-5.76%-10.66%-8.65%-0.42%
200935.38%5.18%8.76%7.54%1.48%
200945.72%5.89%9.56%10.60%0.36%
200954.57%5.92%5.62%13.20%0.85%
200960.07%-0.33%0.22%-1.89%0.54%
200975.31%5.56%7.58%8.84%1.43%
200982.58%2.53%3.60%3.31%1.01%
200992.90%3.10%3.72%4.69%1.19%
200910-1.06%-1.11%-1.87%-2.08%0.41%
2009113.97%3.56%5.98%3.80%1.36%
2009120.59%0.55%1.95%1.67%-1.68%
20101-1.73%-2.02%-3.60%-5.21%1.57%
201021.52%0.95%3.09%-0.15%0.20%
201033.56%3.59%6.01%6.30%-0.08%
201041.02%0.48%1.58%-1.46%1.06%
20105-4.80%-5.20%-8.01%-10.55%0.87%
20106-2.05%-1.48%-5.24%-2.13%1.61%
201074.63%5.00%7.00%9.42%0.94%
20108-1.93%-1.76%-4.53%-3.69%1.48%
201095.26%5.54%8.92%10.74%-0.01%
2010102.40%2.43%3.79%3.98%0.36%
201011-0.62%-1.21%0.00%-3.32%-0.57%
2010123.64%3.79%6.67%7.69%-1.15%
201111.29%1.06%2.36%1.06%0.08%
201122.11%2.09%3.42%3.28%0.16%
20113-0.13%-0.34%0.03%-1.14%-0.01%
201142.63%3.11%2.95%5.59%1.32%
20115-0.50%-0.93%-1.15%-3.50%1.30%
20116-1.18%-1.20%-1.67%-1.77%-0.39%
20117-0.44%-0.17%-2.05%-0.55%1.58%
20118-3.06%-3.63%-5.45%-8.69%1.46%
20119-4.30%-5.18%-7.04%-12.34%0.89%
2011106.15%6.07%10.91%10.89%0.16%
201111-0.54%-0.97%-0.23%-2.84%-0.30%
2011120.66%0.06%1.02%-2.67%1.08%
201213.24%3.56%4.46%6.23%0.87%
201222.73%2.93%4.31%5.35%-0.05%
201231.48%0.98%3.28%0.63%-0.58%
20124-0.04%-0.13%-0.64%-1.11%1.14%
20125-3.86%-4.56%-6.02%-9.78%0.95%
201262.65%2.87%4.11%5.42%0.04%
201271.35%1.32%1.37%1.18%1.39%
201281.43%1.49%2.24%2.60%0.03%
201291.73%1.88%2.58%3.39%0.11%
201210-0.87%-0.48%-1.86%0.21%0.11%
2012110.65%1.01%0.56%2.44%0.19%
2012120.67%0.94%0.90%2.33%-0.20%
201312.64%2.37%5.18%3.67%-0.71%
201320.68%0.15%1.34%-1.55%0.54%
201332.15%1.88%3.74%2.29%0.08%
201341.87%2.37%1.91%4.73%0.91%
201350.31%-0.46%2.33%-1.80%-1.71%
20136-1.58%-1.75%-1.35%-2.30%-1.65%
201373.35%3.43%5.07%5.67%0.20%
20138-2.08%-2.04%-2.91%-2.74%-0.64%
201392.83%3.57%3.12%7.19%0.96%
2013103.13%2.96%4.59%3.73%0.78%
2013111.71%1.48%3.03%1.87%-0.35%
2013121.44%1.43%2.51%2.52%-0.65%
20141-1.58%-1.76%-3.47%-4.47%1.54%
201422.99%3.16%4.56%5.53%0.48%
201430.14%-0.30%0.82%-1.61%-0.15%
201440.71%0.65%0.72%0.41%0.77%
201451.80%1.78%2.33%2.20%1.05%
201461.18%1.04%2.05%1.25%0.11%
20147-1.05%-1.22%-1.39%-2.34%-0.26%
201482.45%1.83%3.98%0.54%1.13%
20149-1.35%-1.67%-1.41%-3.27%-0.72%
2014101.59%1.21%2.42%0.25%0.94%
2014111.74%1.49%2.68%1.33%0.65%
201412-0.39%-0.79%-0.26%-2.64%0.09%
20151-0.42%0.29%-3.02%0.90%2.31%
201522.97%3.03%5.74%5.98%-1.08%
20153-0.67%-0.48%-1.59%-0.54%0.41%
201540.59%0.85%0.95%2.29%-0.36%
201550.64%0.71%1.27%1.63%-0.45%
20156-1.54%-1.50%-1.93%-1.71%-1.01%
201571.59%1.64%2.08%2.30%0.76%
20158-3.98%-4.23%-6.05%-7.21%-0.36%
20159-1.45%-1.86%-2.48%-4.67%0.76%
2015104.71%4.38%8.42%6.46%0.01%
2015110.00%-0.10%0.29%-0.25%-0.27%
201512-1.07%-1.01%-1.59%-1.26%-0.38%
20161-2.57%-2.81%-4.98%-6.30%1.43%
20162-0.05%-0.42%-0.15%-2.25%0.66%
201634.24%4.09%6.78%5.98%0.94%
201640.40%0.45%0.37%0.62%0.38%
201651.01%0.93%1.78%1.34%0.01%
201660.42%-0.35%0.25%-4.15%1.94%
201672.52%2.63%3.68%4.42%0.64%
201680.11%0.26%0.13%1.01%-0.17%
201690.08%0.25%0.01%1.00%-0.09%
201610-1.59%-1.83%-1.83%-3.25%-0.81%
2016110.38%-0.84%3.70%-3.15%-2.64%
2016121.26%1.19%1.96%1.67%0.24%
201711.38%1.58%1.88%3.00%0.29%
201722.38%1.97%3.96%1.69%0.66%
201730.39%0.93%0.10%3.07%-0.07%
201741.31%1.89%1.02%4.14%0.76%
201751.43%1.90%1.39%3.87%0.67%
201760.25%0.05%0.61%-0.44%0.01%
201771.58%1.83%2.04%3.33%0.39%
201780.46%0.38%0.29%-0.07%0.85%
201791.04%0.99%2.06%1.75%-0.54%
2017101.42%1.32%2.32%1.75%0.11%
2017111.56%1.12%3.06%0.72%-0.17%
2017120.87%0.89%1.10%1.17%0.44%
201812.95%2.90%5.71%5.42%-1.09%
20182-2.88%-3.19%-3.69%-5.38%-1.03%
20183-1.18%-0.98%-2.56%-1.48%0.63%
20184-0.06%0.01%0.37%0.76%-0.83%
201851.35%0.85%2.39%-0.38%0.61%
201860.15%-0.19%0.61%-1.32%0.03%
201872.08%1.78%3.71%2.10%0.03%
201881.73%1.01%3.25%-0.73%0.52%
201890.08%-0.02%0.55%0.05%-0.54%
201810-4.85%-5.29%-6.85%-9.59%-0.73%
2018111.27%1.00%2.03%0.50%0.53%
201812-4.43%-3.71%-9.04%-5.52%1.80%
201914.91%4.47%8.00%5.56%1.01%
201921.99%2.07%3.20%3.62%-0.06%
201931.92%1.87%1.94%1.70%1.96%
201942.49%2.42%4.04%3.69%0.04%
20195-3.05%-2.60%-6.36%-4.00%1.83%
201964.67%4.53%7.03%6.31%1.15%
201970.68%0.22%1.43%-0.99%0.23%
201980.14%0.31%-1.59%-0.73%2.78%
201990.92%0.92%1.86%1.88%-0.60%
2019101.61%1.88%2.15%3.65%0.21%
2019112.05%1.73%3.62%1.97%-0.06%
2019122.00%2.20%3.01%4.11%-0.15%
202010.68%0.47%-0.05%-1.21%2.11%
20202-3.97%-3.61%-8.24%-6.25%1.71%
20203-7.37%-7.47%-12.37%-12.90%-0.59%
202047.24%6.57%12.81%8.66%1.69%
202053.04%3.23%4.76%5.94%0.54%
202061.83%2.43%1.98%5.50%0.70%
202073.82%3.68%5.63%4.84%1.55%
202083.48%3.03%7.18%4.57%-1.02%
20209-1.92%-1.38%-3.81%-0.83%0.08%
202010-1.95%-2.11%-2.67%-3.55%-0.61%
2020116.83%6.70%10.94%10.17%1.11%
2020122.56%2.78%3.84%5.06%0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
Large-cap Value18.65%5.43%
Large-cap Growth30.72%25.61%
Mid-cap Value0.00%0.00%
Mid-cap Growth1.46%3.81%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets8.48%22.63%
Emerging Markets2.13%3.71%
Corporate Bonds6.46%7.13%
Long-Term Treasuries1.36%1.93%
Intermediate-Term Treasuries10.14%7.45%
Short-Term Treasuries20.60%22.30%
R Squared99.64%99.13%
Style analysis is based on monthly returns from April 2005 to December 2020 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 48% US stock, 12% ex-US stock, 40% bonds

Holdings Based Style Analysis for 48% US stock, 12% ex-US stock, 40% bonds
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend48.00%1.39%0.14%28.33$59,80077.47%
FDIVXFidelity Diversified InternationalForeign Large Growth12.00%0.04%1.05%27.61$12,85719.16%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.01%0.15%6.68$21,5553.38%
100.00%1.08%0.25%28.186.68$94,212100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 30% US stock, 30% ex-US stock, 40% bonds

Holdings Based Style Analysis for 30% US stock, 30% ex-US stock, 40% bonds
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend30.00%1.39%0.14%28.33$36,86845.41%
FDIVXFidelity Diversified InternationalForeign Large Growth30.00%0.04%1.05%27.61$31,36451.09%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.01%0.15%6.68$21,4993.50%
100.00%0.83%0.42%27.976.68$89,730100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/26/2021. (c) 2021 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
Metric48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
Arithmetic Mean (monthly)0.71%0.70%
Arithmetic Mean (annualized)8.82%8.67%
Geometric Mean (monthly)0.68%0.66%
Geometric Mean (annualized)8.42%8.25%
Volatility (monthly)2.49%2.53%
Volatility (annualized)8.63%8.75%
Downside Deviation (monthly)1.58%1.63%
Max. Drawdown-31.70%-33.09%
US Market Correlation0.970.93
Beta(*)0.560.55
Alpha (annualized)2.46%2.47%
R293.45%86.45%
Sharpe Ratio0.710.68
Sortino Ratio1.051.01
Treynor Ratio (%)10.9010.91
Calmar Ratio0.920.86
Active Return-1.67%-1.83%
Tracking Error6.94%7.51%
Information Ratio-0.24-0.24
Skewness-0.72-0.79
Excess Kurtosis1.631.95
Historical Value-at-Risk (5%)-3.92%-3.84%
Analytical Value-at-Risk (5%)-3.46%-3.54%
Conditional Value-at-Risk (5%)-5.43%-5.62%
Upside Capture Ratio (%)60.1758.69
Downside Capture Ratio (%)52.3450.92
Safe Withdrawal Rate7.71%7.67%
Perpetual Withdrawal Rate5.72%5.58%
Positive Periods235 out of 348 (67.53%)231 out of 348 (66.38%)
Gain/Loss Ratio0.991.02
* 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 PeriodStartEnd48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
Asian CrisisJul 1997Jan 1998-3.95%-3.98%
Russian Debt DefaultJul 1998Oct 1998-8.66%-8.42%
Dotcom CrashMar 2000Oct 2002-20.12%-17.01%
Subprime CrisisNov 2007Mar 2009-31.70%-33.09%

Drawdowns for 48% US stock, 12% ex-US stock, 40% bonds

Drawdowns for 48% US stock, 12% ex-US stock, 40% bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-31.70%
2Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-20.12%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-11.05%
4May 2011Sep 20115 monthsFeb 20125 months10 months-9.19%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-8.66%
6Oct 2018Dec 20183 monthsMar 20193 months6 months-7.91%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.75%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-5.37%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-4.08%
10Aug 1997Aug 19971 monthSep 19971 month2 months-3.95%
Worst 10 drawdowns included above

Drawdowns for 30% US stock, 30% ex-US stock, 40% bonds

Drawdowns for 30% US stock, 30% ex-US stock, 40% bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-33.09%
2Sep 2000Sep 20022 years 1 monthOct 20031 year 1 month3 years 2 months-17.01%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-10.81%
4May 2011Sep 20115 monthsFeb 20125 months10 months-10.71%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.63%
6Aug 1998Aug 19981 monthNov 19983 months4 months-8.42%
7Aug 2015Feb 20167 monthsJul 20165 months1 year-6.11%
8Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.40%
9Apr 2012May 20122 monthsAug 20123 months5 months-4.68%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.96%14.52%37.45%-37.02%-50.97%0.560.830.99
FDIVXFidelity Diversified International8.60%15.98%50.65%-45.21%-57.57%0.450.640.83
VBMFXVanguard Total Bond Market Index Inv5.36%3.55%18.18%-2.66%-5.01%0.821.370.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXFDIVXVBMFX48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
VFINXVanguard 500 Index Investor1.000.810.030.970.93
FDIVXFidelity Diversified International0.811.000.080.870.95
VBMFXVanguard Total Bond Market Index Inv0.030.081.000.210.22

Portfolio Return Decomposition

Portfolio return decomposition
TickerName48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
VFINXVanguard 500 Index Investor$59,800$36,868
FDIVXFidelity Diversified International$12,857$31,364
VBMFXVanguard Total Bond Market Index Inv$21,555$21,499

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
VFINXVanguard 500 Index Investor77.47%45.41%
FDIVXFidelity Diversified International19.16%51.09%
VBMFXVanguard Total Bond Market Index Inv3.38%3.50%

Annual Asset Returns

Rolling returns summary
Roll Period48% US stock, 12% ex-US stock, 40% bonds30% US stock, 30% ex-US stock, 40% bonds
AverageHighLowAverageHighLow
1 year8.72%33.78%-26.72%8.61%33.65%-28.15%
3 years8.33%21.90%-6.34%8.15%19.95%-6.16%
5 years8.11%19.59%-1.28%7.99%18.67%-0.44%
7 years7.76%15.57%1.06%7.75%15.62%2.34%
10 years7.19%11.00%1.63%7.32%11.07%3.05%
15 years7.02%10.06%5.01%7.26%10.86%5.36%