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 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 (Dec 2007 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 60.00%
VEDTX Vanguard Extended Duration Trs Idx Instl 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 40.00%
VUSUX Vanguard Long-Term Treasury Admiral 60.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 25.00%
VFIUX Vanguard Interm-Term Treasury Adm 75.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,262 10.00% 10.53%26.42%-6.15%-26.20% 0.901.370.61
Portfolio 2$10,000$28,803 8.53% 8.04%20.64%-3.97%-16.67% 0.981.580.47
Portfolio 3$10,000$20,380 5.67% 4.35%12.79%-0.40%-8.10% 1.141.950.71
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 1-3.04%13.87%16.25%12.91%11.70%12.91%10.00%
Portfolio 2-3.41%14.78%15.34%11.73%9.98%10.17%8.53%
Portfolio 3-0.04%6.67%8.16%6.52%5.72%5.67%5.67%
Trailing returns are for full months ending in October 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.
  • The annual results for 2007 are based on monthly returns from December to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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 bands based (5.00% absolute, 25.00% relative) 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 500 Index Investor (VFINX)Vanguard Extended Duration Trs Idx Instl (VEDTX)Vanguard Long-Term Treasury Admiral (VUSUX)Vanguard Interm-Term Treasury Adm (VFIUX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2007-0.07%-1.00%-0.56%0.04%$9,900$9,944$10,004-0.70%-1.44%-0.47%0.29%
20080.09%-6.15%-3.97%-0.14%$9,291$9,549$9,990-37.02%55.52%22.69%13.49%
20092.72%-3.08%2.34%6.65%$9,005$9,773$10,65426.49%-36.65%-11.93%-1.56%
20101.50%15.34%11.51%9.52%$10,386$10,898$11,66814.91%10.28%9.06%7.48%
20112.96%22.92%18.91%8.43%$12,767$12,958$12,6521.97%55.79%29.41%9.91%
20121.74%11.18%8.25%5.69%$14,194$14,028$13,37215.82%3.25%3.57%2.78%
20131.50%9.20%4.17%5.62%$15,500$14,614$14,12332.18%-20.89%-12.94%-2.99%
20140.76%26.37%20.64%6.69%$19,587$17,630$15,06813.51%45.66%25.40%4.42%
20150.73%-1.02%0.31%1.51%$19,387$17,685$15,2961.25%-4.43%-1.44%1.61%
20162.07%7.85%5.74%4.08%$20,908$18,701$15,92011.82%1.53%1.30%1.29%
20172.11%18.72%13.95%6.83%$24,821$21,310$17,00821.67%13.52%8.69%1.67%
20181.91%-4.11%-2.35%-0.40%$23,800$20,809$16,940-4.52%-3.49%-1.81%1.10%
20192.29%26.42%20.60%12.79%$30,089$25,094$19,10731.33%19.16%14.24%6.39%
20201.29%13.87%14.78%6.67%$34,262$28,803$20,3802.65%23.12%17.72%7.90%
Annual returns for 2007 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Extended Duration Trs Idx Instl (VEDTX)Vanguard Long-Term Treasury Admiral (VUSUX)Vanguard Interm-Term Treasury Adm (VFIUX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200712-1.00%-0.56%0.04%$9,900$9,944$10,004-0.70%-1.44%-0.47%0.29%
20081-3.34%-0.81%0.85%$9,570$9,864$10,089-6.02%0.71%2.66%3.11%
20082-2.81%-1.01%0.30%$9,301$9,765$10,119-3.25%-2.19%0.36%1.36%
200831.48%0.49%0.63%$9,439$9,812$10,183-0.44%4.17%1.03%0.94%
200841.28%0.62%-0.58%$9,560$9,873$10,1234.85%-3.49%-1.83%-2.12%
20085-1.15%-0.81%-0.70%$9,450$9,793$10,0521.29%-4.69%-2.12%-1.31%
20086-3.06%-2.19%-1.41%$9,160$9,579$9,910-8.44%5.21%1.81%0.78%
20087-1.26%-0.11%0.43%$9,045$9,568$9,953-0.83%-1.84%0.31%0.79%
200882.68%1.68%1.09%$9,287$9,729$10,0611.45%4.35%1.82%0.99%
20089-3.78%-3.03%-1.54%$8,935$9,434$9,906-8.91%2.96%0.29%0.52%
200810-10.39%-8.89%-4.47%$8,007$8,596$9,464-16.79%-0.80%-3.62%-1.35%
2008115.89%5.05%2.40%$8,478$9,030$9,691-7.17%22.32%12.08%5.59%
2008129.59%5.75%3.08%$9,291$9,549$9,9901.07%22.38%8.88%3.67%
20091-14.18%-8.44%-3.72%$7,974$8,743$9,618-8.41%-21.33%-8.46%-2.38%
20092-7.44%-4.69%-2.70%$7,380$8,333$9,358-10.66%-2.81%-1.00%-0.57%
200936.98%6.53%4.60%$7,895$8,877$9,7898.76%4.61%5.28%3.22%
200940.79%0.34%1.19%$7,958$8,907$9,9069.56%-11.29%-4.98%-1.74%
200951.40%0.64%0.80%$8,069$8,964$9,9855.62%-5.77%-2.67%-1.09%
200960.78%0.51%-0.19%$8,132$9,010$9,9660.22%1.63%0.71%-0.36%
200974.78%3.64%2.67%$8,521$9,338$10,2327.58%0.64%0.81%0.61%
200983.50%2.52%1.58%$8,819$9,573$10,3933.60%3.33%1.69%0.90%
200993.68%2.75%1.64%$9,144$9,836$10,5643.72%3.63%1.99%0.93%
200910-3.18%-1.63%-0.29%$8,853$9,676$10,533-1.87%-5.26%-1.44%0.26%
2009113.88%3.71%2.99%$9,197$10,035$10,8485.98%0.44%1.92%1.97%
200912-2.09%-2.61%-1.79%$9,005$9,773$10,6541.95%-9.08%-5.65%-3.12%
20101-0.84%0.04%0.45%$8,929$9,777$10,702-3.60%3.30%2.67%1.98%
201021.34%1.13%1.12%$9,049$9,887$10,8223.09%-1.11%-0.20%0.41%
201032.09%1.59%0.95%$9,238$10,045$10,9256.01%-3.63%-1.50%-0.90%
201043.09%2.26%1.34%$9,524$10,271$11,0711.58%5.52%2.77%1.24%
20105-1.54%-0.98%-0.92%$9,377$10,171$10,969-8.01%8.45%4.24%1.86%
201060.67%0.75%0.16%$9,440$10,247$10,987-5.24%8.40%4.68%2.08%
201073.18%2.51%2.55%$9,740$10,504$11,2677.00%-2.55%-0.16%1.08%
201082.19%2.57%0.32%$9,953$10,774$11,303-4.53%13.26%7.09%2.01%
201093.24%2.07%2.47%$10,276$10,997$11,5838.92%-4.63%-1.81%0.37%
201010-1.01%-0.55%1.33%$10,172$10,937$11,7373.79%-8.62%-3.28%0.46%
201011-0.73%-0.95%-0.71%$10,098$10,833$11,6530.00%-2.04%-1.59%-0.97%
2010122.86%0.60%0.13%$10,386$10,898$11,6686.67%-4.16%-3.57%-2.28%
20111-1.25%-0.33%0.89%$10,256$10,862$11,7722.36%-6.67%-2.37%0.30%
201123.41%2.21%0.70%$10,605$11,102$11,8543.42%3.40%1.25%-0.42%
201130.08%0.03%-0.07%$10,614$11,105$11,8460.03%0.18%0.03%-0.11%
201142.99%2.45%2.01%$10,932$11,377$12,0842.95%3.07%2.05%1.61%
201151.22%1.52%1.05%$11,065$11,551$12,211-1.15%5.09%3.30%1.78%
20116-2.61%-1.86%-0.53%$10,776$11,335$12,147-1.67%-4.05%-1.99%-0.15%
201171.13%1.75%1.16%$10,899$11,534$12,288-2.05%6.17%4.19%2.19%
201183.32%3.38%0.80%$11,261$11,924$12,386-5.45%16.12%8.69%2.71%
201195.11%3.29%-0.97%$11,836$12,316$12,266-7.04%23.34%10.17%0.74%
2011104.25%1.80%1.92%$12,340$12,537$12,50210.91%-5.74%-3.33%-0.41%
2011111.03%1.02%0.18%$12,467$12,665$12,525-0.23%3.27%1.82%0.30%
2011122.40%2.32%1.01%$12,767$12,958$12,6521.02%4.76%3.14%1.01%
201212.34%1.76%1.63%$13,066$13,186$12,8584.46%-1.15%0.09%0.81%
201221.42%0.41%0.49%$13,251$13,241$12,9214.31%-3.59%-2.10%-0.65%
20123-0.67%-0.89%0.18%$13,162$13,123$12,9453.28%-6.60%-3.76%-0.78%
201242.21%2.25%0.98%$13,453$13,418$13,072-0.64%6.93%4.38%1.51%
201251.95%2.09%-0.51%$13,715$13,699$13,006-6.02%14.23%7.80%1.25%
201261.23%0.67%0.77%$13,884$13,791$13,1064.11%-2.42%-1.44%-0.21%
201273.22%2.56%0.99%$14,331$14,144$13,2361.37%5.72%3.33%0.87%
201280.29%0.23%0.61%$14,372$14,176$13,3172.24%-2.25%-1.05%0.11%
20129-0.19%-0.24%0.58%$14,345$14,142$13,3942.58%-3.94%-2.09%-0.05%
201210-1.35%-1.01%-0.69%$14,152$13,999$13,302-1.86%-0.61%-0.43%-0.31%
2012111.00%1.04%0.61%$14,293$14,144$13,3830.56%1.63%1.36%0.63%
201212-0.70%-0.82%-0.09%$14,194$14,028$13,3720.90%-2.96%-1.98%-0.40%
201310.91%0.19%0.72%$14,324$14,054$13,4685.18%-5.36%-3.27%-0.73%
201321.38%1.30%0.88%$14,521$14,237$13,5861.34%1.45%1.27%0.72%
201332.10%1.63%1.17%$14,826$14,469$13,7453.74%-0.58%0.04%0.28%
201343.76%3.01%1.03%$15,384$14,905$13,8871.91%6.92%3.88%0.72%
20135-2.25%-2.51%-0.73%$15,038$14,531$13,7862.33%-9.68%-6.22%-1.83%
20136-2.39%-2.49%-1.54%$14,678$14,169$13,573-1.35%-4.31%-3.25%-1.61%
201371.55%0.91%1.49%$14,905$14,298$13,7755.07%-3.74%-1.92%0.14%
20138-2.40%-1.96%-1.55%$14,547$14,017$13,562-2.91%-1.57%-1.27%-1.01%
201391.88%1.82%1.94%$14,820$14,273$13,8243.12%-0.13%0.89%1.48%
2013103.65%2.71%1.65%$15,361$14,659$14,0534.59%2.10%1.33%0.49%
2013110.41%-0.11%0.79%$15,424$14,643$14,1643.03%-4.07%-2.48%-0.13%
2013120.49%-0.20%-0.29%$15,500$14,614$14,1232.51%-3.22%-2.36%-1.48%
201412.07%2.37%0.39%$15,821$14,960$14,178-3.47%10.39%6.27%1.67%
201422.91%2.10%1.26%$16,282$15,274$14,3574.56%0.75%0.61%0.22%
201431.15%0.71%-0.24%$16,469$15,382$14,3220.82%1.58%0.64%-0.59%
201441.76%1.40%0.56%$16,759$15,598$14,4020.72%3.17%1.83%0.50%
201453.07%2.58%1.36%$17,275$16,001$14,5982.33%4.05%2.74%1.04%
201461.04%0.69%0.43%$17,454$16,112$14,6612.05%-0.28%-0.15%-0.12%
20147-0.22%-0.17%-0.64%$17,416$16,084$14,567-1.39%1.33%0.60%-0.38%
201485.35%4.14%1.79%$18,347$16,750$14,8283.98%7.11%4.24%1.04%
20149-2.10%-1.76%-0.85%$17,961$16,455$14,703-1.41%-2.97%-1.98%-0.65%
2014103.14%2.54%1.47%$18,525$16,874$14,9182.42%4.04%2.62%1.13%
2014113.46%2.80%1.33%$19,166$17,346$15,1172.68%4.44%2.87%0.85%
2014122.20%1.64%-0.32%$19,587$17,630$15,068-0.26%5.23%2.83%-0.34%
201513.75%4.46%1.18%$20,321$18,417$15,247-3.02%13.89%8.97%2.71%
20152-0.69%-1.09%0.29%$20,181$18,215$15,2905.74%-8.90%-5.65%-1.58%
20153-0.34%-0.03%0.14%$20,113$18,210$15,311-1.59%1.52%1.13%0.77%
20154-1.62%-1.37%0.10%$19,787$17,960$15,3270.95%-5.31%-3.06%-0.20%
20155-0.74%-0.68%0.26%$19,641$17,838$15,3661.27%-3.82%-2.15%-0.11%
20156-3.51%-2.93%-1.05%$18,951$17,315$15,204-1.93%-6.05%-3.72%-0.73%
201573.81%3.27%1.18%$19,673$17,881$15,3842.08%6.71%4.22%0.85%
20158-4.02%-3.05%-1.64%$18,882$17,336$15,131-6.04%-0.77%-0.71%-0.03%
20159-0.58%0.04%0.25%$18,773$17,344$15,168-2.49%2.34%1.92%1.20%
2015104.95%3.22%1.76%$19,703$17,901$15,4358.42%-0.08%-0.47%-0.46%
201511-0.39%-0.33%-0.20%$19,626$17,843$15,4030.29%-1.46%-0.80%-0.38%
201512-1.22%-0.88%-0.70%$19,387$17,685$15,296-1.59%-0.62%-0.33%-0.37%
20161-0.12%0.80%0.42%$19,363$17,826$15,360-4.98%7.59%5.24%2.37%
201621.63%1.63%0.58%$19,678$18,117$15,449-0.15%4.11%2.87%0.83%
201633.77%2.77%1.86%$20,419$18,618$15,7376.78%-0.28%0.06%0.23%
20164-0.17%-0.20%0.01%$20,385$18,580$15,7380.37%-0.95%-0.62%-0.12%
201651.61%1.15%0.32%$20,713$18,795$15,7881.78%1.36%0.69%-0.20%
201664.07%3.90%1.57%$21,557$19,527$16,0370.25%9.68%6.58%2.05%
201673.51%2.69%1.00%$22,312$20,054$16,1983.68%3.28%2.02%0.05%
20168-0.55%-0.53%-0.49%$22,189$19,948$16,1190.13%-1.47%-0.99%-0.72%
20169-0.97%-0.76%0.22%$21,975$19,796$16,1540.01%-2.30%-1.31%0.29%
201610-3.68%-3.22%-1.03%$21,166$19,158$15,988-1.83%-6.27%-4.22%-0.73%
201611-2.29%-2.95%-0.94%$20,681$18,593$15,8383.70%-11.07%-7.85%-2.64%
2016121.10%0.58%0.52%$20,908$18,701$15,9201.96%-0.38%-0.34%-0.04%
201711.47%1.15%0.76%$21,216$18,916$16,0411.88%0.76%0.66%0.31%
201723.34%2.55%1.43%$21,924$19,399$16,2703.96%2.23%1.58%0.40%
20173-0.35%-0.30%0.08%$21,847$19,341$16,2830.10%-1.17%-0.58%0.07%
201741.33%1.30%0.85%$22,136$19,593$16,4221.02%1.89%1.51%0.78%
201751.90%1.64%0.84%$22,558$19,915$16,5601.39%2.83%1.82%0.60%
201761.05%0.63%-0.15%$22,795$20,041$16,5350.61%1.84%0.64%-0.47%
201770.83%0.50%0.91%$22,985$20,141$16,6862.04%-1.30%-0.58%0.43%
201781.89%2.03%0.73%$23,419$20,550$16,8070.29%4.79%3.28%0.87%
201790.15%-0.43%-0.11%$23,455$20,461$16,7892.06%-3.17%-2.18%-0.83%
2017101.49%0.93%0.44%$23,804$20,651$16,8632.32%-0.03%-0.09%-0.20%
2017112.42%1.68%0.51%$24,380$20,997$16,9493.06%1.45%0.64%-0.38%
2017121.81%1.49%0.35%$24,821$21,310$17,0081.10%2.89%1.79%0.08%
201811.75%0.55%0.40%$25,255$21,427$17,0765.71%-4.19%-3.40%-1.55%
20182-3.96%-3.20%-1.39%$24,255$20,740$16,839-3.69%-4.40%-2.88%-0.48%
20183-0.09%0.65%-0.16%$24,233$20,874$16,813-2.56%4.02%2.76%0.75%
20184-0.73%-1.10%-0.56%$24,056$20,644$16,7180.37%-2.45%-2.03%-0.91%
201852.42%2.03%1.21%$24,637$21,064$16,9202.39%2.45%1.80%0.77%
201860.79%0.64%0.25%$24,831$21,199$16,9620.61%1.07%0.67%0.11%
201871.51%0.68%0.77%$25,205$21,344$17,0933.71%-2.00%-1.27%-0.34%
201882.61%2.02%1.48%$25,864$21,776$17,3463.25%1.54%1.19%0.78%
20189-1.08%-1.39%-0.41%$25,583$21,473$17,2740.55%-3.90%-2.73%-0.81%
201810-6.08%-4.49%-2.03%$24,029$20,508$16,922-6.85%-4.68%-2.81%-0.06%
2018112.08%1.89%1.26%$24,530$20,895$17,1362.03%2.18%1.79%0.97%
201812-2.97%-0.41%-1.15%$23,800$20,809$16,940-9.04%7.66%5.51%1.91%
201914.92%3.29%2.49%$24,971$21,494$17,3638.00%0.35%0.50%0.59%
201921.25%0.45%0.68%$25,285$21,591$17,4803.20%-1.85%-1.30%-0.26%
201934.14%4.06%1.83%$26,330$22,468$17,8001.94%7.82%5.48%1.79%
201941.35%0.44%1.09%$26,687$22,568$17,9944.04%-2.90%-1.87%-0.04%
20195-0.48%1.38%-0.35%$26,559$22,879$17,932-6.36%9.51%6.66%2.06%
201964.53%3.27%2.64%$27,762$23,627$18,4057.03%0.89%1.02%1.03%
201970.99%0.69%0.29%$28,036$23,790$18,4591.43%0.31%0.23%-0.15%
201985.06%5.89%1.33%$29,455$25,191$18,705-1.59%15.42%10.69%2.49%
20199-0.42%-0.99%0.01%$29,331$24,942$18,7071.86%-3.44%-2.61%-0.69%
2019100.48%0.12%0.73%$29,473$24,972$18,8432.15%-1.86%-1.09%0.17%
2019112.01%1.14%0.77%$30,066$25,257$18,9883.62%-0.34%-0.39%-0.36%
2019120.08%-0.65%0.62%$30,089$25,094$19,1073.01%-4.36%-2.99%-0.36%
202013.87%4.32%1.53%$31,253$26,179$19,398-0.05%10.26%7.30%2.20%
20202-1.36%0.83%-0.92%$30,827$26,397$19,220-8.24%8.82%6.59%2.13%
20203-3.26%-0.70%-1.71%$29,822$26,213$18,891-12.37%8.11%5.68%2.28%
202048.20%6.22%3.47%$32,266$27,843$19,54712.81%1.27%1.82%0.47%
202051.96%1.06%1.58%$32,900$28,139$19,8544.76%-2.70%-1.67%0.43%
202061.49%1.10%0.76%$33,389$28,448$20,0061.98%0.61%0.41%0.31%
202075.83%4.82%1.91%$35,337$29,821$20,3895.63%6.21%4.18%0.49%
202082.21%0.61%1.91%$36,119$30,004$20,7777.18%-6.79%-4.70%-0.21%
20209-1.83%-1.05%-0.83%$35,458$29,689$20,605-3.81%1.14%0.79%0.16%
202010-3.37%-2.99%-1.09%$34,262$28,803$20,380-2.67%-4.37%-3.19%-0.59%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value20.14%14.92%10.73%
Large-cap Growth26.64%23.66%13.45%
Mid-cap Value0.00%0.00%0.58%
Mid-cap Growth0.00%0.86%0.00%
Small-cap Value3.12%0.00%0.48%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.58%
Emerging Markets0.00%1.21%0.54%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries50.11%45.90%0.00%
Intermediate-Term Treasuries0.00%13.45%47.40%
Short-Term Treasuries0.00%0.00%26.24%
R Squared96.10%98.49%98.43%
Style analysis is based on monthly returns from Dec 2007 to Oct 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend60.00%0.14%25.27$14,78556.30%
VEDTXVanguard Extended Duration Trs Idx InstlLong Government40.00%0.06%24.47$9,47843.70%
100.00%0.11%25.2724.47$24,262100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend40.00%0.14%25.27$9,24738.13%
VUSUXVanguard Long-Term Treasury AdmiralLong Government60.00%0.10%18.49$9,55661.87%
100.00%0.12%25.2718.49$18,803100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend25.00%0.14%25.27$5,13364.52%
VFIUXVanguard Interm-Term Treasury AdmIntermediate Government75.00%0.10%5.22$5,24835.48%
100.00%0.11%25.275.22$10,380100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/27/2020. (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)0.84%0.71%0.47%
Arithmetic Mean (annualized)10.62%8.88%5.77%
Geometric Mean (monthly)0.80%0.68%0.46%
Geometric Mean (annualized)10.00%8.53%5.67%
Volatility (monthly)3.04%2.32%1.26%
Volatility (annualized)10.53%8.04%4.35%
Downside Deviation (monthly)1.98%1.42%0.72%
Max. Drawdown-26.20%-16.67%-8.10%
US Market Correlation0.610.470.71
Beta(*)0.390.230.19
Alpha (annualized)6.34%6.29%3.80%
R237.28%22.50%49.98%
Sharpe Ratio0.900.981.14
Sortino Ratio1.371.581.95
Treynor Ratio (%)24.0933.8226.46
Calmar Ratio1.622.012.49
Active Return1.43%-0.04%-2.91%
Tracking Error12.90%14.33%13.55%
Information Ratio0.11-0.00-0.21
Skewness-1.04-0.70-0.42
Excess Kurtosis4.392.692.03
Historical Value-at-Risk (5%)-3.70%-3.04%-1.57%
Analytical Value-at-Risk (5%)-4.12%-3.12%-1.63%
Conditional Value-at-Risk (5%)-7.12%-5.14%-2.58%
Upside Capture Ratio (%)51.4634.1725.18
Downside Capture Ratio (%)27.958.8110.22
Safe Withdrawal Rate10.37%10.08%9.49%
Perpetual Withdrawal Rate7.53%6.28%3.76%
Positive Periods100 out of 155 (64.52%)102 out of 155 (65.81%)109 out of 155 (70.32%)
Gain/Loss Ratio1.151.181.10
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20101 year 7 months2 years 10 months-26.20%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-7.98%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.62%
4Aug 2016Nov 20164 monthsMay 20176 months10 months-7.31%
5May 2013Aug 20134 monthsNov 20133 months7 months-5.44%
6Sep 2020Oct 20202 months-5.14%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-4.75%
8Feb 2020Mar 20202 monthsApr 20201 month3 months-4.58%
9Jun 2011Jun 20111 monthAug 20112 months3 months-2.61%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-16.67%
2Aug 2016Nov 20164 monthsJul 20178 months1 year-7.28%
3Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-5.98%
4May 2013Aug 20134 monthsJan 20145 months9 months-5.96%
5Sep 2018Oct 20182 monthsMar 20195 months7 months-5.82%
6Sep 2020Oct 20202 months-4.00%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-3.65%
8Dec 2009Dec 20091 monthMar 20103 months4 months-2.61%
9Jun 2011Jun 20111 monthAug 20112 months3 months-1.86%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.76%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Feb 200911 monthsJul 20095 months1 year 4 months-8.10%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-2.61%
3Sep 2018Oct 20182 monthsJan 20193 months5 months-2.44%
4May 2013Aug 20134 monthsOct 20132 months6 months-2.34%
5Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.22%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-2.09%
7Sep 2020Oct 20202 months-1.91%
8Dec 2009Dec 20091 monthMar 20103 months4 months-1.79%
9Aug 2015Aug 20151 monthOct 20152 months3 months-1.64%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.05%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor8.46%15.75%32.18%-37.02%-48.83%0.560.801.00
VEDTXVanguard Extended Duration Trs Idx Instl9.14%21.55%55.79%-36.65%-37.63%0.480.87-0.34
VUSUXVanguard Long-Term Treasury Admiral7.22%12.23%29.41%-12.94%-16.56%0.581.06-0.32
VFIUXVanguard Interm-Term Treasury Adm4.07%4.31%13.49%-2.99%-4.32%0.811.49-0.27

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVEDTXVUSUXVFIUXPortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor1.00-0.33-0.31-0.260.620.490.72
VEDTXVanguard Extended Duration Trs Idx Instl-0.331.000.970.790.530.630.27
VUSUXVanguard Long-Term Treasury Admiral-0.310.971.000.860.520.680.34
VFIUXVanguard Interm-Term Treasury Adm-0.260.790.861.000.420.590.48

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$14,785$9,247$5,133
VEDTXVanguard Extended Duration Trs Idx Instl$9,478
VUSUXVanguard Long-Term Treasury Admiral$9,556
VFIUXVanguard Interm-Term Treasury Adm$5,248

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor56.30%38.13%64.52%
VEDTXVanguard Extended Duration Trs Idx Instl43.70%
VUSUXVanguard Long-Term Treasury Admiral61.87%
VFIUXVanguard Interm-Term Treasury Adm35.48%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.30%26.42%-6.15%8.34%20.64%-3.97%5.61%12.79%-0.40%
3 years10.84%16.38%1.61%8.67%12.80%3.10%5.64%8.19%3.46%
5 years11.06%16.82%7.47%8.71%12.52%7.12%5.51%7.18%3.70%
7 years11.33%13.25%9.31%8.86%10.05%7.00%5.54%6.28%4.26%
10 years10.77%12.82%9.63%8.64%9.89%7.92%5.63%6.01%5.42%
Result statistics are based on annualized rolling returns over full calendar year periods

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
109/30/2008Vanguard 500 Index Investor (VFINX): 53.79%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 46.21%
211/30/2008Vanguard 500 Index Investor (VFINX): 48.84%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 51.16%
305/31/2009Vanguard 500 Index Investor (VFINX): 65.61%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 34.39%
412/31/2009Vanguard 500 Index Investor (VFINX): 66.04%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 33.96%
506/30/2010Vanguard 500 Index Investor (VFINX): 53.40%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 46.60%
612/31/2010Vanguard 500 Index Investor (VFINX): 67.17%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 32.83%
708/31/2011Vanguard 500 Index Investor (VFINX): 54.31%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 45.69%
809/30/2011Vanguard 500 Index Investor (VFINX): 53.06%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 46.94%
902/29/2012Vanguard 500 Index Investor (VFINX): 65.28%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 34.72%
1006/30/2013Vanguard 500 Index Investor (VFINX): 65.49%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 34.51%
1112/31/2013Vanguard 500 Index Investor (VFINX): 66.03%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 33.97%
1212/31/2014Vanguard 500 Index Investor (VFINX): 53.89%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 46.11%
1310/31/2017Vanguard 500 Index Investor (VFINX): 65.27%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 34.73%
1403/31/2020Vanguard 500 Index Investor (VFINX): 50.29%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 49.71%
1508/31/2020Vanguard 500 Index Investor (VFINX): 67.59%
Vanguard Extended Duration Trs Idx Instl (VEDTX): 32.41%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
109/30/2008Vanguard 500 Index Investor (VFINX): 33.97%
Vanguard Long-Term Treasury Admiral (VUSUX): 66.03%
211/30/2008Vanguard 500 Index Investor (VFINX): 32.28%
Vanguard Long-Term Treasury Admiral (VUSUX): 67.72%
311/30/2009Vanguard 500 Index Investor (VFINX): 45.13%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.87%
404/30/2011Vanguard 500 Index Investor (VFINX): 45.05%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.95%
508/31/2011Vanguard 500 Index Investor (VFINX): 34.36%
Vanguard Long-Term Treasury Admiral (VUSUX): 65.64%
605/31/2013Vanguard 500 Index Investor (VFINX): 45.55%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.45%
712/31/2013Vanguard 500 Index Investor (VFINX): 45.59%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.41%
801/31/2015Vanguard 500 Index Investor (VFINX): 34.94%
Vanguard Long-Term Treasury Admiral (VUSUX): 65.06%
911/30/2016Vanguard 500 Index Investor (VFINX): 45.36%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.64%
1001/31/2018Vanguard 500 Index Investor (VFINX): 45.52%
Vanguard Long-Term Treasury Admiral (VUSUX): 54.48%
1103/31/2020Vanguard 500 Index Investor (VFINX): 31.17%
Vanguard Long-Term Treasury Admiral (VUSUX): 68.83%
1208/31/2020Vanguard 500 Index Investor (VFINX): 47.68%
Vanguard Long-Term Treasury Admiral (VUSUX): 52.32%

Portfolio 3 Rebalancing Events

Rebalancing dates for portfolio 3
#DateAllocation
110/31/2008Vanguard 500 Index Investor (VFINX): 17.61%
Vanguard Interm-Term Treasury Adm (VFIUX): 82.39%
202/28/2009Vanguard 500 Index Investor (VFINX): 19.41%
Vanguard Interm-Term Treasury Adm (VFIUX): 80.59%
307/31/2009Vanguard 500 Index Investor (VFINX): 31.03%
Vanguard Interm-Term Treasury Adm (VFIUX): 68.97%
404/30/2011Vanguard 500 Index Investor (VFINX): 30.21%
Vanguard Interm-Term Treasury Adm (VFIUX): 69.79%
512/31/2013Vanguard 500 Index Investor (VFINX): 30.63%
Vanguard Interm-Term Treasury Adm (VFIUX): 69.37%
607/31/2017Vanguard 500 Index Investor (VFINX): 30.32%
Vanguard Interm-Term Treasury Adm (VFIUX): 69.68%
708/31/2020Vanguard 500 Index Investor (VFINX): 30.12%
Vanguard Interm-Term Treasury Adm (VFIUX): 69.88%