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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (May 1992 - May 2020)

Portfolio Allocations

Total US Stock Market (~VTI)
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Total US Bond Market (~BND)
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Total US Stock Market (~VTI)$50,000$631,510 9.45% 14.88%35.79%-37.04%-50.89% 0.520.741.00
Total US Bond Market (~BND)$50,000$224,154 5.49% 3.56%18.18%-2.66%-5.01% 0.851.420.01
   
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 1992 are based on monthly returns from May to December
  • The annual results for 2020 are based on monthly returns from January to May
  • 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 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.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Total US Stock Market (~VTI)Total US Bond Market (~BND)Total US Stock Market (~VTI)Total US Bond Market (~BND)Total US Stock Market (~VTI)Total US Bond Market (~BND)
19921.72%8.78%7.76%$54,391$53,8802.27% [$1,135]5.71% [$2,854]8.78%7.76%
19932.75%10.62%9.68%$60,169$59,0972.70% [$1,469]7.93% [$4,275]10.62%9.68%
19942.67%-0.17%-2.66%$60,068$57,5272.59% [$1,559]6.39% [$3,778]-0.17%-2.66%
19952.54%35.79%18.18%$81,563$67,9863.28% [$1,973]7.31% [$4,206]35.79%18.18%
19963.32%20.96%3.58%$98,660$70,4212.68% [$2,188]6.51% [$4,423]20.96%3.58%
19971.70%30.99%9.44%$129,240$77,0713.36% [$3,314]6.76% [$4,758]30.99%9.44%
19981.61%23.26%8.58%$159,306$83,6852.02% [$2,607]6.76% [$5,211]23.26%8.58%
19992.68%23.81%-0.76%$197,242$83,0502.39% [$3,806]6.34% [$5,305]23.81%-0.76%
20003.39%-10.57%11.39%$176,384$92,5111.44% [$2,841]6.99% [$5,806]-10.57%11.39%
20011.55%-10.97%8.43%$157,042$100,3071.02% [$1,798]6.53% [$6,044]-10.97%8.43%
20022.38%-20.96%8.26%$124,125$108,5901.14% [$1,796]5.88% [$5,900]-20.96%8.26%
20031.88%31.35%3.97%$163,042$112,9051.64% [$2,034]4.67% [$5,072]31.35%3.97%
20043.26%12.51%4.24%$183,446$117,6891.72% [$2,808]4.62% [$5,221]12.51%4.24%
20053.42%5.98%2.40%$194,417$120,5081.65% [$3,035]4.49% [$5,279]5.98%2.40%
20062.54%15.51%4.27%$224,573$125,6531.76% [$3,417]4.93% [$5,939]15.51%4.27%
20074.08%5.49%6.92%$236,901$134,3491.78% [$3,991]5.13% [$6,449]5.49%6.92%
20080.09%-37.04%5.05%$149,158$141,1371.67% [$3,953]4.79% [$6,439]-37.04%5.05%
20092.72%28.70%5.93%$191,964$149,5132.38% [$3,556]4.22% [$5,955]28.70%5.93%
20101.50%17.09%6.42%$224,777$159,1141.94% [$3,733]4.02% [$6,015]17.09%6.42%
20112.96%0.96%7.56%$226,940$171,1401.79% [$4,029]3.72% [$5,919]0.96%7.56%
20121.74%16.25%4.05%$263,824$178,0672.32% [$5,262]3.23% [$5,533]16.25%4.05%
20131.50%33.35%-2.26%$351,809$174,0392.16% [$5,703]2.57% [$4,578]33.35%-2.26%
20140.76%12.43%5.76%$395,536$184,0601.84% [$6,457]2.81% [$4,882]12.43%5.76%
20150.73%0.29%0.30%$396,698$184,6091.85% [$7,312]2.46% [$4,519]0.29%0.30%
20162.07%12.53%2.50%$446,417$189,2202.03% [$8,059]2.46% [$4,544]12.53%2.50%
20172.11%21.05%3.46%$540,395$195,7701.93% [$8,628]2.52% [$4,774]21.05%3.46%
20181.91%-5.26%-0.13%$511,991$195,5211.80% [$9,721]2.66% [$5,201]-5.26%-0.13%
20192.29%30.65%8.61%$668,909$212,3472.16% [$11,071]2.82% [$5,515]30.65%8.61%
2020-0.23%-5.59%5.56%$631,510$224,1540.35% [$2,336]1.02% [$2,172]-5.59%5.56%
Annual returns for 1992 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)
Total US Stock Market (~VTI)Total US Bond Market (~BND)Total US Stock Market (~VTI)Total US Bond Market (~BND)
199250.69%1.84%$50,344$50,9220.69%1.84%
19926-2.05%1.31%$49,312$51,591-2.05%1.31%
199273.98%1.91%$51,277$52,5783.98%1.91%
19928-2.20%0.98%$50,147$53,094-2.20%0.98%
199291.27%1.26%$50,785$53,7641.27%1.26%
1992101.17%-1.22%$51,378$53,1081.17%-1.22%
1992114.23%-0.02%$53,551$53,0964.23%-0.02%
1992121.57%1.48%$54,391$53,8801.57%1.48%
199311.01%1.79%$54,942$54,8421.01%1.79%
199320.46%1.96%$55,193$55,9200.46%1.96%
199332.46%0.37%$56,553$56,1252.46%0.37%
19934-2.77%0.74%$54,988$56,543-2.77%0.74%
199353.03%0.14%$56,654$56,6223.03%0.14%
199360.55%1.80%$56,963$57,6400.55%1.80%
19937-0.27%0.61%$56,811$57,992-0.27%0.61%
199383.93%1.69%$59,045$58,9713.93%1.69%
199390.01%0.40%$59,048$59,2070.01%0.40%
1993101.64%0.30%$60,018$59,3871.64%0.30%
199311-1.62%-0.97%$59,048$58,813-1.62%-0.97%
1993121.90%0.48%$60,169$59,0971.90%0.48%
199413.08%1.39%$62,022$59,9173.08%1.39%
19942-2.24%-1.78%$60,632$58,848-2.24%-1.78%
19943-4.44%-2.30%$57,940$57,497-4.44%-2.30%
199440.89%-0.83%$58,457$57,0200.89%-0.83%
199450.97%0.00%$59,026$57,0230.97%0.00%
19946-2.73%-0.18%$57,416$56,917-2.73%-0.18%
199473.08%1.84%$59,185$57,9673.08%1.84%
199484.39%0.14%$61,785$58,0494.39%0.14%
19949-1.85%-1.44%$60,642$57,211-1.85%-1.44%
1994101.55%-0.07%$61,583$57,1721.55%-0.07%
199411-3.65%-0.18%$59,335$57,068-3.65%-0.18%
1994121.23%0.80%$60,068$57,5271.23%0.80%
199512.20%1.90%$61,388$58,6182.20%1.90%
199524.04%2.17%$63,871$59,8924.04%2.17%
199532.65%0.67%$65,566$60,2962.65%0.67%
199542.51%1.31%$67,212$61,0872.51%1.31%
199553.48%3.95%$69,548$63,5023.48%3.95%
199562.98%0.66%$71,619$63,9182.98%0.66%
199574.02%-0.25%$74,499$63,7554.02%-0.25%
199581.07%1.18%$75,299$64,5041.07%1.18%
199593.61%0.95%$78,020$65,1173.61%0.95%
199510-1.17%1.47%$77,110$66,071-1.17%1.47%
1995114.17%1.44%$80,323$67,0224.17%1.44%
1995121.54%1.44%$81,563$67,9861.54%1.44%
199612.66%0.63%$83,732$68,4142.66%0.63%
199621.62%-1.76%$85,088$67,2081.62%-1.76%
199631.14%-0.77%$86,062$66,6911.14%-0.77%
199642.41%-0.49%$88,135$66,3642.41%-0.49%
199652.66%-0.17%$90,480$66,2492.66%-0.17%
19966-0.84%1.27%$89,717$67,093-0.84%1.27%
19967-5.37%0.25%$84,900$67,260-5.37%0.25%
199683.09%-0.16%$87,528$67,1503.09%-0.16%
199695.38%1.70%$92,237$68,2935.38%1.70%
1996101.43%2.21%$93,555$69,8011.43%2.21%
1996116.81%1.76%$99,928$71,0286.81%1.76%
199612-1.27%-0.85%$98,660$70,421-1.27%-0.85%
199715.46%0.25%$104,046$70,5955.46%0.25%
19972-0.11%0.11%$103,935$70,676-0.11%0.11%
19973-4.45%-0.97%$99,305$69,987-4.45%-0.97%
199744.50%1.49%$103,771$71,0294.50%1.49%
199757.10%0.87%$111,139$71,6487.10%0.87%
199764.37%1.16%$115,995$72,4824.37%1.16%
199777.77%2.80%$125,008$74,5137.77%2.80%
19978-3.72%-0.85%$120,362$73,877-3.72%-0.85%
199795.77%1.45%$127,305$74,9475.77%1.45%
199710-3.40%1.45%$122,983$76,030-3.40%1.45%
1997113.33%0.33%$127,081$76,2803.33%0.33%
1997121.70%1.04%$129,240$77,0711.70%1.04%
199810.44%1.32%$129,810$78,0890.44%1.32%
199827.34%-0.10%$139,344$78,0147.34%-0.10%
199835.06%0.33%$146,397$78,2705.06%0.33%
199841.10%0.51%$148,002$78,6691.10%0.51%
19985-2.71%1.02%$143,989$79,472-2.71%1.02%
199863.54%0.81%$149,092$80,1133.54%0.81%
19987-2.27%0.23%$145,703$80,294-2.27%0.23%
19988-15.65%1.90%$122,894$81,819-15.65%1.90%
199896.68%1.96%$131,101$83,4236.68%1.96%
1998107.51%-0.55%$140,951$82,9617.51%-0.55%
1998116.17%0.49%$149,649$83,3656.17%0.49%
1998126.45%0.38%$159,306$83,6856.45%0.38%
199913.65%0.79%$165,116$84,3493.65%0.79%
19992-3.73%-1.77%$158,958$82,858-3.73%-1.77%
199933.93%0.56%$165,209$83,3233.93%0.56%
199944.68%0.40%$172,937$83,6574.68%0.40%
19995-2.00%-0.88%$169,483$82,920-2.00%-0.88%
199965.16%-0.50%$178,229$82,5095.16%-0.50%
19997-3.20%-0.39%$172,533$82,188-3.20%-0.39%
19998-0.92%-0.08%$170,947$82,124-0.92%-0.08%
19999-2.44%1.26%$166,780$83,157-2.44%1.26%
1999106.29%0.33%$177,262$83,4346.29%0.33%
1999113.42%0.02%$183,328$83,4513.42%0.02%
1999127.59%-0.48%$197,242$83,0507.59%-0.48%
20001-4.18%-0.17%$188,989$82,906-4.18%-0.17%
200022.54%1.18%$193,798$83,8812.54%1.18%
200035.69%1.40%$204,818$85,0585.69%1.40%
20004-5.21%-0.49%$194,151$84,642-5.21%-0.49%
20005-3.41%-0.16%$187,537$84,503-3.41%-0.16%
200064.42%2.15%$195,825$86,3194.42%2.15%
20007-1.95%0.88%$192,002$87,079-1.95%0.88%
200087.28%1.40%$205,981$88,2977.28%1.40%
20009-4.67%0.76%$196,360$88,968-4.67%0.76%
200010-2.04%0.57%$192,347$89,472-2.04%0.57%
200011-9.90%1.58%$173,298$90,888-9.90%1.58%
2000121.78%1.79%$176,384$92,5111.78%1.79%
200113.83%1.76%$183,136$94,1393.83%1.76%
20012-9.41%0.91%$165,895$94,994-9.41%0.91%
20013-6.72%0.54%$154,747$95,506-6.72%0.54%
200148.16%-0.46%$167,380$95,0628.16%-0.46%
200151.01%0.73%$169,073$95,7601.01%0.73%
20016-1.64%0.52%$166,308$96,262-1.64%0.52%
20017-1.71%2.23%$163,460$98,407-1.71%2.23%
20018-6.00%1.11%$153,645$99,499-6.00%1.11%
20019-9.00%0.89%$139,822$100,390-9.00%0.89%
2001102.52%1.86%$143,348$102,2582.52%1.86%
2001117.63%-1.34%$154,291$100,8907.63%-1.34%
2001121.78%-0.58%$157,042$100,3071.78%-0.58%
20021-1.24%0.69%$155,090$100,998-1.24%0.69%
20022-2.05%0.85%$151,917$101,859-2.05%0.85%
200234.38%-1.46%$158,567$100,3714.38%-1.46%
20024-4.90%1.69%$150,798$102,070-4.90%1.69%
20025-1.22%0.80%$148,963$102,886-1.22%0.80%
20026-7.06%0.29%$138,440$103,184-7.06%0.29%
20027-8.02%0.48%$127,338$103,683-8.02%0.48%
200280.53%1.66%$128,013$105,4050.53%1.66%
20029-10.07%1.53%$115,126$107,017-10.07%1.53%
2002107.65%-0.61%$123,930$106,3627.65%-0.61%
2002116.06%0.02%$131,441$106,3886.06%0.02%
200212-5.57%2.07%$124,125$108,590-5.57%2.07%
20031-2.54%0.05%$120,971$108,646-2.54%0.05%
20032-1.69%1.38%$118,930$110,141-1.69%1.38%
200331.09%-0.13%$120,221$110,0021.09%-0.13%
200348.21%0.87%$130,090$110,9568.21%0.87%
200356.11%1.82%$138,034$112,9796.11%1.82%
200361.43%-0.13%$140,013$112,8271.43%-0.13%
200372.36%-3.34%$143,312$109,0612.36%-3.34%
200382.39%0.61%$146,736$109,7272.39%0.61%
20039-1.15%2.71%$145,056$112,697-1.15%2.71%
2003106.12%-0.96%$153,926$111,6156.12%-0.96%
2003111.38%0.27%$156,050$111,9171.38%0.27%
2003124.48%0.88%$163,042$112,9054.48%0.88%
200412.23%0.86%$166,681$113,8802.23%0.86%
200421.43%1.03%$169,065$115,0541.43%1.03%
20043-1.07%0.80%$167,253$115,970-1.07%0.80%
20044-2.11%-2.61%$163,729$112,938-2.11%-2.61%
200451.35%-0.43%$165,931$112,4561.35%-0.43%
200462.09%0.56%$169,396$113,0852.09%0.56%
20047-3.80%0.96%$162,956$114,174-3.80%0.96%
200480.31%1.94%$163,461$116,3910.31%1.94%
200491.74%0.16%$166,305$116,5791.74%0.16%
2004101.68%0.85%$169,093$117,5671.68%0.85%
2004114.68%-0.81%$177,012$116,6204.68%-0.81%
2004123.63%0.92%$183,446$117,6893.63%0.92%
20051-2.68%0.65%$178,537$118,459-2.68%0.65%
200522.07%-0.63%$182,235$117,7172.07%-0.63%
20053-1.75%-0.49%$179,051$117,137-1.75%-0.49%
20054-2.32%1.35%$174,892$118,724-2.32%1.35%
200553.77%1.05%$181,483$119,9753.77%1.05%
200560.81%0.55%$182,956$120,6370.81%0.55%
200574.11%-0.99%$190,467$119,4404.11%-0.99%
20058-0.94%1.36%$188,670$121,059-0.94%1.36%
200590.86%-1.10%$190,286$119,7270.86%-1.10%
200510-1.86%-0.81%$186,739$118,758-1.86%-0.81%
2005113.97%0.48%$194,155$119,3263.97%0.48%
2005120.14%0.99%$194,417$120,5080.14%0.99%
200613.50%-0.11%$201,222$120,3793.50%-0.11%
200620.00%0.37%$201,222$120,8300.00%0.37%
200631.80%-1.00%$204,849$119,6241.80%-1.00%
200641.11%-0.21%$207,126$119,3751.11%-0.21%
20065-3.23%-0.09%$200,425$119,263-3.23%-0.09%
200660.17%0.10%$200,769$119,3870.17%0.10%
20067-0.13%1.35%$200,508$120,995-0.13%1.35%
200682.31%1.64%$205,145$122,9822.31%1.64%
200692.27%0.81%$209,795$123,9802.27%0.81%
2006103.53%0.72%$217,203$124,8703.53%0.72%
2006112.23%1.11%$222,055$126,2542.23%1.11%
2006121.13%-0.48%$224,573$125,6531.13%-0.48%
200711.88%-0.08%$228,789$125,5501.88%-0.08%
20072-1.61%1.50%$225,100$127,438-1.61%1.50%
200731.11%0.02%$227,594$127,4671.11%0.02%
200744.01%0.51%$236,722$128,1194.01%0.51%
200753.69%-0.78%$245,453$127,1243.69%-0.78%
20076-1.67%-0.39%$241,352$126,631-1.67%-0.39%
20077-3.41%0.84%$233,121$127,693-3.41%0.84%
200781.45%1.34%$236,507$129,4071.45%1.34%
200793.59%0.72%$245,004$130,3393.59%0.72%
2007101.85%0.93%$249,536$131,5461.85%0.93%
200711-4.49%1.91%$238,339$134,059-4.49%1.91%
200712-0.60%0.22%$236,901$134,349-0.60%0.22%
20081-6.08%1.69%$222,497$136,619-6.08%1.69%
20082-3.07%0.19%$215,663$136,877-3.07%0.19%
20083-0.58%0.30%$214,406$137,283-0.58%0.30%
200845.02%-0.30%$225,174$136,8705.02%-0.30%
200852.09%-0.79%$229,884$135,7932.09%-0.79%
20086-8.19%-0.01%$211,052$135,785-8.19%-0.01%
20087-0.77%0.00%$209,430$135,786-0.77%0.00%
200881.58%0.70%$212,742$136,7361.58%0.70%
20089-9.26%-1.10%$193,035$135,227-9.26%-1.10%
200810-17.63%-2.53%$159,006$131,800-17.63%-2.53%
200811-7.90%3.64%$146,440$136,599-7.90%3.64%
2008121.86%3.32%$149,158$141,1371.86%3.32%
20091-8.26%-0.70%$136,842$140,154-8.26%-0.70%
20092-10.45%-0.42%$122,542$139,561-10.45%-0.42%
200938.65%1.48%$133,148$141,6288.65%1.48%
2009410.61%0.36%$147,268$142,13310.61%0.36%
200955.38%0.85%$155,190$143,3405.38%0.85%
200960.34%0.54%$155,721$144,1120.34%0.54%
200977.82%1.43%$167,902$146,1707.82%1.43%
200983.63%1.01%$173,993$147,6533.63%1.01%
200994.23%1.19%$181,346$149,4074.23%1.19%
200910-2.57%0.41%$176,689$150,022-2.57%0.41%
2009115.63%1.36%$186,629$152,0625.63%1.36%
2009122.86%-1.68%$191,964$149,5132.86%-1.68%
20101-3.50%1.57%$185,250$151,862-3.50%1.57%
201023.36%0.20%$191,474$152,1603.36%0.20%
201036.27%-0.08%$203,482$152,0396.27%-0.08%
201042.17%1.06%$207,904$153,6512.17%1.06%
20105-8.00%0.87%$191,269$154,991-8.00%0.87%
20106-5.66%1.61%$180,439$157,487-5.66%1.61%
201076.99%0.94%$193,060$158,9616.99%0.94%
20108-4.75%1.48%$183,894$161,315-4.75%1.48%
201099.47%-0.01%$201,307$161,2969.47%-0.01%
2010103.94%0.36%$209,243$161,8783.94%0.36%
2010110.58%-0.57%$210,448$160,9600.58%-0.57%
2010126.81%-1.15%$224,777$159,1146.81%-1.15%
201112.19%0.08%$229,692$159,2462.19%0.08%
201123.60%0.16%$237,953$159,5063.60%0.16%
201130.45%-0.01%$239,022$159,4970.45%-0.01%
201142.99%1.32%$246,172$161,5972.99%1.32%
20115-1.16%1.30%$243,312$163,705-1.16%1.30%
20116-1.79%-0.39%$238,963$163,070-1.79%-0.39%
20117-2.28%1.58%$233,508$165,639-2.28%1.58%
20118-5.99%1.46%$219,510$168,063-5.99%1.46%
20119-7.75%0.89%$202,491$169,563-7.75%0.89%
20111011.51%0.16%$225,792$169,83411.51%0.16%
201111-0.29%-0.30%$225,142$169,317-0.29%-0.30%
2011120.80%1.08%$226,940$171,1400.80%1.08%
201215.08%0.87%$238,472$172,6345.08%0.87%
201224.26%-0.05%$248,626$172,5554.26%-0.05%
201233.07%-0.58%$256,249$171,5483.07%-0.58%
20124-0.65%1.14%$254,574$173,502-0.65%1.14%
20125-6.24%0.95%$238,699$175,148-6.24%0.95%
201263.91%0.04%$248,031$175,2133.91%0.04%
201271.03%1.39%$250,592$177,6411.03%1.39%
201282.48%0.03%$256,811$177,6942.48%0.03%
201292.58%0.11%$263,430$177,8862.58%0.11%
201210-1.76%0.11%$258,799$178,084-1.76%0.11%
2012110.74%0.19%$260,710$178,4260.74%0.19%
2012121.19%-0.20%$263,824$178,0671.19%-0.20%
201315.50%-0.71%$278,333$176,7985.50%-0.71%
201321.28%0.54%$281,886$177,7581.28%0.54%
201333.88%0.08%$292,831$177,9053.88%0.08%
201341.70%0.91%$297,812$179,5291.70%0.91%
201352.32%-1.71%$304,725$176,4612.32%-1.71%
20136-1.27%-1.65%$300,844$173,543-1.27%-1.65%
201375.49%0.20%$317,346$173,8855.49%0.20%
20138-2.82%-0.64%$308,386$172,771-2.82%-0.64%
201393.66%0.96%$319,687$174,4313.66%0.96%
2013104.22%0.78%$333,189$175,7864.22%0.78%
2013112.88%-0.35%$342,790$175,1722.88%-0.35%
2013122.63%-0.65%$351,809$174,0392.63%-0.65%
20141-3.11%1.54%$340,878$176,725-3.11%1.54%
201424.73%0.48%$357,010$177,5724.73%0.48%
201430.51%-0.15%$358,845$177,3070.51%-0.15%
201440.06%0.77%$359,072$178,6750.06%0.77%
201452.17%1.05%$366,868$180,5472.17%1.05%
201462.54%0.11%$376,178$180,7452.54%0.11%
20147-1.98%-0.26%$368,732$180,281-1.98%-0.26%
201484.18%1.13%$384,156$182,3194.18%1.13%
20149-2.14%-0.72%$375,948$181,000-2.14%-0.72%
2014102.74%0.94%$386,249$182,7032.74%0.94%
2014112.41%0.65%$395,558$183,8952.41%0.65%
201412-0.01%0.09%$395,536$184,060-0.01%0.09%
20151-2.77%2.31%$384,570$188,313-2.77%2.31%
201525.76%-1.08%$406,732$186,2765.76%-1.08%
20153-1.04%0.41%$402,512$187,035-1.04%0.41%
201540.42%-0.36%$404,207$186,3590.42%-0.36%
201551.39%-0.45%$409,829$185,5201.39%-0.45%
20156-1.71%-1.01%$402,821$183,648-1.71%-1.01%
201571.63%0.76%$409,394$185,0461.63%0.76%
20158-6.03%-0.36%$384,725$184,388-6.03%-0.36%
20159-2.93%0.76%$373,440$185,784-2.93%0.76%
2015107.84%0.01%$402,734$185,8097.84%0.01%
2015110.54%-0.27%$404,909$185,3120.54%-0.27%
201512-2.03%-0.38%$396,698$184,609-2.03%-0.38%
20161-5.67%1.43%$374,199$187,248-5.67%1.43%
20162-0.04%0.66%$374,043$188,484-0.04%0.66%
201637.01%0.94%$400,267$190,2637.01%0.94%
201640.63%0.38%$402,778$190,9820.63%0.38%
201651.79%0.01%$409,997$191,0091.79%0.01%
201660.23%1.94%$410,923$194,7100.23%1.94%
201673.95%0.64%$427,155$195,9583.95%0.64%
201680.26%-0.17%$428,258$195,6290.26%-0.17%
201690.15%-0.09%$428,901$195,4610.15%-0.09%
201610-2.21%-0.81%$419,402$193,884-2.21%-0.81%
2016114.44%-2.64%$438,005$188,7584.44%-2.64%
2016121.92%0.24%$446,417$189,2201.92%0.24%
201711.91%0.29%$454,938$189,7781.91%0.29%
201723.71%0.66%$471,820$191,0303.71%0.66%
201730.07%-0.07%$472,133$190,8930.07%-0.07%
201741.05%0.76%$477,091$192,3481.05%0.76%
201751.01%0.67%$481,889$193,6381.01%0.67%
201760.92%0.01%$486,328$193,6650.92%0.01%
201771.87%0.39%$495,404$194,4171.87%0.39%
201780.15%0.85%$496,127$196,0770.15%0.85%
201792.45%-0.54%$508,299$195,0212.45%-0.54%
2017102.16%0.11%$519,267$195,2402.16%0.11%
2017113.04%-0.17%$535,073$194,9043.04%-0.17%
2017120.99%0.44%$540,395$195,7700.99%0.44%
201815.31%-1.09%$569,075$193,6275.31%-1.09%
20182-3.72%-1.03%$547,930$191,639-3.72%-1.03%
20183-1.99%0.63%$537,006$192,838-1.99%0.63%
201840.38%-0.83%$539,039$191,2370.38%-0.83%
201852.79%0.61%$554,084$192,4012.79%0.61%
201860.68%0.03%$557,843$192,4560.68%0.03%
201873.34%0.03%$576,460$192,5223.34%0.03%
201883.44%0.52%$596,301$193,5153.44%0.52%
201890.16%-0.54%$597,253$192,4640.16%-0.54%
201810-7.40%-0.73%$553,045$191,059-7.40%-0.73%
2018112.06%0.53%$564,446$192,0672.06%0.53%
201812-9.29%1.80%$511,991$195,521-9.29%1.80%
201918.59%1.01%$555,949$197,4898.59%1.01%
201923.50%-0.06%$575,412$197,3673.50%-0.06%
201931.44%1.96%$583,674$201,2271.44%1.96%
201943.98%0.04%$606,885$201,3153.98%0.04%
20195-6.45%1.83%$567,758$204,999-6.45%1.83%
201966.97%1.15%$607,326$207,3636.97%1.15%
201971.44%0.23%$616,060$207,8321.44%0.23%
20198-2.03%2.78%$603,583$213,615-2.03%2.78%
201991.70%-0.60%$613,865$212,3411.70%-0.60%
2019102.10%0.21%$626,730$212,7932.10%0.21%
2019113.77%-0.06%$650,373$212,6583.77%-0.06%
2019122.85%-0.15%$668,909$212,3472.85%-0.15%
20201-0.08%2.11%$668,406$216,836-0.08%2.11%
20202-8.18%1.71%$613,741$220,538-8.18%1.71%
20203-13.78%-0.59%$529,183$219,246-13.78%-0.59%
2020413.25%1.69%$599,285$222,96013.25%1.69%
202055.38%0.54%$631,510$224,1545.38%0.54%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryTotal US Stock Market (~VTI)Total US Bond Market (~BND)
Large-cap Value37.25%0.00%
Large-cap Growth44.41%1.78%
Mid-cap Value4.43%0.00%
Mid-cap Growth8.20%0.00%
Small-cap Value2.21%0.00%
Small-cap Growth2.96%0.00%
Global ex-US Developed Markets0.12%0.00%
Emerging Markets0.42%1.54%
REITs0.00%0.57%
Corporate Bonds0.00%15.10%
Long-Term Treasuries0.00%2.74%
Intermediate-Term Treasuries0.00%27.95%
Short-Term Treasuries0.00%50.31%
R Squared99.88%90.96%
Style analysis is based on monthly returns from Apr 2005 to May 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 Total US Stock Market (~VTI)

Holdings Based Style Analysis for Total US Stock Market (~VTI)
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%19.23$581,510100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Total US Bond Market (~BND)

Holdings Based Style Analysis for Total US Bond Market (~BND)
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%0.15%6.21$174,154100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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
MetricTotal US Stock Market (~VTI)Total US Bond Market (~BND)
Arithmetic Mean (monthly)0.85%0.45%
Arithmetic Mean (annualized)10.68%5.55%
Geometric Mean (monthly)0.76%0.45%
Geometric Mean (annualized)9.45%5.49%
Volatility (monthly)4.29%1.03%
Volatility (annualized)14.88%3.56%
Downside Deviation (monthly)2.92%0.52%
Max. Drawdown-50.89%-5.01%
US Market Correlation1.000.01
Beta(*)1.000.00
Alpha (annualized)-0.00%5.40%
R2100.00%0.00%
Sharpe Ratio0.520.85
Sortino Ratio0.741.42
Treynor Ratio (%)7.762,483.13
Calmar Ratio0.451.95
Active Return-0.00%-3.97%
Tracking Error0.08%15.27%
Information Ratio-0.02-0.26
Skewness-0.76-0.17
Excess Kurtosis1.650.87
Historical Value-at-Risk (5%)-7.77%-1.11%
Analytical Value-at-Risk (5%)-6.21%-1.24%
Conditional Value-at-Risk (5%)-10.19%-1.90%
Upside Capture Ratio (%)100.0512.59
Downside Capture Ratio (%)100.07-12.41
Safe Withdrawal Rate8.78%5.87%
Perpetual Withdrawal Rate6.65%3.13%
Positive Periods223 out of 337 (66.17%)231 out of 337 (68.55%)
Gain/Loss Ratio0.841.42
* 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 PeriodStartEndTotal US Stock Market (~VTI)Total US Bond Market (~BND)
Asian CrisisJul 1997Jan 1998-3.72%-0.85%
Russian Debt DefaultJul 1998Oct 1998-17.57%-0.55%
Dotcom CrashMar 2000Oct 2002-44.11%-1.91%
Subprime CrisisNov 2007Mar 2009-50.89%-3.99%

Drawdowns for Total US Stock Market (~VTI)

Drawdowns for Total US Stock Market (~VTI) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 months-20.89%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
10May 2019May 20191 monthJun 20191 month2 months-6.45%
Worst 10 drawdowns included above

Drawdowns for Total US Bond Market (~BND)

Drawdowns for Total US Bond Market (~BND) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-5.01%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
5Jun 2003Jul 20032 monthsJan 20046 months8 months-3.47%
6Feb 1996May 19964 monthsOct 19965 months9 months-3.16%
7Apr 2004May 20042 monthsAug 20043 months5 months-3.03%
8Feb 1999Aug 19997 monthsMar 20007 months1 year 2 months-2.64%
9Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
10Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.45%14.88%35.79%-37.04%-50.89%0.520.741.00
VBMFXVanguard Total Bond Market Index Inv5.49%3.56%18.18%-2.66%-5.01%0.851.420.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXTotal US Stock Market (~VTI)Total US Bond Market (~BND)
VTSMXVanguard Total Stock Mkt Idx Inv1.000.011.000.01
VBMFXVanguard Total Bond Market Index Inv0.011.000.011.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameTotal US Stock Market (~VTI)Total US Bond Market (~BND)
VTSMXVanguard Total Stock Mkt Idx Inv$581,510
VBMFXVanguard Total Bond Market Index Inv$174,154

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameTotal US Stock Market (~VTI)Total US Bond Market (~BND)
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VBMFXVanguard Total Bond Market Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodTotal US Stock Market (~VTI)Total US Bond Market (~BND)
AverageHighLowAverageHighLow
1 year11.28%35.79%-37.04%5.30%18.18%-2.66%
3 years10.08%29.10%-14.31%5.21%10.24%1.21%
5 years9.33%26.84%-1.76%5.17%7.62%1.91%
7 years8.53%20.21%-0.73%5.16%8.27%1.92%
10 years7.41%13.30%-0.66%5.26%7.42%3.31%
15 years7.10%10.31%4.75%5.21%6.57%3.73%
Result statistics are based on annualized rolling returns over full calendar year periods