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 Analysis Results (Mar 1993 - Oct 2020)

Portfolio Allocations

Classic 60/40
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
30 SCV / 70 ITT
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 30.00%
VFITX Vanguard Interm-Term Treasury Inv 70.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Classic 60/40$10,000$88,596 8.20% 9.00%28.74%-20.20%-30.72% 0.660.980.99
30 SCV / 70 ITT$10,000$67,205 7.13% 5.85%23.09%-3.84%-12.96% 0.811.270.73
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Classic 60/400.01%4.40%8.73%8.12%8.53%9.11%8.20%
30 SCV / 70 ITT0.46%-0.50%1.20%1.82%3.17%4.54%7.13%
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 1993 are based on monthly returns from March 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 annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)DFA US Small Cap Value I (DFSVX)Vanguard Interm-Term Treasury Inv (VFITX)
Classic 60/4030 SCV / 70 ITTClassic 60/4030 SCV / 70 ITT
19931.89%7.68%8.15%$10,768$10,8159.02%5.68%13.62%5.80%
19942.67%-1.16%-2.66%$10,643$10,527-0.17%-2.66%1.23%-4.33%
19952.54%28.74%23.09%$13,702$12,95835.79%18.18%29.28%20.44%
19963.32%14.01%8.04%$15,622$14,00020.96%3.58%22.33%1.92%
19971.70%22.37%15.50%$19,117$16,16930.99%9.44%30.75%8.96%
19981.61%17.39%5.23%$22,441$17,01623.26%8.58%-7.30%10.61%
19992.68%13.98%1.45%$25,580$17,26223.81%-0.76%13.05%-3.52%
20003.39%-1.79%12.52%$25,122$19,424-10.57%11.39%9.01%14.03%
20011.55%-3.21%12.08%$24,316$21,771-10.97%8.43%22.65%7.55%
20022.38%-9.27%7.12%$22,061$23,321-20.96%8.26%-9.27%14.15%
20031.88%20.40%19.48%$26,562$27,86431.35%3.97%59.40%2.37%
20043.26%9.20%10.00%$29,007$30,65012.51%4.24%25.39%3.40%
20053.42%4.55%3.96%$30,326$31,8635.98%2.40%7.79%2.32%
20062.54%11.01%8.66%$33,666$34,62315.51%4.27%21.55%3.14%
20074.08%6.06%3.76%$35,707$35,9255.49%6.92%-10.75%9.98%
20080.09%-20.20%-1.71%$28,493$35,312-37.04%5.05%-36.79%13.32%
20092.72%19.59%8.91%$34,076$38,45728.70%5.93%33.62%-1.69%
20101.50%12.82%14.42%$38,446$44,00217.09%6.42%30.90%7.35%
20112.96%3.60%4.59%$39,830$46,0230.96%7.56%-7.55%9.80%
20121.74%11.37%8.39%$44,359$49,88416.25%4.05%21.72%2.67%
20131.50%19.10%10.55%$52,834$55,14833.35%-2.26%42.38%-3.09%
20140.76%9.76%4.07%$57,991$57,39112.43%5.76%3.48%4.32%
20150.73%0.30%-1.29%$58,163$56,6500.29%0.30%-7.81%1.50%
20162.07%8.52%9.31%$63,117$61,92412.53%2.50%28.26%1.19%
20172.11%14.02%3.26%$71,964$63,94421.05%3.46%7.21%1.57%
20181.91%-3.20%-3.84%$69,658$61,491-5.26%-0.13%-15.13%1.00%
20192.29%21.83%9.84%$84,865$67,54130.65%8.61%18.12%6.29%
20201.29%4.40%-0.50%$88,596$67,2053.15%6.27%-19.89%7.81%
Annual returns for 1993 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)DFA US Small Cap Value I (DFSVX)Vanguard Interm-Term Treasury Inv (VFITX)
Classic 60/4030 SCV / 70 ITTClassic 60/4030 SCV / 70 ITT
199331.62%0.04%$10,162$10,0042.46%0.37%-0.80%0.40%
19934-1.38%0.02%$10,022$10,006-2.77%0.74%-2.12%0.93%
199351.86%0.67%$10,209$10,0743.03%0.14%2.68%-0.15%
199361.04%1.55%$10,315$10,2300.55%1.80%0.00%2.20%
199370.08%0.90%$10,324$10,321-0.27%0.61%3.01%0.02%
199383.03%2.49%$10,637$10,5783.93%1.69%3.21%2.18%
199390.16%1.48%$10,654$10,7350.01%0.40%3.49%0.62%
1993101.11%1.10%$10,772$10,8531.64%0.30%3.37%0.09%
199311-1.36%-1.35%$10,626$10,707-1.62%-0.97%-1.77%-1.16%
1993121.34%1.01%$10,768$10,8151.90%0.48%2.00%0.56%
199412.40%2.59%$11,027$11,0953.08%1.39%5.16%1.49%
19942-2.06%-1.81%$10,800$10,894-2.24%-1.78%-0.34%-2.46%
19943-3.59%-2.83%$10,412$10,585-4.44%-2.30%-3.31%-2.62%
199440.20%-0.42%$10,433$10,5410.89%-0.83%0.70%-0.92%
199450.59%0.20%$10,494$10,5620.97%0.00%0.26%0.18%
19946-1.72%-0.80%$10,314$10,477-2.73%-0.18%-1.83%-0.33%
199472.58%1.70%$10,580$10,6553.08%1.84%1.68%1.70%
199482.70%1.26%$10,865$10,7904.39%0.14%3.40%0.30%
19949-1.69%-1.33%$10,682$10,647-1.85%-1.44%-0.34%-1.79%
1994100.92%-0.64%$10,780$10,5791.55%-0.07%-1.44%-0.26%
199411-2.31%-1.35%$10,531$10,436-3.65%-0.18%-3.43%-0.38%
1994121.06%0.87%$10,643$10,5271.23%0.80%1.05%0.79%
199512.08%1.65%$10,864$10,7012.20%1.90%0.98%1.94%
199523.30%2.86%$11,222$11,0074.04%2.17%3.53%2.58%
199531.87%0.76%$11,432$11,0912.65%0.67%1.19%0.57%
199542.04%2.15%$11,666$11,3302.51%1.31%3.54%1.56%
199553.66%4.14%$12,093$11,7983.48%3.95%2.76%4.74%
199562.08%1.76%$12,344$12,0062.98%0.66%3.96%0.81%
199572.38%1.24%$12,638$12,1554.02%-0.25%5.40%-0.61%
199581.11%1.91%$12,778$12,3871.07%1.18%3.18%1.31%
199592.62%1.02%$13,113$12,5133.61%0.95%1.26%0.90%
199510-0.20%-0.40%$13,087$12,462-1.17%1.47%-4.91%1.76%
1995113.15%2.41%$13,499$12,7634.17%1.44%3.72%1.82%
1995121.51%1.53%$13,702$12,9581.54%1.44%1.73%1.44%
199611.85%0.38%$13,955$13,0072.66%0.63%-0.35%0.69%
199620.28%-1.02%$13,995$12,8751.62%-1.76%2.19%-2.38%
199630.40%0.09%$14,051$12,8871.14%-0.77%2.76%-1.09%
199641.30%0.93%$14,234$13,0072.41%-0.49%5.18%-1.03%
199651.60%0.99%$14,461$13,1352.66%-0.17%3.90%-0.44%
19966-0.06%0.29%$14,452$13,173-0.84%1.27%-2.09%1.51%
19967-3.27%-1.96%$13,980$12,915-5.37%0.25%-6.22%0.14%
199681.83%1.20%$14,236$13,0703.09%-0.16%4.56%-0.35%
199693.98%2.37%$14,803$13,3805.38%1.70%3.33%1.91%
1996101.72%1.91%$15,057$13,6361.43%2.21%0.74%2.48%
1996114.92%2.92%$15,798$14,0346.81%1.76%4.74%2.04%
199612-1.12%-0.24%$15,622$14,000-1.27%-0.85%2.19%-1.45%
199713.37%0.80%$16,149$14,1125.46%0.25%2.54%0.06%
19972-0.02%0.07%$16,145$14,122-0.11%0.11%0.00%0.10%
19973-3.10%-1.71%$15,644$13,880-4.45%-0.97%-2.65%-1.30%
199743.30%1.00%$16,161$14,0184.50%1.49%-0.41%1.61%
199754.67%3.40%$16,916$14,4957.10%0.87%9.46%0.83%
199763.16%2.66%$17,451$14,8814.37%1.16%6.25%1.00%
199775.94%3.87%$18,488$15,4577.77%2.80%5.98%2.85%
19978-2.69%0.51%$17,990$15,536-3.72%-0.85%3.52%-0.99%
199794.19%3.60%$18,745$16,0965.77%1.45%7.69%1.47%
199710-1.68%-0.20%$18,430$16,064-3.40%1.45%-3.55%1.66%
1997112.23%-0.09%$18,841$16,0503.33%0.33%-0.85%0.31%
1997121.46%0.75%$19,117$16,1691.70%1.04%0.09%1.09%
199810.79%0.84%$19,268$16,3050.44%1.32%-1.23%1.73%
199824.35%1.95%$20,107$16,6227.34%-0.10%7.54%-0.38%
199833.24%1.35%$20,758$16,8475.06%0.33%4.07%0.14%
199840.88%0.95%$20,941$17,0071.10%0.51%1.93%0.49%
19985-1.32%-0.57%$20,664$16,910-2.71%1.02%-3.83%0.98%
199862.50%0.05%$21,181$16,9183.54%0.81%-1.97%0.95%
19987-1.34%-2.09%$20,898$16,564-2.27%0.23%-7.37%0.22%
19988-8.96%-3.03%$19,025$16,062-15.65%1.90%-18.43%3.20%
199894.67%3.45%$19,912$16,6156.68%1.96%2.84%3.64%
1998104.16%0.44%$20,741$16,6887.51%-0.55%4.26%-0.77%
1998113.91%1.06%$21,553$16,8666.17%0.49%5.30%-0.35%
1998124.12%0.89%$22,441$17,0166.45%0.38%2.32%0.38%
199912.51%0.93%$23,004$17,1733.65%0.79%1.56%0.65%
19992-2.96%-4.63%$22,323$16,379-3.73%-1.77%-8.24%-3.07%
199932.59%-0.14%$22,902$16,3553.93%0.56%-1.92%0.58%
199943.01%3.25%$23,591$16,8874.68%0.40%10.68%0.28%
19995-1.57%0.48%$23,220$16,968-2.00%-0.88%4.69%-1.37%
199962.99%1.77%$23,915$17,2685.16%-0.50%6.11%-0.26%
19997-2.16%-0.45%$23,399$17,190-3.20%-0.39%-0.45%-0.45%
19998-0.60%-0.96%$23,258$17,026-0.92%-0.08%-2.74%-0.07%
19999-1.04%-0.14%$23,016$17,002-2.44%1.26%-2.67%1.08%
1999103.98%-1.00%$23,932$16,8316.29%0.33%-3.42%0.12%
1999112.15%1.35%$24,447$17,0583.42%0.02%4.53%-0.08%
1999124.63%1.20%$25,580$17,2627.59%-0.48%5.73%-0.94%
20001-2.58%-0.55%$24,920$17,168-4.18%-0.17%-0.75%-0.46%
200021.98%3.48%$25,414$17,7652.54%1.18%9.28%1.00%
200033.94%1.49%$26,417$18,0295.69%1.40%0.30%2.04%
20004-3.34%-1.27%$25,535$17,800-5.21%-0.49%-3.51%-0.26%
20005-2.08%-1.16%$25,004$17,593-3.41%-0.16%-4.16%0.16%
200063.47%3.02%$25,872$18,1254.42%2.15%4.98%2.20%
20007-0.79%0.40%$25,668$18,199-1.95%0.88%-0.10%0.62%
200084.82%3.35%$26,906$18,8097.28%1.40%7.40%1.62%
20009-2.47%0.04%$26,240$18,816-4.67%0.76%-1.85%0.89%
200010-0.95%-0.53%$25,990$18,716-2.04%0.57%-3.78%0.90%
200011-5.03%-0.10%$24,682$18,697-9.90%1.58%-5.44%2.14%
2000121.78%3.89%$25,122$19,4241.78%1.79%7.73%2.39%
200113.00%4.02%$25,876$20,2063.83%1.76%10.31%1.33%
20012-5.33%0.25%$24,496$20,256-9.41%0.91%-1.92%1.26%
20013-3.66%-0.42%$23,599$20,171-6.72%0.54%-2.46%0.50%
200144.37%1.06%$24,630$20,3858.16%-0.46%6.12%-1.16%
200150.89%2.12%$24,850$20,8171.01%0.73%6.16%0.22%
20016-0.73%1.45%$24,669$21,119-1.64%0.52%3.74%0.30%
20017-0.04%1.24%$24,658$21,381-1.71%2.23%-1.63%2.73%
20018-2.92%0.30%$23,938$21,445-6.00%1.11%-1.34%1.11%
20019-4.53%-3.11%$22,854$20,779-9.00%0.89%-14.56%2.41%
2001102.21%2.71%$23,358$21,3412.52%1.86%3.93%2.22%
2001113.37%0.62%$24,145$21,4737.63%-1.34%7.81%-2.32%
2001120.71%1.38%$24,316$21,7711.78%-0.58%7.02%-1.16%
20021-0.47%0.78%$24,202$21,940-1.24%0.69%1.54%0.45%
20022-0.87%0.85%$23,991$22,127-2.05%0.85%-0.16%1.29%
200231.97%1.34%$24,464$22,4234.38%-1.46%9.86%-2.30%
20024-2.28%3.24%$23,907$23,150-4.90%1.69%4.53%2.62%
20025-0.38%-0.34%$23,816$23,072-1.22%0.80%-3.15%1.04%
20026-3.98%0.51%$22,867$23,189-7.06%0.29%-2.07%1.72%
20027-4.30%-3.02%$21,884$22,488-8.02%0.48%-15.60%2.66%
200281.05%1.43%$22,114$22,8090.53%1.66%-1.25%2.42%
20029-4.71%0.31%$21,073$22,880-10.07%1.53%-7.28%3.03%
2002103.58%-0.14%$21,827$22,8497.65%-0.61%1.62%-0.70%
2002113.21%1.12%$22,527$23,1046.06%0.02%8.52%-1.32%
200212-2.07%0.94%$22,061$23,321-5.57%2.07%-3.58%2.58%
20031-1.50%-1.38%$21,730$22,999-2.54%0.05%-3.45%-0.49%
20032-0.44%0.04%$21,633$23,009-1.69%1.38%-4.11%1.77%
200330.58%-0.19%$21,760$22,9651.09%-0.13%-0.21%-0.19%
200345.19%3.15%$22,890$23,6888.21%0.87%10.56%0.24%
200354.42%5.45%$23,901$24,9786.11%1.82%11.72%2.74%
200360.83%0.87%$24,100$25,1961.43%-0.13%3.65%-0.43%
200370.19%-0.29%$24,146$25,1232.36%-3.34%7.04%-3.87%
200381.74%1.93%$24,565$25,6082.39%0.61%5.14%0.19%
200390.25%1.68%$24,627$26,039-1.15%2.71%-0.78%3.09%
2003103.48%2.67%$25,485$26,7356.12%-0.96%10.00%-1.36%
2003110.98%1.59%$25,736$27,1591.38%0.27%4.16%0.01%
2003123.21%2.59%$26,562$27,8644.48%0.88%5.33%0.85%
200411.68%2.04%$27,010$28,4322.23%0.86%4.89%0.81%
200421.27%1.28%$27,353$28,7971.43%1.03%1.41%1.23%
20043-0.33%1.03%$27,262$29,093-1.07%0.80%0.94%1.06%
20044-2.31%-3.23%$26,632$28,154-2.11%-2.61%-3.17%-3.25%
200450.64%-0.23%$26,802$28,0881.35%-0.43%0.38%-0.51%
200461.48%2.45%$27,200$28,7762.09%0.56%6.69%0.54%
20047-1.94%-1.11%$26,673$28,457-3.80%0.96%-5.33%0.91%
200480.97%0.97%$26,931$28,7330.31%1.94%-1.49%2.07%
200491.10%1.62%$27,227$29,1991.74%0.16%4.93%0.19%
2004101.34%0.93%$27,592$29,4691.68%0.85%0.96%0.91%
2004112.48%2.11%$28,277$30,0904.68%-0.81%10.00%-1.48%
2004122.58%1.86%$29,007$30,6503.63%0.92%3.62%0.97%
20051-1.34%-0.68%$28,617$30,442-2.68%0.65%-3.57%0.56%
200520.97%0.09%$28,895$30,4702.07%-0.63%2.70%-0.98%
20053-1.24%-0.94%$28,535$30,183-1.75%-0.49%-1.95%-0.51%
20054-0.83%-0.92%$28,297$29,905-2.32%1.35%-7.28%1.75%
200552.65%2.71%$29,046$30,7143.77%1.05%6.65%1.20%
200560.71%1.59%$29,251$31,2030.81%0.55%4.17%0.55%
200572.03%1.11%$29,846$31,5484.11%-0.99%7.11%-1.41%
20058-0.04%0.61%$29,835$31,741-0.94%1.36%-1.67%1.65%
200590.07%-0.55%$29,857$31,5660.86%-1.10%0.80%-1.14%
200510-1.45%-1.45%$29,425$31,108-1.86%-0.81%-2.92%-0.79%
2005112.58%1.61%$30,184$31,6103.97%0.48%4.21%0.48%
2005120.47%0.80%$30,326$31,8630.14%0.99%0.34%1.01%
200612.06%2.41%$30,949$32,6323.50%-0.11%8.82%-0.34%
200620.15%-0.05%$30,995$32,6150.00%0.37%-0.35%0.09%
200630.70%1.26%$31,213$33,0271.80%-1.00%6.09%-0.99%
200640.60%0.08%$31,401$33,0541.11%-0.21%0.98%-0.37%
20065-2.03%-1.46%$30,763$32,570-3.23%-0.09%-4.39%0.02%
200660.15%0.08%$30,807$32,5970.17%0.10%0.05%0.10%
200670.45%-0.31%$30,945$32,497-0.13%1.35%-3.75%1.35%
200682.05%1.72%$31,579$33,0572.31%1.64%1.95%1.62%
200691.70%1.02%$32,114$33,3932.27%0.81%1.19%0.94%
2006102.44%2.11%$32,897$34,0983.53%0.72%5.43%0.57%
2006111.80%1.74%$33,491$34,6932.23%1.11%3.03%1.12%
2006120.52%-0.20%$33,666$34,6231.13%-0.48%1.38%-0.98%
200711.09%0.48%$34,034$34,7891.88%-0.08%2.20%-0.26%
20072-0.38%1.22%$33,905$35,214-1.61%1.50%-0.23%1.86%
200730.67%0.35%$34,132$35,3361.11%0.02%1.09%0.03%
200742.61%0.94%$35,023$35,6684.01%0.51%1.81%0.57%
200751.94%0.29%$35,701$35,7723.69%-0.78%3.65%-1.18%
20076-1.18%-0.61%$35,280$35,553-1.67%-0.39%-1.55%-0.18%
20077-1.78%-1.15%$34,653$35,145-3.41%0.84%-7.64%1.81%
200781.41%1.17%$35,141$35,5571.45%1.34%-0.76%1.97%
200792.46%0.25%$36,006$35,6463.59%0.72%-0.28%0.46%
2007101.49%0.92%$36,543$35,9721.85%0.93%1.11%0.84%
200711-2.02%-0.02%$35,805$35,965-4.49%1.91%-8.72%3.46%
200712-0.27%-0.11%$35,707$35,925-0.60%0.22%-1.20%0.27%
20081-2.97%0.99%$34,645$36,280-6.08%1.69%-3.94%3.10%
20082-1.70%0.16%$34,055$36,336-3.07%0.19%-2.84%1.35%
20083-0.21%0.90%$33,984$36,665-0.58%0.30%0.84%0.93%
200842.74%-1.09%$34,914$36,2665.02%-0.30%1.66%-2.14%
200850.89%0.23%$35,226$36,3502.09%-0.79%4.14%-1.32%
20086-4.84%-2.44%$33,522$35,461-8.19%-0.01%-10.10%0.77%
20087-0.44%1.13%$33,375$35,861-0.77%0.00%2.07%0.77%
200881.20%1.85%$33,776$36,5241.58%0.70%4.15%0.98%
20089-5.75%-1.57%$31,833$35,951-9.26%-1.10%-6.89%0.51%
200810-10.81%-6.88%$28,391$33,477-17.63%-2.53%-22.14%-1.36%
200811-2.21%1.46%$27,765$33,965-7.90%3.64%-12.99%5.58%
2008122.62%3.96%$28,493$35,3121.86%3.32%5.25%3.66%
20091-5.23%-5.96%$27,002$33,208-8.26%-0.70%-14.28%-2.39%
20092-6.25%-3.90%$25,315$31,914-10.45%-0.42%-12.71%-0.58%
200935.46%4.99%$26,698$33,5078.65%1.48%10.40%3.20%
200946.22%3.84%$28,357$34,79310.61%0.36%19.66%-1.76%
200953.55%0.20%$29,362$34,8615.38%0.85%3.22%-1.10%
200960.42%-0.15%$29,486$34,8100.34%0.54%0.35%-0.37%
200975.30%4.60%$31,048$36,4117.82%1.43%13.44%0.60%
200982.63%2.33%$31,866$37,2583.63%1.01%5.14%0.89%
200993.09%2.80%$32,850$38,3014.23%1.19%6.33%0.92%
200910-1.47%-2.54%$32,366$37,328-2.57%0.41%-7.53%0.25%
2009114.03%2.35%$33,670$38,2045.63%1.36%3.11%1.96%
2009121.20%0.66%$34,076$38,4572.86%-1.68%7.92%-3.13%
20101-1.47%0.43%$33,575$38,622-3.50%1.57%-3.16%1.97%
201022.06%2.07%$34,265$39,4213.36%0.20%6.15%0.40%
201033.70%2.03%$35,533$40,2216.27%-0.08%8.86%-0.91%
201041.74%3.44%$36,151$41,6052.17%1.06%8.11%1.23%
20105-4.56%-2.09%$34,501$40,734-8.00%0.87%-9.90%1.85%
20106-2.68%-1.70%$33,575$40,040-5.66%1.61%-10.14%2.07%
201074.40%3.22%$35,054$41,3306.99%0.94%8.69%1.07%
20108-2.17%-1.08%$34,292$40,883-4.75%1.48%-8.38%2.00%
201095.40%3.82%$36,145$42,4469.47%-0.01%12.93%0.36%
2010102.49%1.56%$37,044$43,1093.94%0.36%4.17%0.45%
2010110.12%0.70%$37,088$43,4100.58%-0.57%4.49%-0.98%
2010123.66%1.36%$38,446$44,0026.81%-1.15%9.18%-2.29%
201111.34%0.30%$38,963$44,1332.19%0.08%0.31%0.29%
201122.24%1.58%$39,836$44,8313.60%0.16%6.28%-0.43%
201130.27%0.56%$39,945$45,0830.45%-0.01%2.05%-0.12%
201142.34%1.49%$40,882$45,7572.99%1.32%1.26%1.60%
20115-0.22%0.21%$40,792$45,853-1.16%1.30%-3.12%1.77%
20116-1.24%-0.67%$40,284$45,546-1.79%-0.39%-1.81%-0.16%
20117-0.77%0.64%$39,973$45,839-2.28%1.58%-2.88%2.18%
20118-3.01%-1.19%$38,770$45,295-5.99%1.46%-10.58%2.70%
20119-4.13%-2.80%$37,169$44,027-7.75%0.89%-12.58%0.73%
2011106.50%3.46%$39,586$45,54911.51%0.16%15.82%-0.42%
201111-0.29%0.03%$39,470$45,564-0.29%-0.30%-0.68%0.29%
2011120.91%1.01%$39,830$46,0230.80%1.08%1.01%1.00%
201213.40%2.79%$41,184$47,3085.08%0.87%7.43%0.81%
201222.58%0.55%$42,246$47,5664.26%-0.05%3.18%-0.65%
201231.68%0.20%$42,955$47,6623.07%-0.58%2.30%-0.79%
201240.01%0.48%$42,960$47,893-0.65%1.14%-1.60%1.50%
20125-3.53%-1.45%$41,442$47,199-6.24%0.95%-7.12%1.24%
201262.39%1.17%$42,430$47,7533.91%0.04%4.38%-0.22%
201271.17%0.52%$42,926$48,0001.03%1.39%-0.24%0.86%
201281.54%1.38%$43,586$48,6622.48%0.03%4.21%0.10%
201291.64%1.01%$44,301$49,1552.58%0.11%3.31%-0.06%
201210-1.06%-0.48%$43,832$48,919-1.76%0.11%-0.82%-0.32%
2012110.53%1.02%$44,065$49,4160.74%0.19%1.84%0.62%
2012120.67%0.95%$44,359$49,8841.19%-0.20%3.72%-0.41%
201313.01%1.45%$45,697$50,6085.50%-0.71%6.56%-0.74%
201320.99%1.04%$46,151$51,1341.28%0.54%1.75%0.71%
201332.42%1.74%$47,269$52,0263.88%0.08%4.91%0.27%
201341.41%0.12%$47,934$52,0861.70%0.91%-1.11%0.71%
201350.82%0.50%$48,326$52,3452.32%-1.71%5.39%-1.84%
20136-1.41%-1.31%$47,643$51,660-1.27%-1.65%-0.70%-1.62%
201373.57%2.59%$49,342$52,9955.49%0.20%7.34%0.13%
20138-2.06%-2.14%$48,327$51,859-2.82%-0.64%-4.17%-1.02%
201392.70%2.79%$49,633$53,3043.66%0.96%5.24%1.47%
2013103.02%1.57%$51,130$54,1404.22%0.78%3.51%0.49%
2013111.77%1.76%$52,037$55,0952.88%-0.35%5.08%-0.14%
2013121.53%0.10%$52,834$55,1482.63%-0.65%2.72%-1.49%
20141-1.25%-0.38%$52,175$54,941-3.11%1.54%-5.14%1.67%
201422.98%1.71%$53,732$55,8784.73%0.48%5.45%0.21%
201430.25%-0.07%$53,865$55,8390.51%-0.15%1.19%-0.60%
201440.35%-0.23%$54,052$55,7090.06%0.77%-1.93%0.49%
201451.72%0.97%$54,981$56,2492.17%1.05%0.83%1.03%
201461.57%1.21%$55,844$56,9322.54%0.11%4.44%-0.13%
20147-1.30%-2.02%$55,117$55,781-1.98%-0.26%-5.76%-0.39%
201482.97%2.43%$56,754$57,1384.18%1.13%5.83%1.03%
20149-1.59%-2.56%$55,855$55,673-2.14%-0.72%-6.98%-0.66%
2014102.03%2.13%$56,990$56,8582.74%0.94%4.61%1.12%
2014111.73%0.51%$57,973$57,1502.41%0.65%-0.28%0.84%
2014120.03%0.42%$57,991$57,391-0.01%0.09%2.29%-0.35%
20151-0.74%0.40%$57,563$57,623-2.77%2.31%-4.95%2.70%
201522.94%0.54%$59,255$57,9335.76%-1.08%5.90%-1.59%
20153-0.46%1.07%$58,980$58,550-1.04%0.41%1.78%0.76%
201540.11%-0.55%$59,044$58,2270.42%-0.36%-1.34%-0.21%
201550.66%0.32%$59,433$58,4141.39%-0.45%1.36%-0.12%
20156-1.43%-0.50%$58,580$58,122-1.71%-1.01%0.05%-0.74%
201571.29%-0.52%$59,334$57,8181.63%0.76%-3.67%0.85%
20158-3.80%-1.21%$57,082$57,117-6.03%-0.36%-4.04%-0.03%
20159-1.43%-0.44%$56,265$56,866-2.93%0.76%-4.51%1.19%
2015104.59%1.11%$58,845$57,4947.84%0.01%5.28%-0.47%
2015110.22%0.63%$58,973$57,8550.54%-0.27%3.17%-0.39%
201512-1.37%-2.08%$58,163$56,650-2.03%-0.38%-6.20%-0.38%
20161-2.83%-0.50%$56,516$56,364-5.67%1.43%-7.18%2.36%
201620.25%0.92%$56,658$56,880-0.04%0.66%1.17%0.82%
201634.47%2.62%$59,189$58,3697.01%0.94%8.77%0.22%
201640.53%0.45%$59,500$58,6290.63%0.38%1.80%-0.13%
201651.07%-0.00%$60,139$58,6281.79%0.01%0.47%-0.21%
201660.91%1.08%$60,687$59,2580.23%1.94%-1.16%2.05%
201672.61%1.47%$62,272$60,1283.95%0.64%4.85%0.04%
201680.09%0.03%$62,328$60,1450.26%-0.17%1.74%-0.72%
201690.06%0.57%$62,363$60,4900.15%-0.09%1.21%0.29%
201610-1.66%-1.49%$61,329$59,591-2.21%-0.81%-3.14%-0.73%
2016111.62%2.74%$62,319$61,2274.44%-2.64%14.87%-2.65%
2016121.28%1.14%$63,117$61,9241.92%0.24%3.41%-0.05%
201711.26%0.05%$63,915$61,9561.91%0.29%-0.53%0.30%
201722.50%0.37%$65,514$62,1873.71%0.66%0.32%0.39%
201730.01%-0.29%$65,522$62,0050.07%-0.07%-1.14%0.07%
201740.94%0.68%$66,137$62,4281.05%0.76%0.46%0.77%
201750.88%-0.62%$66,716$62,0431.01%0.67%-3.51%0.59%
201760.57%0.40%$67,096$62,2920.92%0.01%2.59%-0.47%
201771.30%0.52%$67,967$62,6151.87%0.39%0.77%0.42%
201780.42%-0.14%$68,249$62,5280.15%0.85%-2.55%0.86%
201791.31%1.67%$69,141$63,5732.45%-0.54%7.92%-0.83%
2017101.39%0.15%$70,101$63,6662.16%0.11%0.96%-0.21%
2017111.85%0.38%$71,397$63,9093.04%-0.17%2.12%-0.39%
2017120.79%0.05%$71,964$63,9440.99%0.44%0.03%0.07%
201812.75%-0.64%$73,940$63,5375.31%-1.09%1.50%-1.56%
20182-2.68%-1.77%$71,958$62,411-3.72%-1.03%-4.68%-0.49%
20183-0.97%0.80%$71,262$62,911-1.99%0.63%0.93%0.75%
20184-0.10%-0.25%$71,189$62,7540.38%-0.83%1.32%-0.92%
201851.93%2.43%$72,562$64,2802.79%0.61%6.29%0.76%
201860.43%0.09%$72,871$64,3390.68%0.03%0.06%0.11%
201872.05%0.26%$74,368$64,5093.34%0.03%1.61%-0.35%
201882.33%1.43%$76,099$65,4303.44%0.52%2.84%0.77%
20189-0.10%-1.58%$76,021$64,3950.16%-0.54%-3.19%-0.82%
201810-4.92%-3.03%$72,282$62,445-7.40%-0.73%-9.41%-0.06%
2018111.47%0.95%$73,341$63,0362.06%0.53%0.91%0.96%
201812-5.02%-2.45%$69,658$61,491-9.29%1.80%-12.79%1.90%
201915.55%4.01%$73,526$63,9568.59%1.01%12.00%0.58%
201922.14%0.88%$75,098$64,5183.50%-0.06%3.27%-0.26%
201931.63%-0.02%$76,322$64,5051.44%1.96%-3.66%1.78%
201942.50%1.26%$78,230$65,3163.98%0.04%4.04%-0.05%
20195-3.41%-2.39%$75,561$63,753-6.45%1.83%-11.52%2.05%
201964.72%3.02%$79,128$65,6806.97%1.15%7.77%1.02%
201970.99%0.01%$79,907$65,6881.44%0.23%0.39%-0.16%
20198-0.24%-0.79%$79,713$65,171-2.03%2.78%-8.00%2.48%
201990.83%1.23%$80,371$65,9701.70%-0.60%5.96%-0.70%
2019101.39%0.67%$81,485$66,4112.10%0.21%1.83%0.16%
2019112.34%0.72%$83,396$66,8873.77%-0.06%3.17%-0.37%
2019121.76%0.98%$84,865$67,5412.85%-0.15%3.92%-0.36%
202010.80%-0.53%$85,544$67,181-0.08%2.11%-6.88%2.19%
20202-4.17%-1.50%$81,975$66,172-8.18%1.71%-10.79%2.12%
20203-8.10%-5.07%$75,332$62,815-13.78%-0.59%-26.60%2.27%
202047.87%3.48%$81,262$65,00313.25%1.69%15.81%0.46%
202053.25%0.96%$83,905$65,6245.38%0.54%2.85%0.42%
202061.60%0.83%$85,252$66,1662.28%0.70%2.65%0.30%
202073.91%1.11%$88,585$66,8995.64%1.55%3.21%0.49%
202083.78%1.13%$91,937$67,6577.18%-1.02%5.58%-0.22%
20209-2.13%-1.13%$89,976$66,892-3.57%0.08%-5.13%0.16%
202010-1.53%0.47%$88,596$67,205-2.16%-0.61%3.95%-0.59%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryClassic 60/4030 SCV / 70 ITT
Large-cap Value20.26%0.00%
Large-cap Growth30.09%0.00%
Mid-cap Value5.55%5.98%
Mid-cap Growth3.29%0.20%
Small-cap Value0.00%25.88%
Small-cap Growth1.81%0.00%
Global ex-US Developed Markets0.00%1.27%
Emerging Markets0.96%0.59%
Corporate Bonds6.37%0.00%
Long-Term Treasuries1.36%0.00%
Intermediate-Term Treasuries10.07%39.45%
Short-Term Treasuries20.24%26.63%
R Squared99.70%97.11%
Style analysis is based on monthly returns from Apr 2005 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 Classic 60/40

Holdings Based Style Analysis for Classic 60/40
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%0.14%25.00$60,08097.42%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%0.15%6.56$18,5162.58%
100.00%0.14%25.006.56$78,596100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 30 SCV / 70 ITT

Holdings Based Style Analysis for 30 SCV / 70 ITT
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value30.00%0.51%12.58$26,25884.78%
VFITXVanguard Interm-Term Treasury InvIntermediate Government70.00%0.20%5.22$30,94715.22%
100.00%0.29%12.585.22$57,205100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (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
MetricClassic 60/4030 SCV / 70 ITT
Arithmetic Mean (monthly)0.69%0.59%
Arithmetic Mean (annualized)8.64%7.31%
Geometric Mean (monthly)0.66%0.58%
Geometric Mean (annualized)8.20%7.13%
Volatility (monthly)2.60%1.69%
Volatility (annualized)9.00%5.85%
Downside Deviation (monthly)1.67%0.99%
Max. Drawdown-30.72%-12.96%
US Market Correlation0.990.73
Beta(*)0.590.28
Alpha (annualized)2.24%4.15%
R297.17%53.35%
Sharpe Ratio0.660.81
Sortino Ratio0.981.27
Treynor Ratio (%)10.1116.61
Calmar Ratio0.680.26
Active Return-1.35%-2.43%
Tracking Error6.36%11.49%
Information Ratio-0.21-0.21
Skewness-0.72-0.53
Excess Kurtosis1.471.90
Historical Value-at-Risk (5%)-4.15%-2.41%
Analytical Value-at-Risk (5%)-3.65%-2.25%
Conditional Value-at-Risk (5%)-5.78%-3.59%
Upside Capture Ratio (%)62.7437.17
Downside Capture Ratio (%)56.0621.76
Safe Withdrawal Rate7.85%7.53%
Perpetual Withdrawal Rate5.70%4.73%
Positive Periods224 out of 332 (67.47%)231 out of 332 (69.58%)
Gain/Loss Ratio0.941.10
* 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 PeriodStartEndClassic 60/4030 SCV / 70 ITT
Asian CrisisJul 1997Jan 1998-2.69%-0.29%
Russian Debt DefaultJul 1998Oct 1998-10.18%-5.06%
Dotcom CrashMar 2000Oct 2002-21.68%-3.11%
Subprime CrisisNov 2007Mar 2009-30.72%-12.96%

Drawdowns for Classic 60/40

Drawdowns for Classic 60/40 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-30.72%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-21.68%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-11.94%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-10.18%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.08%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.46%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.47%
8Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
9Jun 2015Sep 20154 monthsApr 20167 months11 months-5.33%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.76%
Worst 10 drawdowns included above

Drawdowns for 30 SCV / 70 ITT

Drawdowns for 30 SCV / 70 ITT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Feb 200911 monthsAug 20096 months1 year 5 months-12.96%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-7.00%
3Sep 2018Dec 20184 monthsJun 20196 months10 months-6.02%
4Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-5.94%
5May 1998Aug 19984 monthsDec 19984 months8 months-5.56%
6Feb 1999Mar 19992 monthsJun 19993 months5 months-4.77%
7Jun 2011Sep 20114 monthsDec 20113 months7 months-3.98%
8May 2010Jun 20102 monthsSep 20103 months5 months-3.76%
9Apr 2015Jan 201610 monthsApr 20163 months1 year 1 month-3.73%
10Apr 2004May 20042 monthsSep 20044 months6 months-3.45%
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 Inv9.56%15.05%35.79%-37.04%-50.89%0.530.761.00
VBMFXVanguard Total Bond Market Index Inv5.17%3.54%18.18%-2.66%-5.01%0.781.300.01
DFSVXDFA US Small Cap Value I9.77%19.93%59.40%-36.79%-61.18%0.450.650.85
VFITXVanguard Interm-Term Treasury Inv5.22%4.61%20.44%-4.33%-6.47%0.621.03-0.19

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXDFSVXVFITXClassic 60/4030 SCV / 70 ITT
VTSMXVanguard Total Stock Mkt Idx Inv1.000.010.85-0.190.990.73
VBMFXVanguard Total Bond Market Index Inv0.011.00-0.090.920.170.40
DFSVXDFA US Small Cap Value I0.85-0.091.00-0.270.820.84
VFITXVanguard Interm-Term Treasury Inv-0.190.92-0.271.00-0.040.28

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameClassic 60/4030 SCV / 70 ITT
VTSMXVanguard Total Stock Mkt Idx Inv$60,080
VBMFXVanguard Total Bond Market Index Inv$18,516
DFSVXDFA US Small Cap Value I$26,258
VFITXVanguard Interm-Term Treasury Inv$30,947

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameClassic 60/4030 SCV / 70 ITT
VTSMXVanguard Total Stock Mkt Idx Inv97.42%
VBMFXVanguard Total Bond Market Index Inv2.58%
DFSVXDFA US Small Cap Value I84.78%
VFITXVanguard Interm-Term Treasury Inv15.22%

Annual Asset Returns

Rolling returns summary
Roll PeriodClassic 60/4030 SCV / 70 ITT
AverageHighLowAverageHighLow
1 year8.84%28.74%-20.20%7.49%23.09%-3.84%
3 years8.27%21.56%-4.81%7.53%15.38%2.77%
5 years7.75%19.17%1.41%7.51%12.17%2.20%
7 years7.27%12.87%2.29%7.66%10.94%4.23%
10 years6.96%10.55%2.42%7.73%11.28%5.70%
15 years6.68%8.20%5.61%7.56%9.02%5.41%
Result statistics are based on annualized rolling returns over full calendar year periods