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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Portfolio Analysis Results (Jul 1999 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 36.00%
CASHX Cash -40.00%
VUSTX Vanguard Long-Term Treasury Inv 24.00%
VTSMX Vanguard Total Stock Mkt Idx Inv 48.00%
VBMFX Vanguard Total Bond Market Index Inv 32.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$458,649 7.11% 9.23%21.60%-21.67%-31.93% 0.610.910.99
Portfolio 2$100,000$777,665 9.69% 12.39%31.92%-26.53%-41.22% 0.681.020.96
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.07%11.70%19.10%13.52%12.23%11.08%7.11%11.61%9.38%
Portfolio 28.66%16.09%25.00%19.93%17.13%16.33%9.69%15.20%12.44%
Trailing annualized return and volatility are for full months ending in August 2021 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 1999 are based on monthly returns from July to December
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 quarterly 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
YearInflationPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
19991.26%6.98%$106,9816.78%$106,77610.67%0.66%7.78%2.46%-2.23%
20003.39%-2.06%$104,782-2.95%$103,631-10.57%11.39%-9.06%5.99%19.72%
20011.55%-2.60%$102,056-6.71%$96,682-10.97%8.43%-12.02%3.70%4.31%
20022.38%-9.50%$92,364-12.45%$84,641-20.96%8.26%-22.15%1.65%16.67%
20031.88%20.10%$110,92626.74%$107,27331.35%3.97%28.50%1.04%2.68%
20043.26%9.28%$121,21912.65%$120,84512.51%4.24%10.74%1.32%7.12%
20053.42%4.57%$126,7565.74%$127,7835.98%2.40%4.77%3.14%6.61%
20062.54%10.97%$140,65812.84%$144,18715.51%4.27%15.64%4.82%1.74%
20074.08%6.17%$149,3347.36%$154,8065.49%6.92%5.39%4.56%9.24%
20080.09%-21.67%$116,980-26.53%$113,728-37.04%5.05%-37.02%1.53%22.52%
20092.72%19.77%$140,10521.70%$138,40528.70%5.93%26.49%0.16%-12.05%
20101.50%13.36%$158,82419.06%$164,78917.09%6.42%14.91%0.14%8.93%
20112.96%4.26%$165,59711.88%$184,3680.96%7.56%1.97%0.07%29.28%
20121.74%11.46%$184,57716.19%$214,21816.25%4.05%15.82%0.08%3.47%
20131.50%18.14%$218,05522.32%$262,03833.35%-2.26%32.18%0.05%-13.03%
20140.76%9.74%$239,28818.91%$311,57812.43%5.76%13.51%0.03%25.28%
20150.73%0.45%$240,3540.58%$313,3850.29%0.30%1.25%0.05%-1.54%
20162.07%8.50%$260,78411.56%$349,61712.53%2.50%11.82%0.30%1.20%
20172.11%13.78%$296,71920.84%$422,48221.05%3.46%21.67%0.88%8.58%
20181.91%-2.82%$288,338-4.93%$401,648-5.26%-0.13%-4.52%1.90%-1.90%
20192.29%21.60%$350,62531.92%$529,83730.65%8.61%31.33%2.13%14.13%
20201.36%17.11%$410,62626.43%$669,89420.87%7.61%18.25%0.44%18.29%
20215.03%11.70%$458,64916.09%$777,66520.50%-0.75%21.47%0.03%-4.50%
Annual return for 1999 is from 07/01/1999 to 12/31/1999 and annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
19997-2.07%$97,927-3.08%$96,919-3.20%-0.39%-3.13%0.39%-0.58%
19998-0.58%$97,362-0.92%$96,023-0.92%-0.08%-0.50%0.39%-0.49%
19999-0.93%$96,460-1.68%$94,407-2.44%1.26%-2.74%0.41%0.91%
1999103.90%$100,2265.27%$99,3836.29%0.33%6.33%0.40%0.12%
1999112.11%$102,3392.10%$101,4743.42%0.02%2.02%0.42%-0.59%
1999124.54%$106,9815.22%$106,7767.59%-0.48%5.98%0.43%-1.60%
20001-2.58%$104,221-3.75%$102,774-4.18%-0.17%-5.03%0.43%1.25%
200021.98%$106,2891.48%$104,2952.54%1.18%-1.91%0.47%2.96%
200033.94%$110,4817.15%$111,7515.69%1.40%9.75%0.47%3.14%
20004-3.32%$106,813-4.09%$107,183-5.21%-0.49%-3.00%0.48%-0.66%
20005-2.07%$104,600-2.72%$104,266-3.41%-0.16%-2.04%0.48%-0.46%
200063.47%$108,2264.10%$108,5454.42%2.15%2.49%0.46%2.30%
20007-0.82%$107,340-1.03%$107,426-1.95%0.88%-1.50%0.48%1.49%
200084.89%$112,5866.43%$114,3377.28%1.40%6.19%0.51%2.08%
20009-2.53%$109,732-4.28%$109,445-4.67%0.76%-5.29%0.52%-0.85%
200010-1.00%$108,635-0.78%$108,589-2.04%0.57%-0.43%0.51%1.57%
200011-5.24%$102,946-6.49%$101,536-9.90%1.58%-7.89%0.52%2.99%
2000121.78%$104,7822.06%$103,6311.78%1.79%0.51%0.51%2.45%
200113.00%$107,9263.55%$107,3123.83%1.76%3.55%0.48%0.28%
20012-5.33%$102,169-7.26%$99,517-9.41%0.91%-9.14%0.41%1.80%
20013-3.66%$98,427-5.52%$94,021-6.72%0.54%-6.36%0.40%-0.60%
200144.71%$103,0655.81%$99,4858.16%-0.46%7.77%0.35%-2.56%
200150.91%$103,9990.88%$100,3571.01%0.73%0.65%0.32%0.21%
20016-0.82%$103,151-1.48%$98,870-1.64%0.52%-2.45%0.30%0.76%
20017-0.14%$103,0100.28%$99,145-1.71%2.23%-1.00%0.30%3.61%
20018-3.09%$99,826-4.30%$94,879-6.00%1.11%-6.27%0.29%2.02%
20019-4.77%$95,063-6.54%$88,677-9.00%0.89%-8.09%0.28%0.88%
2001102.26%$97,2093.64%$91,9032.52%1.86%1.90%0.20%5.12%
2001114.06%$101,1554.63%$96,1617.63%-1.34%7.65%0.17%-4.98%
2001120.89%$102,0560.54%$96,6821.78%-0.58%0.87%0.15%-1.91%
20021-0.47%$101,576-0.68%$96,029-1.24%0.69%-1.47%0.14%1.20%
20022-0.87%$100,690-1.15%$94,929-2.05%0.85%-1.94%0.14%1.24%
200231.97%$102,6771.89%$96,7194.38%-1.46%3.74%0.15%-3.86%
20024-2.26%$100,354-3.16%$93,663-4.90%1.69%-6.07%0.15%3.73%
20025-0.38%$99,975-0.53%$93,168-1.22%0.80%-0.75%0.15%0.39%
20026-3.97%$96,008-5.29%$88,238-7.06%0.29%-7.13%0.14%1.76%
20027-4.62%$91,574-5.83%$83,096-8.02%0.48%-7.72%0.14%2.93%
200281.01%$92,4962.11%$84,8480.53%1.66%0.65%0.14%4.28%
20029-5.15%$87,734-6.88%$79,007-10.07%1.53%-10.87%0.14%4.02%
2002104.34%$91,5455.90%$83,6717.65%-0.61%8.78%0.13%-2.84%
2002113.76%$94,9884.88%$87,7516.06%0.02%5.88%0.12%-0.98%
200212-2.76%$92,364-3.54%$84,641-5.57%2.07%-5.89%0.10%4.05%
20031-1.50%$90,975-2.30%$82,698-2.54%0.05%-2.62%0.10%-0.45%
20032-0.44%$90,573-0.20%$82,531-1.69%1.38%-1.52%0.10%3.03%
200330.58%$91,1020.48%$82,9291.09%-0.13%0.96%0.10%-1.13%
200345.27%$95,9057.37%$89,0408.21%0.87%8.25%0.09%0.91%
200354.47%$100,1876.66%$94,9676.11%1.82%5.26%0.09%5.67%
200360.85%$101,0360.74%$95,6691.43%-0.13%1.26%0.09%-1.48%
200370.08%$101,116-1.40%$94,3332.36%-3.34%1.74%0.07%-8.57%
200381.70%$102,8372.38%$96,5832.39%0.61%1.93%0.08%1.43%
200390.33%$103,1730.95%$97,502-1.15%2.71%-1.07%0.08%5.07%
2003103.29%$106,5634.01%$101,4116.12%-0.96%5.64%0.08%-2.58%
2003110.95%$107,5801.11%$102,5411.38%0.27%0.86%0.08%0.31%
2003123.11%$110,9264.61%$107,2734.48%0.88%5.22%0.08%1.23%
200411.68%$112,7942.39%$109,8382.23%0.86%1.82%0.08%1.74%
200421.27%$114,2281.94%$111,9701.43%1.03%1.38%0.08%1.96%
20043-0.33%$113,849-0.49%$111,426-1.07%0.80%-1.51%0.08%1.45%
20044-2.31%$111,219-3.77%$107,224-2.11%-2.61%-1.58%0.08%-5.52%
200450.64%$111,9290.85%$108,1391.35%-0.43%1.36%0.08%-0.56%
200461.48%$113,5912.08%$110,3912.09%0.56%1.93%0.09%0.87%
20047-1.90%$111,437-2.39%$107,754-3.80%0.96%-3.31%0.11%1.52%
200480.98%$112,5321.72%$109,6100.31%1.94%0.38%0.12%3.39%
200491.08%$113,7511.42%$111,1711.74%0.16%1.07%0.13%0.94%
2004101.34%$115,2811.92%$113,3001.68%0.85%1.51%0.14%1.46%
2004112.50%$118,1622.84%$116,5164.68%-0.81%4.05%0.16%-2.25%
2004122.59%$121,2193.72%$120,8453.63%0.92%3.39%0.18%2.22%
20051-1.34%$119,590-1.41%$119,142-2.68%0.65%-2.45%0.18%2.59%
200520.97%$120,7511.13%$120,4862.07%-0.63%2.09%0.21%-1.24%
20053-1.24%$119,249-1.90%$118,196-1.75%-0.49%-1.76%0.23%-0.76%
20054-0.85%$118,233-0.69%$117,384-2.32%1.35%-1.91%0.23%3.22%
200552.66%$121,3773.79%$121,8293.77%1.05%3.17%0.24%2.55%
200560.71%$122,2350.91%$122,9400.81%0.55%0.13%0.25%1.64%
200572.07%$124,7612.27%$125,7264.11%-0.99%3.71%0.26%-2.58%
20058-0.05%$124,6970.17%$125,943-0.94%1.36%-0.91%0.28%2.87%
200590.09%$124,805-0.41%$125,4280.86%-1.10%0.79%0.29%-2.78%
200510-1.44%$123,005-2.29%$122,554-1.86%-0.81%-1.68%0.29%-1.74%
2005112.56%$126,1603.44%$126,7653.97%0.48%3.76%0.33%0.57%
2005120.47%$126,7560.80%$127,7830.14%0.99%0.02%0.32%2.33%
200612.06%$129,3632.25%$130,6563.50%-0.11%2.65%0.33%-0.90%
200620.15%$129,5530.26%$130,9900.00%0.37%0.26%0.37%0.81%
200630.70%$130,4650.06%$131,0741.80%-1.00%1.23%0.38%-3.39%
200640.58%$131,2260.33%$131,5001.11%-0.21%1.33%0.38%-1.96%
20065-1.99%$128,617-2.81%$127,808-3.23%-0.09%-2.90%0.39%-0.03%
200660.14%$128,8020.17%$128,0240.17%0.10%0.13%0.40%0.71%
200670.46%$129,3960.86%$129,132-0.13%1.35%0.61%0.41%1.84%
200682.04%$132,0382.97%$132,9662.31%1.64%2.36%0.42%2.74%
200691.68%$134,2592.46%$136,2362.27%0.81%2.56%0.41%1.58%
2006102.41%$137,4893.12%$140,4853.53%0.72%3.25%0.40%0.77%
2006111.79%$139,9512.39%$143,8392.23%1.11%1.89%0.42%1.91%
2006120.50%$140,6580.24%$144,1871.13%-0.48%1.39%0.41%-2.14%
200711.09%$142,1961.04%$145,6931.88%-0.08%1.49%0.41%-0.85%
20072-0.38%$141,655-0.49%$144,976-1.61%1.50%-1.97%0.42%2.93%
200730.67%$142,6050.49%$145,6851.11%0.02%1.11%0.42%-1.13%
200742.61%$146,3283.72%$151,1054.01%0.51%4.42%0.41%0.86%
200751.94%$149,1662.19%$154,4093.69%-0.78%3.48%0.40%-1.93%
20076-1.18%$147,403-1.89%$151,493-1.67%-0.39%-1.68%0.39%-0.88%
20077-1.71%$144,882-2.06%$148,367-3.41%0.84%-3.08%0.39%2.39%
200781.41%$146,9201.99%$151,3211.45%1.34%1.50%0.40%1.97%
200792.41%$150,4683.16%$156,1063.59%0.72%3.72%0.33%0.21%
2007101.48%$152,6961.96%$159,1721.85%0.93%1.58%0.31%1.40%
200711-1.94%$149,730-2.08%$155,867-4.49%1.91%-4.19%0.32%4.59%
200712-0.26%$149,334-0.68%$154,806-0.60%0.22%-0.70%0.26%-0.48%
20081-2.97%$144,895-4.02%$148,583-6.08%1.69%-6.02%0.28%2.64%
20082-1.70%$142,426-2.50%$144,869-3.07%0.19%-3.25%0.16%0.35%
20083-0.21%$142,131-0.12%$144,698-0.58%0.30%-0.44%0.15%1.02%
200842.89%$146,2423.57%$149,8715.02%-0.30%4.85%0.11%-1.84%
200850.98%$147,6700.72%$150,9462.09%-0.79%1.29%0.12%-2.13%
20086-5.07%$140,176-6.79%$140,691-8.19%-0.01%-8.44%0.15%1.80%
20087-0.46%$139,530-0.66%$139,763-0.77%0.00%-0.83%0.16%0.30%
200881.23%$141,2421.88%$142,3971.58%0.70%1.45%0.14%1.80%
20089-6.00%$132,766-7.95%$131,080-9.26%-1.10%-8.91%0.14%0.28%
200810-11.59%$117,377-16.22%$109,821-17.63%-2.53%-16.79%0.08%-3.63%
200811-2.81%$114,076-1.63%$108,036-7.90%3.64%-7.17%0.04%12.07%
2008122.55%$116,9805.27%$113,7281.86%3.32%1.07%0.00%8.87%
20091-5.23%$110,859-9.25%$103,207-8.26%-0.70%-8.41%0.01%-8.47%
20092-6.25%$103,933-9.34%$93,564-10.45%-0.42%-10.66%0.02%-1.01%
200935.46%$109,6099.23%$102,2048.65%1.48%8.76%0.02%5.27%
200946.51%$116,7407.44%$109,81010.61%0.36%9.56%0.02%-4.99%
200953.67%$121,0264.40%$114,6435.38%0.85%5.62%0.01%-2.68%
200960.41%$121,5280.54%$115,2650.34%0.54%0.22%0.01%0.70%
200975.26%$127,9267.13%$123,4787.82%1.43%7.58%0.02%0.80%
200982.62%$131,2783.74%$128,0903.63%1.01%3.60%0.02%1.68%
200993.07%$135,3134.17%$133,4274.23%1.19%3.72%0.01%1.98%
200910-1.38%$133,451-2.13%$130,589-2.57%0.41%-1.87%0.01%-1.45%
2009113.89%$138,6405.75%$138,1015.63%1.36%5.98%0.00%1.91%
2009121.06%$140,1050.22%$138,4052.86%-1.68%1.95%0.01%-5.66%
20101-1.47%$138,045-1.84%$135,863-3.50%1.57%-3.60%0.01%2.66%
201022.06%$140,8822.69%$139,5163.36%0.20%3.09%0.01%-0.21%
201033.70%$146,0954.71%$146,0926.27%-0.08%6.01%0.01%-1.51%
201041.73%$148,6202.61%$149,9012.17%1.06%1.58%0.01%2.76%
20105-4.48%$141,969-5.39%$141,822-8.00%0.87%-8.01%0.01%4.23%
20106-2.61%$138,263-2.68%$138,026-5.66%1.61%-5.24%0.01%4.67%
201074.57%$144,5836.13%$146,4866.99%0.94%7.00%0.02%-0.17%
20108-2.34%$141,196-1.90%$143,706-4.75%1.48%-4.53%0.01%7.08%
201095.67%$149,1957.14%$153,9699.47%-0.01%8.92%0.01%-1.82%
2010102.51%$152,9392.58%$157,9373.94%0.36%3.79%0.01%-3.29%
2010110.13%$153,135-0.26%$157,5210.58%-0.57%0.00%0.01%-1.60%
2010123.72%$158,8244.61%$164,7896.81%-1.15%6.67%0.01%-3.58%
201111.34%$160,9601.35%$167,0142.19%0.08%2.36%0.01%-2.38%
201122.24%$164,5663.32%$172,5513.60%0.16%3.42%0.01%1.24%
201130.27%$165,0160.23%$172,9400.45%-0.01%0.03%0.01%0.02%
201142.32%$168,8473.40%$178,8282.99%1.32%2.95%0.01%2.04%
20115-0.18%$168,5350.22%$179,224-1.16%1.30%-1.15%0.00%3.29%
20116-1.22%$166,470-2.05%$175,557-1.79%-0.39%-1.67%0.01%-2.00%
20117-0.74%$165,239-0.33%$174,984-2.28%1.58%-2.05%0.00%4.18%
20118-2.94%$160,378-2.10%$171,317-5.99%1.46%-5.45%0.01%8.68%
20119-4.05%$153,877-2.78%$166,556-7.75%0.89%-7.04%0.00%10.16%
2011106.97%$164,5998.70%$181,05111.51%0.16%10.91%0.00%-3.34%
201111-0.29%$164,1160.07%$181,178-0.29%-0.30%-0.23%0.00%1.82%
2011120.90%$165,5971.76%$184,3680.80%1.08%1.02%0.00%3.13%
201213.40%$171,2244.34%$192,3775.08%0.87%4.46%0.00%0.08%
201222.58%$175,6393.11%$198,3564.26%-0.05%4.31%0.01%-2.11%
201231.68%$178,5871.69%$201,7173.07%-0.58%3.28%0.01%-3.77%
201240.06%$178,7000.87%$203,466-0.65%1.14%-0.64%0.01%4.37%
20125-3.33%$172,747-2.85%$197,673-6.24%0.95%-6.02%0.01%7.79%
201262.27%$176,6762.81%$203,2183.91%0.04%4.11%0.01%-1.44%
201271.17%$178,7502.23%$207,7431.03%1.39%1.37%0.01%3.32%
201281.50%$181,4301.72%$211,3262.48%0.03%2.24%0.01%-1.06%
201291.60%$184,3361.69%$214,9032.58%0.11%2.58%0.01%-2.10%
201210-1.01%$182,474-1.58%$211,497-1.76%0.11%-1.86%0.01%-0.43%
2012110.52%$183,4180.94%$213,4880.74%0.19%0.56%0.01%1.35%
2012120.63%$184,5770.34%$214,2181.19%-0.20%0.90%0.01%-1.99%
201313.01%$190,1413.49%$221,6895.50%-0.71%5.18%0.00%-3.27%
201320.99%$192,0301.56%$225,1511.28%0.54%1.34%0.01%1.26%
201332.42%$196,6853.29%$232,5563.88%0.08%3.74%0.01%0.03%
201341.39%$199,4112.72%$238,8861.70%0.91%1.91%0.01%3.87%
201350.72%$200,841-0.12%$238,6092.32%-1.71%2.33%0.00%-6.23%
20136-1.42%$197,986-2.37%$232,957-1.27%-1.65%-1.35%0.00%-3.26%
201373.37%$204,6584.06%$242,4095.49%0.20%5.07%0.00%-1.93%
20138-1.98%$200,611-2.92%$235,329-2.82%-0.64%-2.91%0.00%-1.28%
201392.60%$205,8313.42%$243,3873.66%0.96%3.12%0.00%0.88%
2013102.84%$211,6874.24%$253,7164.22%0.78%4.59%0.00%1.32%
2013111.62%$215,1061.79%$258,2492.88%-0.35%3.03%0.00%-2.49%
2013121.37%$218,0551.47%$262,0382.63%-0.65%2.51%0.01%-2.37%
20141-1.25%$215,337-0.75%$260,082-3.11%1.54%-3.47%0.01%6.26%
201422.98%$221,7604.12%$270,8084.73%0.48%4.56%0.00%0.60%
201430.25%$222,3100.64%$272,5370.51%-0.15%0.82%0.00%0.63%
201440.35%$223,0800.97%$275,1890.06%0.77%0.72%0.00%1.82%
201451.72%$226,9172.87%$283,0732.17%1.05%2.33%0.00%2.73%
201461.57%$230,4771.93%$288,5292.54%0.11%2.05%0.00%-0.16%
20147-1.29%$227,503-1.39%$284,516-1.98%-0.26%-1.39%0.00%0.59%
201482.95%$234,2134.83%$298,2574.18%1.13%3.98%0.00%4.23%
20149-1.58%$230,522-2.23%$291,611-2.14%-0.72%-1.41%0.00%-1.99%
2014102.02%$235,1803.11%$300,6942.74%0.94%2.42%0.00%2.61%
2014111.71%$239,2123.00%$309,7142.41%0.65%2.68%0.00%2.86%
2014120.03%$239,2880.60%$311,578-0.01%0.09%-0.26%0.00%2.82%
20151-0.74%$237,5190.47%$313,051-2.77%2.31%-3.02%0.00%8.97%
201522.94%$244,5042.85%$321,9595.76%-1.08%5.74%0.00%-5.66%
20153-0.46%$243,367-0.67%$319,805-1.04%0.41%-1.59%0.00%1.13%
201540.11%$243,630-0.31%$318,8150.42%-0.36%0.95%0.00%-3.07%
201550.66%$245,2330.49%$320,3721.39%-0.45%1.27%0.00%-2.16%
20156-1.43%$241,716-2.71%$311,686-1.71%-1.01%-1.93%0.00%-3.73%
201571.28%$244,8192.79%$320,3671.63%0.76%2.08%0.00%4.21%
20158-3.77%$235,591-5.31%$303,357-6.03%-0.36%-6.05%0.01%-0.71%
20159-1.41%$232,263-1.53%$298,720-2.93%0.76%-2.48%0.01%1.91%
2015104.71%$243,2076.69%$318,6947.84%0.01%8.42%0.00%-0.48%
2015110.23%$243,7700.10%$319,0240.54%-0.27%0.29%0.01%-0.81%
201512-1.40%$240,354-1.77%$313,385-2.03%-0.38%-1.59%0.02%-0.34%
20161-2.83%$233,550-2.81%$304,594-5.67%1.43%-4.98%0.01%5.24%
201620.25%$234,1370.88%$307,280-0.04%0.66%-0.15%0.03%2.86%
201634.47%$244,5965.91%$325,4497.01%0.94%6.78%0.03%0.05%
201640.53%$245,8860.40%$326,7470.63%0.38%0.37%0.02%-0.63%
201651.08%$248,5481.66%$332,1851.79%0.01%1.78%0.02%0.69%
201660.90%$250,7902.34%$339,9700.23%1.94%0.25%0.03%6.57%
201672.63%$257,3773.90%$353,2223.95%0.64%3.68%0.02%2.01%
201680.09%$257,611-0.13%$352,7780.26%-0.17%0.13%0.02%-1.00%
201690.06%$257,760-0.27%$351,8270.15%-0.09%0.01%0.03%-1.32%
201610-1.65%$253,503-3.01%$341,250-2.21%-0.81%-1.83%0.02%-4.23%
2016111.58%$257,5070.76%$343,8284.44%-2.64%3.70%0.03%-7.86%
2016121.27%$260,7841.68%$349,6171.92%0.24%1.96%0.04%-0.35%
201711.26%$264,0791.83%$356,0051.91%0.29%1.88%0.04%0.65%
201722.50%$270,6863.77%$369,4363.71%0.66%3.96%0.04%1.57%
201730.01%$270,720-0.11%$369,0390.07%-0.07%0.10%0.04%-0.59%
201740.93%$273,2511.47%$374,4611.05%0.76%1.02%0.06%1.58%
201750.87%$275,6341.58%$380,3871.01%0.67%1.39%0.07%1.73%
201760.56%$277,1770.78%$383,3630.92%0.01%0.61%0.08%0.63%
201771.28%$280,7111.58%$389,4181.87%0.39%2.04%0.08%-0.59%
201780.43%$281,9081.18%$394,0140.15%0.85%0.29%0.09%3.27%
201791.26%$285,4661.16%$398,5872.45%-0.54%2.06%0.08%-2.27%
2017101.34%$289,2901.87%$406,0272.16%0.11%2.32%0.09%-0.02%
2017111.77%$294,4192.63%$416,7003.04%-0.17%3.06%0.09%0.63%
2017120.78%$296,7191.39%$422,4820.99%0.44%1.10%0.10%1.78%
201812.75%$304,8693.39%$436,8085.31%-1.09%5.71%0.11%-3.40%
20182-2.68%$296,698-4.18%$418,535-3.72%-1.03%-3.69%0.12%-2.89%
20183-0.97%$293,825-1.16%$413,700-1.99%0.63%-2.56%0.14%2.75%
20184-0.11%$293,517-0.50%$411,6510.38%-0.83%0.37%0.14%-2.04%
201851.92%$299,1662.78%$423,0792.79%0.61%2.39%0.15%1.79%
201860.42%$300,4330.65%$425,8220.68%0.03%0.61%0.16%0.66%
201872.02%$306,4912.58%$436,7983.34%0.03%3.71%0.16%-1.28%
201882.29%$313,5223.21%$450,8373.44%0.52%3.25%0.17%1.18%
20189-0.11%$313,173-0.57%$448,2590.16%-0.54%0.55%0.17%-2.74%
201810-4.73%$298,350-7.00%$416,879-7.40%-0.73%-6.85%0.18%-2.82%
2018111.42%$302,5932.26%$426,3012.06%0.53%2.03%0.19%1.78%
201812-4.71%$288,338-5.78%$401,648-9.29%1.80%-9.04%0.19%5.50%
201915.55%$304,3537.36%$431,2188.59%1.01%8.00%0.20%0.49%
201922.14%$310,8572.47%$441,8773.50%-0.06%3.20%0.20%-1.31%
201931.63%$315,9263.09%$455,5381.44%1.96%1.94%0.20%5.47%
201942.40%$323,5192.85%$468,5123.98%0.04%4.04%0.20%-1.88%
20195-3.21%$313,126-3.43%$452,446-6.45%1.83%-6.36%0.20%6.65%
201964.58%$327,4616.31%$480,9886.97%1.15%7.03%0.19%1.01%
201970.95%$330,5831.26%$487,0421.44%0.23%1.43%0.17%0.22%
20198-0.12%$330,1991.80%$495,817-2.03%2.78%-1.59%0.17%10.68%
201990.76%$332,7210.51%$498,3231.70%-0.60%1.86%0.16%-2.62%
2019101.34%$337,1881.52%$505,9152.10%0.21%2.15%0.15%-1.10%
2019112.26%$344,7922.97%$520,9373.77%-0.06%3.62%0.13%-0.39%
2019121.69%$350,6251.71%$529,8372.85%-0.15%3.01%0.13%-3.00%
202010.80%$353,4322.32%$542,135-0.08%2.11%-0.05%0.13%7.29%
20202-4.17%$338,684-4.58%$517,313-8.18%1.71%-8.24%0.13%6.58%
20203-8.10%$311,237-9.04%$470,548-13.78%-0.59%-12.37%0.10%5.67%
202048.63%$338,08411.95%$526,75813.25%1.69%12.81%0.01%1.81%
202053.56%$350,1344.12%$548,4815.38%0.54%4.76%0.01%-1.67%
202061.70%$356,1042.12%$560,0912.28%0.70%1.98%0.01%0.40%
202074.01%$370,3666.23%$594,9615.64%1.55%5.63%0.01%4.17%
202083.97%$385,0834.57%$622,1497.18%-1.02%7.18%0.01%-4.71%
20209-2.22%$376,551-2.96%$603,742-3.57%0.08%-3.81%0.01%0.78%
202010-1.54%$370,754-2.96%$585,852-2.16%-0.61%-2.67%0.01%-3.19%
2020117.72%$399,36410.58%$647,81412.19%1.11%10.94%0.01%1.53%
2020122.82%$410,6263.41%$669,8944.45%0.15%3.84%0.01%-0.95%
20211-0.52%$408,487-1.62%$659,012-0.34%-0.80%-1.02%0.01%-3.49%
202121.31%$413,8560.72%$663,7483.19%-1.51%2.75%0.01%-5.69%
202131.59%$420,4341.87%$676,1303.47%-1.38%4.37%0.00%-4.72%
202143.46%$434,9965.26%$711,6615.14%0.95%5.32%0.00%2.37%
202150.35%$436,5280.56%$715,6670.43%0.24%0.69%0.00%0.17%
202161.84%$444,5673.18%$738,4572.53%0.77%2.31%0.00%3.90%
202171.51%$451,2682.92%$760,0541.71%1.21%2.38%0.00%3.60%
202181.64%$458,6492.32%$777,6652.86%-0.20%3.03%0.01%-0.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value20.21%
Large-cap Growth30.04%
Mid-cap Value4.59%
Mid-cap Growth3.21%
Small-cap Value0.00%
Small-cap Growth2.81%
Global ex-US Developed Markets0.00%
Emerging Markets1.08%
Corporate Bonds6.72%
Long-Term Treasuries1.38%
Intermediate-Term Treasuries10.25%
Short-Term Treasuries19.72%
R Squared99.67%
Style analysis is based on monthly returns from April 2005 to August 2021 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.11%0.14%24.25$290,38698.88%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.83%0.15%6.79$68,2631.12%
100.00%1.40%0.14%24.256.79$358,649100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.61%0.84%
Arithmetic Mean (annualized)7.57%10.54%
Geometric Mean (monthly)0.57%0.77%
Geometric Mean (annualized)7.11%9.69%
Volatility (monthly)2.67%3.58%
Volatility (annualized)9.23%12.39%
Downside Deviation (monthly)1.73%2.31%
Max. Drawdown-31.93%-41.22%
US Market Correlation0.990.96
Beta(*)0.590.76
Alpha (annualized)2.07%3.26%
R297.73%91.23%
Sharpe Ratio0.610.68
Sortino Ratio0.911.02
Treynor Ratio (%)9.6611.05
Calmar Ratio1.131.51
Active Return-0.85%1.73%
Tracking Error6.50%5.18%
Information Ratio-0.130.33
Skewness-0.59-0.60
Excess Kurtosis1.822.14
Historical Value-at-Risk (5%)-4.40%-5.49%
Analytical Value-at-Risk (5%)-3.80%-5.09%
Conditional Value-at-Risk (5%)-5.81%-7.85%
Upside Capture Ratio (%)61.4882.27
Downside Capture Ratio (%)55.2969.57
Safe Withdrawal Rate5.75%6.15%
Perpetual Withdrawal Rate4.55%6.81%
Positive Periods177 out of 266 (66.54%)175 out of 266 (65.79%)
Gain/Loss Ratio0.910.96
* 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 PeriodStartEndPortfolio 1Portfolio 2
Dotcom CrashMar 2000Oct 2002-22.07%-30.90%
Subprime CrisisNov 2007Mar 2009-31.93%-41.22%
COVID-19 StartJan 2020Mar 2020-11.94%-13.20%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-31.93%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-22.07%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-11.94%
4May 2011Sep 20115 monthsJan 20124 months9 months-8.87%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.03%
6Apr 2000May 20002 monthsAug 20003 months5 months-5.32%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-5.29%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.72%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-3.72%
10Jul 1999Sep 19993 monthsOct 19991 month4 months-3.54%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-41.22%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-30.90%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-13.20%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-10.91%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.22%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-7.07%
7Apr 2000May 20002 monthsAug 20003 months5 months-6.70%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-5.83%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-5.76%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-5.59%
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 Inv7.96%15.48%33.35%-37.04%-50.89%0.470.671.00
VBMFXVanguard Total Bond Market Index Inv4.67%3.43%11.39%-2.26%-3.99%0.881.49-0.07
VFINXVanguard 500 Index Investor7.44%14.99%32.18%-37.02%-50.97%0.450.640.99
CASHXCash1.63%0.53%5.99%0.03%0.00%N/AN/A-0.12
VUSTXVanguard Long-Term Treasury Inv6.85%10.85%29.28%-13.03%-18.92%0.520.87-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVFINXCASHXVUSTXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.070.99-0.12-0.300.990.96
VBMFXVanguard Total Bond Market Index Inv-0.071.00-0.070.110.850.080.19
VFINXVanguard 500 Index Investor0.99-0.071.00-0.12-0.290.980.95
CASHXCash-0.120.11-0.121.000.04-0.10-0.13
VUSTXVanguard Long-Term Treasury Inv-0.300.85-0.290.041.00-0.17-0.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$290,386$319,036
VBMFXVanguard Total Bond Market Index Inv$68,263$64,293
VFINXVanguard 500 Index Investor$233,206
CASHXCash-$24,218
VUSTXVanguard Long-Term Treasury Inv$85,347

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv98.88%56.98%
VBMFXVanguard Total Bond Market Index Inv1.12%1.71%
VFINXVanguard 500 Index Investor41.38%
CASHXCash0.21%
VUSTXVanguard Long-Term Treasury Inv-0.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.33%35.55%-27.03%10.30%49.11%-35.41%
3 years6.79%19.11%-7.08%9.50%28.46%-10.61%
5 years7.02%16.37%-1.87%9.79%23.68%-3.53%
7 years6.98%12.30%0.45%9.77%18.52%-0.21%
10 years7.00%11.58%1.97%9.85%16.79%1.43%
15 years6.97%8.68%5.05%9.72%12.54%6.72%