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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Portfolio Analysis Results (Jan 2000 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 45.00%
VGTSX Vanguard Total Intl Stock Index Inv 30.00%
VBMFX Vanguard Total Bond Market Index Inv 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 25.00%
VFITX Vanguard Interm-Term Treasury Inv 25.00%
DFSVX DFA US Small Cap Value I 25.00%
VFINX Vanguard 500 Index Investor 25.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFISX Vanguard Short-Term Treasury Inv 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$22,111 4.78% 11.58%27.20%-28.63%-41.34% 0.320.450.97
Portfolio 2$10,000$30,006 6.68% 12.00%32.65%-26.15%-41.19% 0.460.670.96
Portfolio 3$10,000$21,131 4.50% 13.20%28.95%-32.65%-46.02% 0.270.380.99
Vanguard Total Stock Mkt Idx Inv$10,000$22,633 4.92% 15.31%33.35%-37.04%-50.89% 0.280.391.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.50%7.66%7.66%4.04%8.79%5.06%4.78%8.13%8.31%
Portfolio 23.55%11.48%11.48%4.31%9.61%5.56%6.68%8.49%8.62%
Portfolio 33.37%10.73%10.73%7.93%13.13%6.60%4.50%9.62%9.34%
Vanguard Total Stock Mkt Idx Inv4.08%12.53%12.53%8.26%14.49%7.11%4.92%11.02%10.64%
Trailing return and volatility are as of last full calendar month ending December 2016
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx InvVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Interm-Term Treasury Inv (VFITX)DFA US Small Cap Value I (DFSVX)Vanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20003.39%-6.59%$9,341-0.41%$9,959-7.27%$9,273-10.57%$8,943-10.57%-15.61%11.39%14.03%9.01%-9.06%8.83%
20011.55%-8.87%$8,512-0.49%$9,910-10.04%$8,342-10.97%$7,962-10.97%-20.15%8.43%7.55%22.65%-12.02%7.80%
20022.38%-11.89%$7,499-8.09%$9,109-19.13%$6,746-20.96%$6,293-20.96%-15.08%8.26%14.15%-9.27%-22.15%8.02%
20031.88%27.20%$9,54032.65%$12,08325.89%$8,49331.35%$8,26631.35%40.34%3.97%2.37%59.40%28.50%2.38%
20043.26%12.94%$10,77415.09%$13,9079.77%$9,32312.51%$9,30112.51%20.84%4.24%3.40%25.39%10.74%1.03%
20053.42%7.96%$11,6327.61%$14,9654.47%$9,7405.98%$9,8575.98%15.57%2.40%2.32%7.79%4.77%1.77%
20062.54%16.04%$13,49716.74%$17,47114.45%$11,14815.51%$11,38615.51%26.64%4.27%3.14%21.55%15.64%3.77%
20074.08%8.86%$14,6935.04%$18,3505.64%$11,7765.49%$12,0115.49%15.52%6.92%9.98%-10.75%5.39%7.89%
20080.09%-28.63%$10,486-26.15%$13,553-32.65%$7,931-37.04%$7,562-37.04%-44.10%5.05%13.32%-36.79%-37.02%6.68%
20092.72%25.42%$13,15123.79%$16,77623.98%$9,83328.70%$9,73228.70%36.73%5.93%-1.69%33.62%26.49%1.44%
20101.50%12.63%$14,81216.07%$19,47313.69%$11,17917.09%$11,39617.09%11.12%6.42%7.35%30.90%14.91%2.64%
20112.96%-2.05%$14,509-2.59%$18,9692.00%$11,4020.96%$11,5060.96%-14.56%7.56%9.80%-7.55%1.97%2.26%
20121.74%13.77%$16,50714.59%$21,73714.31%$13,03416.25%$13,37616.25%18.14%4.05%2.67%21.72%15.82%0.69%
20131.50%18.96%$19,63621.63%$26,43828.95%$16,80733.35%$17,83633.35%15.04%-2.26%-3.09%42.38%32.18%-0.10%
20140.76%5.76%$20,7674.27%$27,56612.23%$18,86212.43%$20,05312.43%-4.24%5.76%4.32%3.48%13.51%0.71%
20150.73%-1.11%$20,537-2.36%$26,9161.17%$19,0820.29%$20,1120.29%-4.37%0.30%1.50%-7.81%1.25%0.45%
20162.07%7.66%$22,11111.48%$30,00610.73%$21,13112.53%$22,63312.53%4.65%2.50%1.19%28.26%11.82%0.99%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx InvVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Interm-Term Treasury Inv (VFITX)DFA US Small Cap Value I (DFSVX)Vanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20001-3.79%$9,621-3.12%$9,688-4.55%$9,545-4.18%$9,582-4.18%-6.22%-0.17%-0.46%-0.75%-5.03%-0.22%
200022.27%$9,8402.85%$9,965-1.63%$9,3902.54%$9,8252.54%2.83%1.18%1.00%9.28%-1.91%0.76%
200033.94%$10,2273.72%$10,3358.78%$10,2145.69%$10,3845.69%3.48%1.40%2.04%0.30%9.75%0.70%
20004-4.08%$9,809-3.04%$10,021-2.68%$9,940-5.21%$9,843-5.21%-5.41%-0.49%-0.26%-3.51%-3.00%0.19%
20005-2.35%$9,578-2.18%$9,803-1.80%$9,761-3.41%$9,508-3.41%-2.67%-0.16%0.16%-4.16%-2.04%0.30%
200063.77%$9,9403.47%$10,1432.37%$9,9934.42%$9,9284.42%4.27%2.15%2.20%4.98%2.49%1.30%
20007-1.94%$9,747-1.29%$10,012-1.28%$9,865-1.95%$9,734-1.95%-4.46%0.88%0.62%-0.10%-1.50%0.61%
200083.93%$10,1304.12%$10,4255.64%$10,4217.28%$10,4437.28%1.00%1.40%1.62%7.40%6.19%0.92%
20009-3.34%$9,792-2.70%$10,143-4.68%$9,933-4.67%$9,955-4.67%-5.00%0.76%0.89%-1.85%-5.29%0.79%
200010-1.60%$9,636-1.56%$9,985-0.32%$9,901-2.04%$9,752-2.04%-3.03%0.57%0.90%-3.78%-0.43%0.60%
200011-5.25%$9,130-3.76%$9,610-6.91%$9,217-9.90%$8,786-9.90%-4.44%1.58%2.14%-5.44%-7.89%1.18%
2000122.30%$9,3413.64%$9,9590.61%$9,2731.78%$8,9431.78%3.72%1.79%2.39%7.73%0.51%1.38%
200112.49%$9,5734.07%$10,3653.32%$9,5813.83%$9,2853.83%1.10%1.76%1.33%10.31%3.55%1.26%
20012-6.32%$8,968-4.32%$9,917-8.16%$8,799-9.41%$8,411-9.41%-7.61%0.91%1.26%-1.92%-9.14%0.80%
20013-4.90%$8,529-3.72%$9,548-5.59%$8,307-6.72%$7,846-6.72%-7.15%0.54%0.50%-2.46%-6.36%0.77%
200145.65%$9,0104.94%$10,0206.89%$8,8798.16%$8,4868.16%7.89%-0.46%-1.16%6.12%7.77%0.06%
20015-0.38%$8,9761.10%$10,1310.63%$8,9341.01%$8,5721.01%-3.52%0.73%0.22%6.16%0.65%0.44%
20016-1.67%$8,826-0.26%$10,105-2.15%$8,743-1.64%$8,432-1.64%-3.84%0.52%0.30%3.74%-2.45%0.33%
20017-0.83%$8,753-0.56%$10,048-0.74%$8,678-1.71%$8,287-1.71%-2.43%2.23%2.73%-1.63%-1.00%1.40%
20018-2.98%$8,492-2.03%$9,844-5.48%$8,203-6.00%$7,790-6.00%-2.30%1.11%1.11%-1.34%-6.27%0.79%
20019-6.54%$7,936-7.77%$9,079-6.92%$7,635-9.00%$7,089-9.00%-10.73%0.89%2.41%-14.56%-8.09%1.68%
2001102.43%$8,1292.78%$9,3321.79%$7,7722.52%$7,2682.52%2.97%1.86%2.22%3.93%1.90%1.13%
2001113.72%$8,4313.90%$9,6966.55%$8,2817.63%$7,8227.63%3.56%-1.34%-2.32%7.81%7.65%-0.83%
2001120.96%$8,5122.21%$9,9100.74%$8,3421.78%$7,9621.78%1.35%-0.58%-1.16%7.02%0.87%-0.27%
20021-1.78%$8,360-1.03%$9,808-1.28%$8,235-1.24%$7,863-1.24%-4.63%0.69%0.45%1.54%-1.47%0.44%
20022-0.44%$8,3230.02%$9,810-1.67%$8,098-2.05%$7,702-2.05%0.90%0.85%1.29%-0.16%-1.94%0.67%
200233.26%$8,5944.23%$10,2263.27%$8,3624.38%$8,0394.38%5.71%-1.46%-2.30%9.86%3.74%-0.82%
20024-1.66%$8,4520.48%$10,275-5.31%$7,918-4.90%$7,645-4.90%0.42%1.69%2.62%4.53%-6.07%1.54%
200250.03%$8,455-0.51%$10,222-0.61%$7,870-1.22%$7,552-1.22%1.16%0.80%1.04%-3.15%-0.75%0.59%
20026-4.30%$8,091-2.82%$9,934-6.26%$7,377-7.06%$7,019-7.06%-4.28%0.29%1.72%-2.07%-7.13%0.93%
20027-6.28%$7,584-7.69%$9,170-6.64%$6,887-8.02%$6,456-8.02%-9.80%0.48%2.66%-15.60%-7.72%1.54%
200280.66%$7,6340.50%$9,2160.68%$6,9340.53%$6,4900.53%-0.12%1.66%2.42%-1.25%0.65%0.86%
20029-6.91%$7,106-5.87%$8,675-9.34%$6,287-10.07%$5,837-10.07%-10.88%1.53%3.03%-7.28%-10.87%1.21%
2002104.45%$7,4233.26%$8,9587.54%$6,7617.65%$6,2837.65%5.70%-0.61%-0.70%1.62%8.78%0.02%
2002113.85%$7,7084.00%$9,3165.01%$7,0996.06%$6,6646.06%4.75%0.02%-1.32%8.52%5.88%-0.66%
200212-2.71%$7,499-2.23%$9,109-4.97%$6,746-5.57%$6,293-5.57%-3.43%2.07%2.58%-3.58%-5.89%1.46%
20031-2.26%$7,330-2.58%$8,874-2.38%$6,586-2.54%$6,133-2.54%-3.76%0.05%-0.49%-3.45%-2.62%-0.13%
20032-1.12%$7,248-1.54%$8,737-1.29%$6,501-1.69%$6,030-1.69%-2.42%1.38%1.77%-4.11%-1.52%0.68%
20033-0.11%$7,240-0.33%$8,7070.88%$6,5581.09%$6,0951.09%-1.93%-0.13%-0.19%-0.21%0.96%0.23%
200346.71%$7,7267.04%$9,3217.41%$7,0448.21%$6,5958.21%9.70%0.87%0.24%10.56%8.25%0.11%
200355.06%$8,1176.47%$9,9244.86%$7,3866.11%$6,9986.11%6.15%1.82%2.74%11.72%5.26%1.05%
200361.42%$8,2321.83%$10,1051.14%$7,4711.43%$7,0991.43%2.66%-0.13%-0.43%3.65%1.26%0.01%
200371.26%$8,3352.20%$10,3271.50%$7,5832.36%$7,2662.36%3.18%-3.34%-3.87%7.04%1.74%-0.91%
200382.02%$8,5042.59%$10,5941.76%$7,7162.39%$7,4392.39%2.51%0.61%0.19%5.14%1.93%0.02%
200390.92%$8,5820.87%$10,686-0.88%$7,649-1.15%$7,354-1.15%2.78%2.71%3.09%-0.78%-1.07%1.15%
2003104.63%$8,9805.55%$11,2795.10%$8,0396.12%$7,8046.12%6.49%-0.96%-1.36%10.00%5.64%-0.34%
2003111.38%$9,1041.98%$11,5030.78%$8,1021.38%$7,9121.38%2.13%0.27%0.01%4.16%0.86%-0.07%
2003124.79%$9,5405.04%$12,0834.83%$8,4934.48%$8,2664.48%7.80%0.88%0.85%5.33%5.22%0.59%
200411.70%$9,7022.28%$12,3581.66%$8,6342.23%$8,4512.23%1.60%0.86%0.81%4.89%1.82%0.22%
200421.65%$9,8621.63%$12,5601.30%$8,7461.43%$8,5711.43%2.50%1.03%1.23%1.41%1.38%0.58%
20043-0.15%$9,8470.24%$12,590-1.33%$8,630-1.07%$8,480-1.07%0.45%0.80%1.06%0.94%-1.51%0.40%
20044-2.55%$9,596-2.80%$12,238-1.54%$8,497-2.11%$8,301-2.11%-3.14%-2.61%-3.25%-3.17%-1.58%-1.20%
200450.64%$9,6570.42%$12,2901.21%$8,6001.35%$8,4131.35%0.46%-0.43%-0.51%0.38%1.36%-0.16%
200461.81%$9,8322.93%$12,6501.74%$8,7502.09%$8,5882.09%2.40%0.56%0.54%6.69%1.93%0.02%
20047-2.50%$9,586-2.85%$12,289-2.96%$8,491-3.80%$8,262-3.80%-3.34%0.96%0.91%-5.33%-3.31%0.32%
200480.85%$9,6670.41%$12,3390.42%$8,5270.31%$8,2870.31%0.75%1.94%2.07%-1.49%0.38%0.80%
200491.71%$9,8322.30%$12,6230.96%$8,6091.74%$8,4321.74%2.96%0.16%0.19%4.93%1.07%0.04%
2004101.94%$10,0231.65%$12,8321.40%$8,7291.68%$8,5731.68%3.24%0.85%0.91%0.96%1.51%0.33%
2004114.11%$10,4355.05%$13,4793.58%$9,0424.68%$8,9744.68%7.23%-0.81%-1.48%10.00%4.05%-0.63%
2004123.25%$10,7743.17%$13,9073.10%$9,3233.63%$9,3013.63%4.44%0.92%0.97%3.62%3.39%0.33%
20051-1.54%$10,608-1.78%$13,659-2.20%$9,117-2.68%$9,052-2.68%-1.67%0.65%0.56%-3.57%-2.45%0.04%
200522.16%$10,8382.10%$13,9461.84%$9,2852.07%$9,2392.07%4.68%-0.63%-0.98%2.70%2.09%-0.36%
20053-1.80%$10,643-1.80%$13,695-1.59%$9,138-1.75%$9,078-1.75%-2.93%-0.49%-0.51%-1.95%-1.76%-0.05%
20054-1.32%$10,502-2.35%$13,373-1.64%$8,987-2.32%$8,867-2.32%-2.07%1.35%1.75%-7.28%-1.91%0.72%
200551.96%$10,7082.68%$13,7322.88%$9,2473.77%$9,2013.77%0.08%1.05%1.20%6.65%3.17%0.44%
200560.89%$10,8031.51%$13,9390.14%$9,2590.81%$9,2760.81%1.30%0.55%0.55%4.17%0.13%0.24%
200572.68%$11,0923.24%$14,3913.29%$9,5644.11%$9,6574.11%3.68%-0.99%-1.41%7.11%3.71%-0.41%
200580.76%$11,1770.45%$14,456-0.75%$9,492-0.94%$9,565-0.94%2.85%1.36%1.65%-1.67%-0.91%0.75%
200591.56%$11,3501.32%$14,6460.68%$9,5570.86%$9,6470.86%4.73%-1.10%-1.14%0.80%0.79%-0.31%
200510-2.08%$11,114-2.22%$14,321-1.52%$9,411-1.86%$9,468-1.86%-3.37%-0.81%-0.79%-2.92%-1.68%-0.11%
2005112.71%$11,4152.79%$14,7203.43%$9,7343.97%$9,8433.97%2.67%0.48%0.48%4.21%3.76%0.39%
2005121.90%$11,6321.67%$14,9650.06%$9,7400.14%$9,8570.14%5.14%0.99%1.01%0.34%0.02%0.41%
200613.61%$12,0524.50%$15,6392.39%$9,9733.50%$10,2023.50%6.87%-0.11%-0.34%8.82%2.65%0.14%
20062-0.13%$12,036-0.19%$15,6090.24%$9,9970.00%$10,2020.00%-0.72%0.37%0.09%-0.35%0.26%0.01%
200631.54%$12,2222.46%$15,9931.12%$10,1081.80%$10,3861.80%3.17%-1.00%-0.99%6.09%1.23%0.05%
200642.05%$12,4721.82%$16,2831.24%$10,2331.11%$10,5011.11%5.12%-0.21%-0.37%0.98%1.33%0.33%
20065-2.90%$12,111-3.05%$15,787-2.61%$9,966-3.23%$10,161-3.23%-4.45%-0.09%0.02%-4.39%-2.90%0.05%
20066-0.02%$12,108-0.03%$15,7820.14%$9,9800.17%$10,1790.17%-0.38%0.10%0.10%0.05%0.13%0.25%
200670.63%$12,184-0.22%$15,7470.62%$10,042-0.13%$10,166-0.13%1.15%1.35%1.35%-3.75%0.61%0.76%
200682.22%$12,4552.12%$16,0812.20%$10,2632.31%$10,4012.31%2.53%1.64%1.62%1.95%2.36%0.75%
200691.28%$12,6141.22%$16,2772.37%$10,5062.27%$10,6362.27%0.25%0.81%0.94%1.19%2.56%0.55%
2006103.01%$12,9943.37%$16,8262.98%$10,8203.53%$11,0123.53%4.00%0.72%0.57%5.43%3.25%0.46%
2006112.45%$13,3122.49%$17,2461.76%$11,0112.23%$11,2582.23%3.73%1.11%1.12%3.03%1.89%0.55%
2006121.39%$13,4971.30%$17,4711.24%$11,1481.13%$11,3861.13%3.09%-0.48%-0.98%1.38%1.39%-0.20%
200711.11%$13,6481.10%$17,6631.36%$11,3001.88%$11,5991.88%0.96%-0.08%-0.26%2.20%1.49%0.19%
20072-0.34%$13,601-0.08%$17,649-1.68%$11,109-1.61%$11,412-1.61%0.06%1.50%1.86%-0.23%-1.97%0.93%
200731.34%$13,7841.25%$17,8701.03%$11,2241.11%$11,5391.11%2.80%0.02%0.03%1.09%1.11%0.28%
200743.12%$14,2132.68%$18,3494.02%$11,6754.01%$12,0024.01%3.92%0.51%0.57%1.81%4.42%0.46%
200752.42%$14,5582.29%$18,7683.10%$12,0373.69%$12,4443.69%3.09%-0.78%-1.18%3.65%3.48%-0.40%
20076-0.66%$14,461-0.70%$18,637-1.48%$11,858-1.67%$12,236-1.67%0.61%-0.39%-0.18%-1.55%-1.68%0.37%
20077-1.67%$14,219-2.54%$18,163-2.69%$11,539-3.41%$11,819-3.41%-1.06%0.84%1.81%-7.64%-3.08%1.06%
200780.74%$14,3240.49%$18,2521.46%$11,7081.45%$11,9911.45%-0.72%1.34%1.97%-0.76%1.50%1.15%
200793.76%$14,8632.67%$18,7393.43%$12,1093.59%$12,4223.59%6.38%0.72%0.46%-0.28%3.72%0.74%
2007102.92%$15,2982.47%$19,2011.47%$12,2871.85%$12,6511.85%5.90%0.93%0.84%1.11%1.58%0.45%
200711-3.04%$14,833-3.47%$18,535-3.58%$11,848-4.49%$12,084-4.49%-4.57%1.91%3.46%-8.72%-4.19%2.16%
200712-0.95%$14,693-1.00%$18,350-0.60%$11,776-0.60%$12,011-0.60%-2.28%0.22%0.27%-1.20%-0.70%0.25%
20081-4.88%$13,976-3.85%$17,643-5.21%$11,162-6.08%$11,280-6.08%-8.55%1.69%3.10%-3.94%-6.02%2.01%
20082-1.22%$13,806-1.06%$17,456-2.78%$10,851-3.07%$10,934-3.07%0.33%0.19%1.35%-2.84%-3.25%1.09%
20083-0.38%$13,7530.18%$17,488-0.36%$10,812-0.58%$10,870-0.58%-0.71%0.30%0.93%0.84%-0.44%0.25%
200843.81%$14,2772.37%$17,9024.20%$11,2665.02%$11,4165.02%5.85%-0.30%-2.14%1.66%4.85%-0.96%
200851.16%$14,4441.35%$18,1451.10%$11,3902.09%$11,6552.09%1.51%-0.79%-1.32%4.14%1.29%-0.51%
20086-6.33%$13,530-6.62%$16,943-7.52%$10,534-8.19%$10,700-8.19%-8.99%-0.01%0.77%-10.10%-8.44%0.33%
20087-1.40%$13,341-0.37%$16,881-0.68%$10,463-0.77%$10,618-0.77%-3.67%0.00%0.77%2.07%-0.83%0.52%
20088-0.56%$13,2660.46%$16,9591.34%$10,6031.58%$10,7861.58%-5.10%0.70%0.98%4.15%1.45%0.56%
20089-8.00%$12,205-6.65%$15,831-7.82%$9,774-9.26%$9,787-9.26%-13.09%-1.10%0.51%-6.89%-8.91%0.53%
200810-14.20%$10,472-14.56%$13,527-14.63%$8,344-17.63%$8,061-17.63%-22.09%-2.53%-1.36%-22.14%-16.79%0.49%
200811-3.56%$10,100-3.89%$13,000-5.97%$7,846-7.90%$7,424-7.90%-6.29%3.64%5.58%-12.99%-7.17%1.03%
2008123.82%$10,4864.25%$13,5531.08%$7,9311.86%$7,5621.86%8.16%3.32%3.66%5.25%1.07%1.17%
20091-7.48%$9,702-9.26%$12,298-7.58%$7,330-8.26%$6,938-8.26%-11.96%-0.70%-2.39%-14.28%-8.41%-0.09%
20092-7.51%$8,973-8.17%$11,293-9.51%$6,633-10.45%$6,213-10.45%-9.58%-0.42%-0.58%-12.71%-10.66%-0.01%
200936.77%$9,5807.64%$12,1567.82%$7,1528.65%$6,7508.65%9.31%1.48%3.20%10.40%8.76%0.90%
200948.41%$10,3869.51%$13,3128.46%$7,75710.61%$7,46610.61%12.78%0.36%-1.76%19.66%9.56%-0.25%
200956.90%$11,1025.51%$14,0455.06%$8,1505.38%$7,8685.38%14.35%0.85%-1.10%3.22%5.62%0.21%
20096-0.14%$11,087-0.30%$14,0030.18%$8,1650.34%$7,8950.34%-1.32%0.54%-0.37%0.35%0.22%-0.17%
200976.95%$11,8578.03%$15,1276.86%$8,7257.82%$8,5137.82%9.96%1.43%0.60%13.44%7.58%0.22%
200982.99%$12,2123.38%$15,6393.30%$9,0133.63%$8,8213.63%3.50%1.01%0.89%5.14%3.60%0.37%
200993.84%$12,6814.20%$16,2963.41%$9,3204.23%$9,1944.23%5.15%1.19%0.92%6.33%3.72%0.29%
200910-1.78%$12,455-3.04%$15,801-1.69%$9,163-2.57%$8,958-2.57%-2.17%0.41%0.25%-7.53%-1.87%0.24%
2009114.09%$12,9643.79%$16,4005.53%$9,6705.63%$9,4625.63%3.86%1.36%1.96%3.11%5.98%0.87%
2009121.44%$13,1512.29%$16,7761.69%$9,8332.86%$9,7322.86%1.53%-1.68%-3.13%7.92%1.95%-1.13%
20101-2.70%$12,796-2.46%$16,363-3.15%$9,523-3.50%$9,392-3.50%-5.07%1.57%1.97%-3.16%-3.60%0.95%
201021.61%$13,0022.45%$16,7642.79%$9,7893.36%$9,7083.36%0.22%0.20%0.40%6.15%3.09%0.19%
201034.76%$13,6225.14%$17,6255.37%$10,3146.27%$10,3166.27%6.71%-0.08%-0.91%8.86%6.01%-0.36%
201040.76%$13,7252.44%$18,0551.46%$10,4652.17%$10,5412.17%-1.71%1.06%1.23%8.11%1.58%0.39%
20105-6.61%$12,817-6.83%$16,822-7.20%$9,712-8.00%$9,697-8.00%-10.78%0.87%1.85%-9.90%-8.01%0.48%
20106-2.50%$12,497-3.76%$16,189-4.64%$9,261-5.66%$9,148-5.66%-1.17%1.61%2.07%-10.14%-5.24%0.56%
201076.24%$13,2776.55%$17,2496.28%$9,8436.99%$9,7886.99%10.33%0.94%1.07%8.69%7.00%0.38%
20108-2.67%$12,923-3.50%$16,645-4.03%$9,446-4.75%$9,323-4.75%-3.22%1.48%2.00%-8.38%-4.53%0.37%
201097.14%$13,8467.89%$17,9587.98%$10,2009.47%$10,2069.47%10.41%-0.01%0.36%12.93%8.92%0.18%
2010102.91%$14,2482.97%$18,4903.44%$10,5513.94%$10,6083.94%3.55%0.36%0.45%4.17%3.79%0.26%
201011-1.23%$14,074-0.18%$18,457-0.03%$10,5480.58%$10,6700.58%-4.52%-0.57%-0.98%4.49%0.00%-0.30%
2010125.25%$14,8125.50%$19,4735.98%$11,1796.81%$11,3966.81%8.34%-1.15%-2.29%9.18%6.67%-0.48%
201111.21%$14,9920.91%$19,6512.15%$11,4192.19%$11,6452.19%0.70%0.08%0.29%0.31%2.36%0.25%
201122.48%$15,3642.99%$20,2393.06%$11,7683.60%$12,0643.60%2.71%0.16%-0.43%6.28%3.42%-0.22%
201130.08%$15,3760.40%$20,3200.01%$11,7690.45%$12,1180.45%-0.43%-0.01%-0.12%2.05%0.03%-0.13%
201143.26%$15,8772.75%$20,8792.74%$12,0912.99%$12,4812.99%5.24%1.32%1.60%1.26%2.95%0.71%
20115-1.10%$15,703-1.40%$20,586-0.99%$11,972-1.16%$12,336-1.16%-2.87%1.30%1.77%-3.12%-1.15%0.52%
20116-1.36%$15,489-1.30%$20,319-1.52%$11,790-1.79%$12,115-1.79%-1.51%-0.39%-0.16%-1.81%-1.67%-0.04%
20117-1.11%$15,316-1.08%$20,099-1.80%$11,578-2.28%$11,839-2.28%-1.53%1.58%2.18%-2.88%-2.05%0.52%
20118-4.85%$14,574-5.38%$19,018-4.86%$11,015-5.99%$11,129-5.99%-8.45%1.46%2.70%-10.58%-5.45%0.52%
20119-6.73%$13,594-7.44%$17,604-6.34%$10,317-7.75%$10,266-7.75%-12.29%0.89%0.73%-12.58%-7.04%-0.22%
2011107.87%$14,6638.43%$19,0879.73%$11,32011.51%$11,44711.51%10.22%0.16%-0.42%15.82%10.91%0.15%
201111-1.00%$14,516-0.80%$18,934-0.21%$11,296-0.29%$11,415-0.29%-2.88%-0.30%0.29%-0.68%-0.23%-0.04%
201112-0.05%$14,5090.19%$18,9690.94%$11,4020.80%$11,5060.80%-2.64%1.08%1.00%1.01%1.02%0.21%
201214.69%$15,1894.99%$19,9164.04%$11,8635.08%$12,0905.08%7.27%0.87%0.81%7.43%4.46%0.23%
201223.49%$15,7203.04%$20,5213.88%$12,3234.26%$12,6054.26%5.14%-0.05%-0.65%3.18%4.31%-0.14%
201231.03%$15,8811.04%$20,7342.97%$12,6883.07%$12,9923.07%-0.75%-0.58%-0.79%2.30%3.28%-0.13%
20124-0.59%$15,787-0.69%$20,590-0.55%$12,618-0.65%$12,907-0.65%-1.78%1.14%1.50%-1.60%-0.64%0.32%
20125-6.05%$14,832-5.91%$19,373-5.47%$11,928-6.24%$12,102-6.24%-11.14%0.95%1.24%-7.12%-6.02%0.06%
201263.55%$15,3593.56%$20,0623.70%$12,3703.91%$12,5753.91%6.03%0.04%-0.22%4.38%4.11%-0.13%
201270.94%$15,5040.61%$20,1841.27%$12,5271.03%$12,7051.03%0.44%1.39%0.86%-0.24%1.37%0.29%
201281.96%$15,8072.34%$20,6572.04%$12,7832.48%$13,0202.48%2.72%0.03%0.10%4.21%2.24%0.11%
201292.30%$16,1702.40%$21,1532.35%$13,0832.58%$13,3562.58%3.62%0.11%-0.06%3.31%2.58%0.03%
201210-0.63%$16,068-0.63%$21,019-1.71%$12,859-1.76%$13,121-1.76%0.56%0.11%-0.32%-0.82%-1.86%-0.16%
2012110.94%$16,2191.22%$21,2760.52%$12,9260.74%$13,2180.74%1.82%0.19%0.62%1.84%0.56%0.12%
2012121.78%$16,5072.17%$21,7370.83%$13,0341.19%$13,3761.19%4.17%-0.20%-0.41%3.72%0.90%0.09%
201313.30%$17,0513.58%$22,5164.65%$13,6405.50%$14,1115.50%3.34%-0.71%-0.74%6.56%5.18%-0.06%
201320.35%$17,1110.66%$22,6631.22%$13,8071.28%$14,2911.28%-1.23%0.54%0.71%1.75%1.34%0.12%
201332.05%$17,4612.48%$23,2263.39%$14,2743.88%$14,8463.88%0.77%0.08%0.27%4.91%3.74%0.03%
201342.06%$17,8211.23%$23,5111.75%$14,5241.70%$15,0991.70%3.58%0.91%0.71%-1.11%1.91%0.12%
20135-0.18%$17,7890.85%$23,7122.09%$14,8272.32%$15,4492.32%-2.95%-1.71%-1.84%5.39%2.33%-0.34%
20136-2.07%$17,420-1.80%$23,284-1.25%$14,641-1.27%$15,253-1.27%-3.75%-1.65%-1.62%-0.70%-1.35%-0.26%
201374.00%$18,1184.45%$24,3204.63%$15,3195.49%$16,0895.49%4.56%0.20%0.13%7.34%5.07%0.12%
20138-2.00%$17,756-2.56%$23,699-2.68%$14,909-2.82%$15,635-2.82%-1.63%-0.64%-1.02%-4.17%-2.91%-0.16%
201394.07%$18,4784.30%$24,7192.89%$15,3393.66%$16,2083.66%7.21%0.96%1.47%5.24%3.12%0.40%
2013103.23%$19,0753.12%$25,4904.21%$15,9844.22%$16,8924.22%3.41%0.78%0.49%3.51%4.59%0.13%
2013111.38%$19,3382.24%$26,0592.79%$16,4312.88%$17,3792.88%0.12%-0.35%-0.14%5.08%3.03%0.13%
2013121.54%$19,6361.45%$26,4382.29%$16,8072.63%$17,8362.63%1.25%-0.65%-1.49%2.72%2.51%-0.33%
20141-2.45%$19,155-2.93%$25,663-3.09%$16,287-3.11%$17,282-3.11%-4.78%1.54%1.67%-5.14%-3.47%0.32%
201423.82%$19,8873.84%$26,6504.09%$16,9544.73%$18,1004.73%5.39%0.48%0.21%5.45%4.56%0.03%
201430.32%$19,9500.45%$26,7700.72%$17,0760.51%$18,1930.51%0.41%-0.15%-0.60%1.19%0.82%-0.21%
201440.61%$20,0720.15%$26,8100.67%$17,1910.06%$18,2050.06%1.31%0.77%0.49%-1.93%0.72%0.23%
201451.80%$20,4341.52%$27,2192.12%$17,5552.17%$18,6002.17%1.88%1.05%1.03%0.83%2.33%0.13%
201461.69%$20,7802.01%$27,7651.86%$17,8822.54%$19,0722.54%1.74%0.11%-0.13%4.44%2.05%0.04%
20147-1.45%$20,480-2.29%$27,130-1.27%$17,654-1.98%$18,694-1.98%-1.61%-0.26%-0.39%-5.76%-1.39%-0.14%
201482.49%$20,9892.95%$27,9293.61%$18,2924.18%$19,4764.18%1.05%1.13%1.03%5.83%3.98%0.14%
20149-2.64%$20,435-3.50%$26,953-1.30%$18,056-2.14%$19,060-2.14%-5.01%-0.72%-0.66%-6.98%-1.41%-0.14%
2014101.41%$20,7241.95%$27,4782.23%$18,4582.74%$19,5822.74%-0.31%0.94%1.12%4.61%2.42%0.33%
2014111.22%$20,9770.80%$27,6972.46%$18,9112.41%$20,0542.41%-0.25%0.65%0.84%-0.28%2.68%0.23%
201412-1.00%$20,767-0.47%$27,566-0.26%$18,862-0.01%$20,053-0.01%-3.65%0.09%-0.35%2.29%-0.26%-0.24%
20151-0.63%$20,636-1.28%$27,212-2.65%$18,361-2.77%$19,497-2.77%0.13%2.31%2.70%-4.95%-3.02%0.61%
201523.93%$21,4463.82%$28,2515.10%$19,2985.76%$20,6215.76%5.52%-1.08%-1.59%5.90%5.74%-0.42%
20153-0.84%$21,267-0.17%$28,202-1.41%$19,027-1.04%$20,407-1.04%-1.54%0.41%0.76%1.78%-1.59%0.33%
201541.65%$21,6171.14%$28,5230.86%$19,1900.42%$20,4930.42%5.08%-0.36%-0.21%-1.34%0.95%0.05%
201550.21%$21,6620.37%$28,6281.15%$19,4121.39%$20,7781.39%-0.94%-0.45%-0.12%1.36%1.27%0.06%
20156-1.85%$21,262-1.35%$28,241-1.75%$19,072-1.71%$20,423-1.71%-2.69%-1.01%-0.74%0.05%-1.93%-0.04%
201570.67%$21,404-0.40%$28,1281.89%$19,4331.63%$20,7561.63%-0.80%0.76%0.85%-3.67%2.08%0.15%
20158-5.03%$20,328-4.38%$26,895-5.47%$18,370-6.03%$19,505-6.03%-7.29%-0.36%-0.03%-4.04%-6.05%-0.13%
20159-2.28%$19,865-2.37%$26,257-2.18%$17,969-2.93%$18,933-2.93%-3.90%0.76%1.19%-4.51%-2.48%0.43%
2015105.32%$20,9214.75%$27,5047.52%$19,3207.84%$20,4187.84%6.26%0.01%-0.47%5.28%8.42%-0.13%
201511-0.21%$20,8770.40%$27,6150.23%$19,3630.54%$20,5290.54%-1.32%-0.27%-0.39%3.17%0.29%-0.31%
201512-1.63%$20,537-2.53%$26,916-1.45%$19,082-2.03%$20,112-2.03%-2.07%-0.38%-0.38%-6.20%-1.59%-0.16%
20161-3.87%$19,742-3.85%$25,880-4.40%$18,243-5.67%$18,972-5.67%-5.59%1.43%2.36%-7.18%-4.98%0.82%
20162-0.51%$19,641-0.09%$25,856-0.11%$18,222-0.04%$18,964-0.04%-2.27%0.66%0.82%1.17%-0.15%0.15%
201635.73%$20,7675.84%$27,3666.09%$19,3327.01%$20,2937.01%8.19%0.94%0.22%8.77%6.78%0.26%
201641.04%$20,9821.06%$27,6560.33%$19,3960.63%$20,4200.63%2.22%0.38%-0.13%1.80%0.37%-0.03%
201650.50%$21,0870.26%$27,7271.60%$19,7061.79%$20,7861.79%-1.02%0.01%-0.21%0.47%1.78%-0.10%
201660.31%$21,1530.05%$27,7400.30%$19,7640.23%$20,8330.23%-0.94%1.94%2.05%-1.16%0.25%0.75%
201673.24%$21,8373.22%$28,6343.31%$20,4183.95%$21,6563.95%4.41%0.64%0.04%4.85%3.68%-0.10%
201680.29%$21,9010.48%$28,7710.09%$20,4360.26%$21,7120.26%0.74%-0.17%-0.72%1.74%0.13%-0.29%
201690.45%$22,0000.72%$28,9780.03%$20,4420.15%$21,7450.15%1.37%-0.09%0.29%1.21%0.01%0.23%
201610-1.72%$21,622-1.87%$28,435-1.67%$20,100-2.21%$21,263-2.21%-1.72%-0.81%-0.73%-3.14%-1.83%-0.12%
2016110.70%$21,7743.54%$29,4413.29%$20,7614.44%$22,2064.44%-2.15%-2.64%-2.65%14.87%3.70%-0.58%
2016121.54%$22,1111.92%$30,0061.78%$21,1311.92%$22,6331.92%2.02%0.24%-0.05%3.41%1.96%-0.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
Large-cap Value15.22%15.21%42.91%37.82%
Large-cap Growth21.60%7.66%46.85%42.44%
Mid-cap Value6.26%4.10%0.00%4.89%
Mid-cap Growth2.64%4.77%0.00%8.20%
Small-cap Value0.00%19.90%0.00%3.29%
Small-cap Growth0.00%0.00%0.00%2.12%
Global ex-US Developed Markets22.37%20.37%0.00%0.86%
Emerging Markets7.11%5.18%0.06%0.36%
Corporate Bonds5.47%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%0.00%
Intermediate-Term Treasuries5.91%12.40%1.24%0.00%
Short-Term Treasuries13.42%10.42%8.95%0.00%
R Squared99.79%99.49%99.91%99.88%
Style analysis is based on monthly returns from April 2005 to December 2016 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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend45.00%1.04%1.11%0.14%0.14%24.00$7,09456.35%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend30.00%2.99%0.17%0.17%14.63$2,44943.33%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond25.00%1.47%1.79%0.15%0.15%6.84$2,5670.32%
100.00%0.84%1.84%0.15%0.15%20.256.84$12,111100.00%

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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend25.00%2.99%0.17%0.17%14.63$2,88633.96%
VFITXVanguard Interm-Term Treasury InvIntermediate Government25.00%0.93%0.91%0.20%0.20%4.94$3,447-1.83%
DFSVXDFA US Small Cap Value ISmall Value25.00%1.38%0.39%0.39%11.35$8,59439.43%
VFINXVanguard 500 Index InvestorLarge Blend25.00%1.10%1.15%0.14%0.14%25.16$5,07928.44%
100.00%0.51%1.61%0.23%0.23%17.044.94$20,006100.00%

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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VFINXVanguard 500 Index InvestorLarge Blend90.00%1.10%1.15%0.14%0.14%25.16$10,550100.45%
VFISXVanguard Short-Term Treasury InvShort Government10.00%0.27%0.32%0.20%0.20%1.94$581-0.45%
100.00%1.02%1.07%0.15%0.15%25.161.94$11,131100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/19/2022. (c) 2022 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 3Vanguard Total Stock Mkt Idx Inv
Arithmetic Mean (monthly)0.45%0.60%0.44%0.50%
Arithmetic Mean (annualized)5.48%7.45%5.42%6.17%
Geometric Mean (monthly)0.39%0.54%0.37%0.40%
Geometric Mean (annualized)4.78%6.68%4.50%4.92%
Standard Deviation (monthly)3.34%3.46%3.81%4.42%
Standard Deviation (annualized)11.58%12.00%13.20%15.31%
Downside Deviation (monthly)2.31%2.34%2.65%3.11%
Max. Drawdown-41.34%-41.19%-46.02%-50.89%
US Market Correlation0.970.960.991.00
Beta(*)0.730.750.851.00
Alpha (annualized)0.96%2.71%0.17%0.00%
R293.81%91.50%97.74%100.00%
Sharpe Ratio0.320.460.270.28
Sortino Ratio0.450.670.380.39
Treynor Ratio (%)5.057.404.264.34
Calmar Ratio0.430.451.050.93
Active Return-0.14%1.75%-0.42%N/A
Tracking Error5.01%5.19%3.01%N/A
Information Ratio-0.030.34-0.14N/A
Skewness-0.64-0.65-0.51-0.60
Excess Kurtosis1.441.650.951.04
Historical Value-at-Risk (5%)-6.24%-5.79%-6.59%-7.99%
Analytical Value-at-Risk (5%)-5.18%-5.22%-5.88%-6.77%
Conditional Value-at-Risk (5%)-7.54%-7.89%-8.38%-9.84%
Upside Capture Ratio (%)74.1981.5683.60100.00
Downside Capture Ratio (%)72.7671.7484.75100.00
Safe Withdrawal Rate6.17%7.77%5.25%5.23%
Perpetual Withdrawal Rate2.51%4.25%2.26%2.65%
Positive Periods120 out of 204 (58.82%)126 out of 204 (61.76%)125 out of 204 (61.27%)125 out of 204 (61.27%)
Gain/Loss Ratio0.990.970.850.83
* Vanguard Total Stock Mkt Idx Inv 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 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
Dotcom CrashMar 2000Oct 2002-30.52%-16.79%-39.67%-44.11%
Subprime CrisisNov 2007Mar 2009-41.34%-41.19%-46.02%-50.89%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.34%
2Apr 2000Sep 20022 years 6 monthsNov 20042 years 2 months4 years 8 months-30.52%
3May 2011Sep 20115 monthsMar 20126 months11 months-14.38%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.33%
5Apr 2012May 20122 monthsSep 20124 months6 months-6.60%
6Jan 2000Jan 20001 monthMar 20002 months3 months-3.79%
7Mar 2005Apr 20052 monthsJul 20053 months5 months-3.09%
8May 2006Jun 20062 monthsSep 20063 months5 months-2.92%
9Sep 2014Sep 20141 monthFeb 20155 months6 months-2.64%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.45%
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-41.19%
2Sep 2000Sep 20022 years 1 monthAug 200311 months3 years-16.79%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-15.69%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.68%
5Apr 2000May 20002 monthsAug 20003 months5 months-5.15%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-4.11%
7Sep 2014Sep 20141 monthFeb 20155 months6 months-3.50%
8May 2006Jul 20063 monthsOct 20063 months6 months-3.29%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-3.22%
10Jan 2000Jan 20001 monthMar 20002 months3 months-3.12%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-46.02%
2Sep 2000Sep 20022 years 1 monthSep 20064 years6 years 1 month-39.67%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-7.53%
4Jan 2000Feb 20002 monthsMar 20001 month3 months-6.10%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.99%
6Apr 2000May 20002 monthsAug 20003 months5 months-4.43%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.13%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.09%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.91%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.68%
Worst 10 drawdowns included above

Drawdowns for Vanguard Total Stock Mkt Idx Inv

Drawdowns for Vanguard Total Stock Mkt Idx Inv (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%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
4Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
7Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
8May 2006May 20061 monthSep 20064 months5 months-3.23%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
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 Inv4.92%15.31%33.35%-37.04%-50.89%0.280.391.00
VGTSXVanguard Total Intl Stock Index Inv2.61%17.75%40.34%-44.10%-58.50%0.140.200.88
VBMFXVanguard Total Bond Market Index Inv4.96%3.52%11.39%-2.26%-3.99%0.931.55-0.09
VFITXVanguard Interm-Term Treasury Inv5.30%4.78%14.15%-3.09%-4.30%0.771.31-0.30
DFSVXDFA US Small Cap Value I11.27%20.77%59.40%-36.79%-61.18%0.540.820.87
VFINXVanguard 500 Index Investor4.40%14.87%32.18%-37.02%-50.97%0.250.350.99
VFISXVanguard Short-Term Treasury Inv3.32%1.86%8.83%-0.10%-1.46%0.941.76-0.34

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Mkt Idx Inv4.08%12.53%12.53%8.26%14.49%7.11%0.14%0.14%
Vanguard Total Intl Stock Index Inv-1.89%4.65%4.65%-1.41%5.43%0.88%0.17%0.17%
Vanguard Total Bond Market Index Inv-3.19%2.50%2.50%2.83%2.03%4.18%0.15%0.15%
Vanguard Interm-Term Treasury Inv-3.42%1.19%1.19%2.33%1.29%4.41%0.20%0.20%
DFA US Small Cap Value I15.06%28.26%28.26%6.96%16.22%6.82%0.39%0.39%
Vanguard 500 Index Investor3.80%11.82%11.82%8.72%14.49%6.82%0.14%0.14%
Vanguard Short-Term Treasury Inv-0.70%0.99%0.99%0.72%0.55%2.33%0.20%0.20%
Trailing returns as of last calendar month ending December 2016

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXVFITXDFSVXVFINXVFISXPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
VTSMXVanguard Total Stock Mkt Idx Inv1.000.88-0.09-0.300.870.99-0.340.970.960.991.00
VGTSXVanguard Total Intl Stock Index Inv0.881.000.04-0.180.780.87-0.220.960.940.870.88
VBMFXVanguard Total Bond Market Index Inv-0.090.041.000.91-0.13-0.090.760.040.02-0.08-0.09
VFITXVanguard Interm-Term Treasury Inv-0.30-0.180.911.00-0.31-0.290.88-0.18-0.19-0.28-0.30
DFSVXDFA US Small Cap Value I0.870.78-0.13-0.311.000.83-0.310.850.930.830.87
VFINXVanguard 500 Index Investor0.990.87-0.09-0.290.831.00-0.340.960.941.000.99
VFISXVanguard Short-Term Treasury Inv-0.34-0.220.760.88-0.31-0.341.00-0.23-0.22-0.32-0.34

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv$7,094
VGTSXVanguard Total Intl Stock Index Inv$2,449$2,886
VBMFXVanguard Total Bond Market Index Inv$2,567
VFITXVanguard Interm-Term Treasury Inv$3,447
DFSVXDFA US Small Cap Value I$8,594
VFINXVanguard 500 Index Investor$5,079$10,550
VFISXVanguard Short-Term Treasury Inv$581
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTSMXVanguard Total Stock Mkt Idx Inv56.35%
VGTSXVanguard Total Intl Stock Index Inv43.33%33.96%
VBMFXVanguard Total Bond Market Index Inv0.32%
VFITXVanguard Interm-Term Treasury Inv-1.83%
DFSVXDFA US Small Cap Value I39.43%
VFINXVanguard 500 Index Investor28.44%100.45%
VFISXVanguard Short-Term Treasury Inv-0.45%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard Total Stock Mkt Idx Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.91%44.90%-35.01%7.56%48.44%-35.31%5.69%47.58%-38.87%6.51%56.25%-43.18%
3 years6.54%20.55%-10.88%7.83%22.46%-10.23%6.11%22.93%-13.73%6.95%26.60%-16.27%
5 years6.69%17.25%-1.87%7.81%18.73%-2.10%6.06%20.64%-5.38%6.85%23.85%-6.23%
7 years6.25%11.84%1.08%7.23%12.56%2.03%5.37%15.53%-2.81%6.01%17.28%-3.02%
10 years6.22%9.20%2.32%7.18%10.31%4.79%5.31%8.09%-0.98%5.94%9.31%-1.13%
15 years5.67%7.03%4.75%7.12%8.04%6.29%5.13%6.79%3.85%5.74%7.76%4.25%