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 (Jan 2000 - Dec 2020)

Portfolio Allocations

Int'l equities (VGTSX)
Ticker Name Allocation
VGTSX Vanguard Total Intl Stock Index Inv 100.00%
Save portfolio »
US equities (VTSMX)
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Long treasurys (VUSTX)
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Int'l equities (VGTSX)$10,000$22,812 4.01% 17.47%40.34%-44.10%-58.50% 0.220.310.88
US equities (VTSMX)$10,000$40,991 6.95% 15.67%33.35%-37.04%-50.89% 0.410.581.00
Long treasurys (VUSTX)$10,000$46,544 7.60% 10.89%29.28%-13.03%-16.68% 0.581.00-0.30
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Int'l equities (VGTSX)16.87%11.16%4.92%9.02%5.05%4.01%18.61%15.54%
US equities (VTSMX)14.65%20.87%14.37%15.30%13.66%6.95%19.67%16.01%
Long treasurys (VUSTX)-2.65%18.29%9.81%7.79%7.64%7.60%12.59%11.54%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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
YearInflationInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
20003.39%-15.61%$8,439-10.57%$8,94319.72%$11,972-15.61%-10.57%19.72%
20011.55%-20.15%$6,738-10.97%$7,9624.31%$12,488-20.15%-10.97%4.31%
20022.38%-15.08%$5,722-20.96%$6,29316.67%$14,570-15.08%-20.96%16.67%
20031.88%40.34%$8,03031.35%$8,2662.68%$14,96040.34%31.35%2.68%
20043.26%20.84%$9,70312.51%$9,3017.12%$16,02520.84%12.51%7.12%
20053.42%15.57%$11,2145.98%$9,8576.61%$17,08415.57%5.98%6.61%
20062.54%26.64%$14,20115.51%$11,3861.74%$17,38226.64%15.51%1.74%
20074.08%15.52%$16,4055.49%$12,0119.24%$18,98915.52%5.49%9.24%
20080.09%-44.10%$9,170-37.04%$7,56222.52%$23,264-44.10%-37.04%22.52%
20092.72%36.73%$12,53828.70%$9,732-12.05%$20,46136.73%28.70%-12.05%
20101.50%11.12%$13,93317.09%$11,3968.93%$22,28911.12%17.09%8.93%
20112.96%-14.56%$11,9030.96%$11,50629.28%$28,814-14.56%0.96%29.28%
20121.74%18.14%$14,06316.25%$13,3763.47%$29,81318.14%16.25%3.47%
20131.50%15.04%$16,17933.35%$17,836-13.03%$25,92915.04%33.35%-13.03%
20140.76%-4.24%$15,49312.43%$20,05325.28%$32,483-4.24%12.43%25.28%
20150.73%-4.37%$14,8150.29%$20,112-1.54%$31,984-4.37%0.29%-1.54%
20162.07%4.65%$15,50512.53%$22,6331.20%$32,3684.65%12.53%1.20%
20172.11%27.40%$19,75221.05%$27,3988.58%$35,14627.40%21.05%8.58%
20181.91%-14.44%$16,900-5.26%$25,958-1.90%$34,477-14.44%-5.26%-1.90%
20192.29%21.43%$20,52130.65%$33,91314.13%$39,34721.43%30.65%14.13%
20201.36%11.16%$22,81220.87%$40,99118.29%$46,54411.16%20.87%18.29%
Monthly returns for the configured portfolios
YearMonthInt'l equities (VGTSX) ReturnUS equities (VTSMX) ReturnLong treasurys (VUSTX) ReturnVanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
20001-6.22%-4.18%1.25%-6.22%-4.18%1.25%
200022.83%2.54%2.96%2.83%2.54%2.96%
200033.48%5.69%3.14%3.48%5.69%3.14%
20004-5.41%-5.21%-0.66%-5.41%-5.21%-0.66%
20005-2.67%-3.41%-0.46%-2.67%-3.41%-0.46%
200064.27%4.42%2.30%4.27%4.42%2.30%
20007-4.46%-1.95%1.49%-4.46%-1.95%1.49%
200081.00%7.28%2.08%1.00%7.28%2.08%
20009-5.00%-4.67%-0.85%-5.00%-4.67%-0.85%
200010-3.03%-2.04%1.57%-3.03%-2.04%1.57%
200011-4.44%-9.90%2.99%-4.44%-9.90%2.99%
2000123.72%1.78%2.45%3.72%1.78%2.45%
200111.10%3.83%0.28%1.10%3.83%0.28%
20012-7.61%-9.41%1.80%-7.61%-9.41%1.80%
20013-7.15%-6.72%-0.60%-7.15%-6.72%-0.60%
200147.89%8.16%-2.56%7.89%8.16%-2.56%
20015-3.52%1.01%0.21%-3.52%1.01%0.21%
20016-3.84%-1.64%0.76%-3.84%-1.64%0.76%
20017-2.43%-1.71%3.61%-2.43%-1.71%3.61%
20018-2.30%-6.00%2.02%-2.30%-6.00%2.02%
20019-10.73%-9.00%0.88%-10.73%-9.00%0.88%
2001102.97%2.52%5.12%2.97%2.52%5.12%
2001113.56%7.63%-4.98%3.56%7.63%-4.98%
2001121.35%1.78%-1.91%1.35%1.78%-1.91%
20021-4.63%-1.24%1.20%-4.63%-1.24%1.20%
200220.90%-2.05%1.24%0.90%-2.05%1.24%
200235.71%4.38%-3.86%5.71%4.38%-3.86%
200240.42%-4.90%3.73%0.42%-4.90%3.73%
200251.16%-1.22%0.39%1.16%-1.22%0.39%
20026-4.28%-7.06%1.76%-4.28%-7.06%1.76%
20027-9.80%-8.02%2.93%-9.80%-8.02%2.93%
20028-0.12%0.53%4.28%-0.12%0.53%4.28%
20029-10.88%-10.07%4.02%-10.88%-10.07%4.02%
2002105.70%7.65%-2.84%5.70%7.65%-2.84%
2002114.75%6.06%-0.98%4.75%6.06%-0.98%
200212-3.43%-5.57%4.05%-3.43%-5.57%4.05%
20031-3.76%-2.54%-0.45%-3.76%-2.54%-0.45%
20032-2.42%-1.69%3.03%-2.42%-1.69%3.03%
20033-1.93%1.09%-1.13%-1.93%1.09%-1.13%
200349.70%8.21%0.91%9.70%8.21%0.91%
200356.15%6.11%5.67%6.15%6.11%5.67%
200362.66%1.43%-1.48%2.66%1.43%-1.48%
200373.18%2.36%-8.57%3.18%2.36%-8.57%
200382.51%2.39%1.43%2.51%2.39%1.43%
200392.78%-1.15%5.07%2.78%-1.15%5.07%
2003106.49%6.12%-2.58%6.49%6.12%-2.58%
2003112.13%1.38%0.31%2.13%1.38%0.31%
2003127.80%4.48%1.23%7.80%4.48%1.23%
200411.60%2.23%1.74%1.60%2.23%1.74%
200422.50%1.43%1.96%2.50%1.43%1.96%
200430.45%-1.07%1.45%0.45%-1.07%1.45%
20044-3.14%-2.11%-5.52%-3.14%-2.11%-5.52%
200450.46%1.35%-0.56%0.46%1.35%-0.56%
200462.40%2.09%0.87%2.40%2.09%0.87%
20047-3.34%-3.80%1.52%-3.34%-3.80%1.52%
200480.75%0.31%3.39%0.75%0.31%3.39%
200492.96%1.74%0.94%2.96%1.74%0.94%
2004103.24%1.68%1.46%3.24%1.68%1.46%
2004117.23%4.68%-2.25%7.23%4.68%-2.25%
2004124.44%3.63%2.22%4.44%3.63%2.22%
20051-1.67%-2.68%2.59%-1.67%-2.68%2.59%
200524.68%2.07%-1.24%4.68%2.07%-1.24%
20053-2.93%-1.75%-0.76%-2.93%-1.75%-0.76%
20054-2.07%-2.32%3.22%-2.07%-2.32%3.22%
200550.08%3.77%2.55%0.08%3.77%2.55%
200561.30%0.81%1.64%1.30%0.81%1.64%
200573.68%4.11%-2.58%3.68%4.11%-2.58%
200582.85%-0.94%2.87%2.85%-0.94%2.87%
200594.73%0.86%-2.78%4.73%0.86%-2.78%
200510-3.37%-1.86%-1.74%-3.37%-1.86%-1.74%
2005112.67%3.97%0.57%2.67%3.97%0.57%
2005125.14%0.14%2.33%5.14%0.14%2.33%
200616.87%3.50%-0.90%6.87%3.50%-0.90%
20062-0.72%0.00%0.81%-0.72%0.00%0.81%
200633.17%1.80%-3.39%3.17%1.80%-3.39%
200645.12%1.11%-1.96%5.12%1.11%-1.96%
20065-4.45%-3.23%-0.03%-4.45%-3.23%-0.03%
20066-0.38%0.17%0.71%-0.38%0.17%0.71%
200671.15%-0.13%1.84%1.15%-0.13%1.84%
200682.53%2.31%2.74%2.53%2.31%2.74%
200690.25%2.27%1.58%0.25%2.27%1.58%
2006104.00%3.53%0.77%4.00%3.53%0.77%
2006113.73%2.23%1.91%3.73%2.23%1.91%
2006123.09%1.13%-2.14%3.09%1.13%-2.14%
200710.96%1.88%-0.85%0.96%1.88%-0.85%
200720.06%-1.61%2.93%0.06%-1.61%2.93%
200732.80%1.11%-1.13%2.80%1.11%-1.13%
200743.92%4.01%0.86%3.92%4.01%0.86%
200753.09%3.69%-1.93%3.09%3.69%-1.93%
200760.61%-1.67%-0.88%0.61%-1.67%-0.88%
20077-1.06%-3.41%2.39%-1.06%-3.41%2.39%
20078-0.72%1.45%1.97%-0.72%1.45%1.97%
200796.38%3.59%0.21%6.38%3.59%0.21%
2007105.90%1.85%1.40%5.90%1.85%1.40%
200711-4.57%-4.49%4.59%-4.57%-4.49%4.59%
200712-2.28%-0.60%-0.48%-2.28%-0.60%-0.48%
20081-8.55%-6.08%2.64%-8.55%-6.08%2.64%
200820.33%-3.07%0.35%0.33%-3.07%0.35%
20083-0.71%-0.58%1.02%-0.71%-0.58%1.02%
200845.85%5.02%-1.84%5.85%5.02%-1.84%
200851.51%2.09%-2.13%1.51%2.09%-2.13%
20086-8.99%-8.19%1.80%-8.99%-8.19%1.80%
20087-3.67%-0.77%0.30%-3.67%-0.77%0.30%
20088-5.10%1.58%1.80%-5.10%1.58%1.80%
20089-13.09%-9.26%0.28%-13.09%-9.26%0.28%
200810-22.09%-17.63%-3.63%-22.09%-17.63%-3.63%
200811-6.29%-7.90%12.07%-6.29%-7.90%12.07%
2008128.16%1.86%8.87%8.16%1.86%8.87%
20091-11.96%-8.26%-8.47%-11.96%-8.26%-8.47%
20092-9.58%-10.45%-1.01%-9.58%-10.45%-1.01%
200939.31%8.65%5.27%9.31%8.65%5.27%
2009412.78%10.61%-4.99%12.78%10.61%-4.99%
2009514.35%5.38%-2.68%14.35%5.38%-2.68%
20096-1.32%0.34%0.70%-1.32%0.34%0.70%
200979.96%7.82%0.80%9.96%7.82%0.80%
200983.50%3.63%1.68%3.50%3.63%1.68%
200995.15%4.23%1.98%5.15%4.23%1.98%
200910-2.17%-2.57%-1.45%-2.17%-2.57%-1.45%
2009113.86%5.63%1.91%3.86%5.63%1.91%
2009121.53%2.86%-5.66%1.53%2.86%-5.66%
20101-5.07%-3.50%2.66%-5.07%-3.50%2.66%
201020.22%3.36%-0.21%0.22%3.36%-0.21%
201036.71%6.27%-1.51%6.71%6.27%-1.51%
20104-1.71%2.17%2.76%-1.71%2.17%2.76%
20105-10.78%-8.00%4.23%-10.78%-8.00%4.23%
20106-1.17%-5.66%4.67%-1.17%-5.66%4.67%
2010710.33%6.99%-0.17%10.33%6.99%-0.17%
20108-3.22%-4.75%7.08%-3.22%-4.75%7.08%
2010910.41%9.47%-1.82%10.41%9.47%-1.82%
2010103.55%3.94%-3.29%3.55%3.94%-3.29%
201011-4.52%0.58%-1.60%-4.52%0.58%-1.60%
2010128.34%6.81%-3.58%8.34%6.81%-3.58%
201110.70%2.19%-2.38%0.70%2.19%-2.38%
201122.71%3.60%1.24%2.71%3.60%1.24%
20113-0.43%0.45%0.02%-0.43%0.45%0.02%
201145.24%2.99%2.04%5.24%2.99%2.04%
20115-2.87%-1.16%3.29%-2.87%-1.16%3.29%
20116-1.51%-1.79%-2.00%-1.51%-1.79%-2.00%
20117-1.53%-2.28%4.18%-1.53%-2.28%4.18%
20118-8.45%-5.99%8.68%-8.45%-5.99%8.68%
20119-12.29%-7.75%10.16%-12.29%-7.75%10.16%
20111010.22%11.51%-3.34%10.22%11.51%-3.34%
201111-2.88%-0.29%1.82%-2.88%-0.29%1.82%
201112-2.64%0.80%3.13%-2.64%0.80%3.13%
201217.27%5.08%0.08%7.27%5.08%0.08%
201225.14%4.26%-2.11%5.14%4.26%-2.11%
20123-0.75%3.07%-3.77%-0.75%3.07%-3.77%
20124-1.78%-0.65%4.37%-1.78%-0.65%4.37%
20125-11.14%-6.24%7.79%-11.14%-6.24%7.79%
201266.03%3.91%-1.44%6.03%3.91%-1.44%
201270.44%1.03%3.32%0.44%1.03%3.32%
201282.72%2.48%-1.06%2.72%2.48%-1.06%
201293.62%2.58%-2.10%3.62%2.58%-2.10%
2012100.56%-1.76%-0.43%0.56%-1.76%-0.43%
2012111.82%0.74%1.35%1.82%0.74%1.35%
2012124.17%1.19%-1.99%4.17%1.19%-1.99%
201313.34%5.50%-3.27%3.34%5.50%-3.27%
20132-1.23%1.28%1.26%-1.23%1.28%1.26%
201330.77%3.88%0.03%0.77%3.88%0.03%
201343.58%1.70%3.87%3.58%1.70%3.87%
20135-2.95%2.32%-6.23%-2.95%2.32%-6.23%
20136-3.75%-1.27%-3.26%-3.75%-1.27%-3.26%
201374.56%5.49%-1.93%4.56%5.49%-1.93%
20138-1.63%-2.82%-1.28%-1.63%-2.82%-1.28%
201397.21%3.66%0.88%7.21%3.66%0.88%
2013103.41%4.22%1.32%3.41%4.22%1.32%
2013110.12%2.88%-2.49%0.12%2.88%-2.49%
2013121.25%2.63%-2.37%1.25%2.63%-2.37%
20141-4.78%-3.11%6.26%-4.78%-3.11%6.26%
201425.39%4.73%0.60%5.39%4.73%0.60%
201430.41%0.51%0.63%0.41%0.51%0.63%
201441.31%0.06%1.82%1.31%0.06%1.82%
201451.88%2.17%2.73%1.88%2.17%2.73%
201461.74%2.54%-0.16%1.74%2.54%-0.16%
20147-1.61%-1.98%0.59%-1.61%-1.98%0.59%
201481.05%4.18%4.23%1.05%4.18%4.23%
20149-5.01%-2.14%-1.99%-5.01%-2.14%-1.99%
201410-0.31%2.74%2.61%-0.31%2.74%2.61%
201411-0.25%2.41%2.86%-0.25%2.41%2.86%
201412-3.65%-0.01%2.82%-3.65%-0.01%2.82%
201510.13%-2.77%8.97%0.13%-2.77%8.97%
201525.52%5.76%-5.66%5.52%5.76%-5.66%
20153-1.54%-1.04%1.13%-1.54%-1.04%1.13%
201545.08%0.42%-3.07%5.08%0.42%-3.07%
20155-0.94%1.39%-2.16%-0.94%1.39%-2.16%
20156-2.69%-1.71%-3.73%-2.69%-1.71%-3.73%
20157-0.80%1.63%4.21%-0.80%1.63%4.21%
20158-7.29%-6.03%-0.71%-7.29%-6.03%-0.71%
20159-3.90%-2.93%1.91%-3.90%-2.93%1.91%
2015106.26%7.84%-0.48%6.26%7.84%-0.48%
201511-1.32%0.54%-0.81%-1.32%0.54%-0.81%
201512-2.07%-2.03%-0.34%-2.07%-2.03%-0.34%
20161-5.59%-5.67%5.24%-5.59%-5.67%5.24%
20162-2.27%-0.04%2.86%-2.27%-0.04%2.86%
201638.19%7.01%0.05%8.19%7.01%0.05%
201642.22%0.63%-0.63%2.22%0.63%-0.63%
20165-1.02%1.79%0.69%-1.02%1.79%0.69%
20166-0.94%0.23%6.57%-0.94%0.23%6.57%
201674.41%3.95%2.01%4.41%3.95%2.01%
201680.74%0.26%-1.00%0.74%0.26%-1.00%
201691.37%0.15%-1.32%1.37%0.15%-1.32%
201610-1.72%-2.21%-4.23%-1.72%-2.21%-4.23%
201611-2.15%4.44%-7.86%-2.15%4.44%-7.86%
2016122.02%1.92%-0.35%2.02%1.92%-0.35%
201713.87%1.91%0.65%3.87%1.91%0.65%
201721.50%3.71%1.57%1.50%3.71%1.57%
201732.82%0.07%-0.59%2.82%0.07%-0.59%
201742.20%1.05%1.58%2.20%1.05%1.58%
201753.01%1.01%1.73%3.01%1.01%1.73%
201760.52%0.92%0.63%0.52%0.92%0.63%
201773.42%1.87%-0.59%3.42%1.87%-0.59%
201780.64%0.15%3.27%0.64%0.15%3.27%
201791.81%2.45%-2.27%1.81%2.45%-2.27%
2017101.94%2.16%-0.02%1.94%2.16%-0.02%
2017110.78%3.04%0.63%0.78%3.04%0.63%
2017122.01%0.99%1.78%2.01%0.99%1.78%
201815.59%5.31%-3.40%5.59%5.31%-3.40%
20182-5.14%-3.72%-2.89%-5.14%-3.72%-2.89%
20183-0.64%-1.99%2.75%-0.64%-1.99%2.75%
201840.83%0.38%-2.04%0.83%0.38%-2.04%
20185-1.92%2.79%1.79%-1.92%2.79%1.79%
20186-2.08%0.68%0.66%-2.08%0.68%0.66%
201872.48%3.34%-1.28%2.48%3.34%-1.28%
20188-2.19%3.44%1.18%-2.19%3.44%1.18%
201890.30%0.16%-2.74%0.30%0.16%-2.74%
201810-8.35%-7.40%-2.82%-8.35%-7.40%-2.82%
2018111.26%2.06%1.78%1.26%2.06%1.78%
201812-4.85%-9.29%5.50%-4.85%-9.29%5.50%
201917.58%8.59%0.49%7.58%8.59%0.49%
201921.72%3.50%-1.31%1.72%3.50%-1.31%
201930.72%1.44%5.47%0.72%1.44%5.47%
201942.76%3.98%-1.88%2.76%3.98%-1.88%
20195-5.55%-6.45%6.65%-5.55%-6.45%6.65%
201965.83%6.97%1.01%5.83%6.97%1.01%
20197-1.89%1.44%0.22%-1.89%1.44%0.22%
20198-2.35%-2.03%10.68%-2.35%-2.03%10.68%
201992.72%1.70%-2.62%2.72%1.70%-2.62%
2019103.38%2.10%-1.10%3.38%2.10%-1.10%
2019111.11%3.77%-0.39%1.11%3.77%-0.39%
2019124.27%2.85%-3.00%4.27%2.85%-3.00%
20201-3.30%-0.08%7.29%-3.30%-0.08%7.29%
20202-6.72%-8.18%6.58%-6.72%-8.18%6.58%
20203-16.11%-13.78%5.67%-16.11%-13.78%5.67%
202048.09%13.25%1.81%8.09%13.25%1.81%
202054.80%5.38%-1.67%4.80%5.38%-1.67%
202064.24%2.28%0.40%4.24%2.28%0.40%
202074.10%5.64%4.17%4.10%5.64%4.17%
202084.31%7.18%-4.71%4.31%7.18%-4.71%
20209-1.96%-3.57%0.78%-1.96%-3.57%0.78%
202010-2.21%-2.16%-3.19%-2.21%-2.16%-3.19%
20201112.93%12.19%1.53%12.93%12.19%1.53%
2020125.82%4.45%-0.95%5.82%4.45%-0.95%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
Large-cap Value0.00%35.23%0.00%
Large-cap Growth0.43%46.60%0.06%
Mid-cap Value3.24%4.20%0.00%
Mid-cap Growth0.00%6.58%0.16%
Small-cap Value0.00%3.71%0.00%
Small-cap Growth0.00%2.72%0.00%
Global ex-US Developed Markets72.82%0.68%0.00%
Emerging Markets22.20%0.28%1.20%
Corporate Bonds1.31%0.00%0.00%
Long-Term Treasuries0.00%0.00%76.38%
Intermediate-Term Treasuries0.00%0.00%22.21%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.46%99.84%98.16%
Style analysis is based on monthly returns from April 2005 to December 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 Int'l equities (VGTSX)

Holdings Based Style Analysis for Int'l equities (VGTSX)
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend100.00%2.05%0.17%19.77$12,812100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for US equities (VTSMX)

Holdings Based Style Analysis for US equities (VTSMX)
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.28%0.14%27.94$30,991100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Long treasurys (VUSTX)

Holdings Based Style Analysis for Long treasurys (VUSTX)
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%1.51%0.20%18.49$36,544100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/26/2021. (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
MetricInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
Arithmetic Mean (monthly)0.46%0.66%0.66%
Arithmetic Mean (annualized)5.63%8.28%8.22%
Geometric Mean (monthly)0.33%0.56%0.61%
Geometric Mean (annualized)4.01%6.95%7.60%
Volatility (monthly)5.04%4.52%3.14%
Volatility (annualized)17.47%15.67%10.89%
Downside Deviation (monthly)3.57%3.12%1.78%
Max. Drawdown-58.50%-50.89%-16.68%
US Market Correlation0.881.00-0.30
Beta(*)0.981.00-0.21
Alpha (annualized)-2.36%0.00%9.61%
R277.85%100.00%9.23%
Sharpe Ratio0.220.410.58
Sortino Ratio0.310.581.00
Treynor Ratio (%)3.966.38-30.00
Calmar Ratio0.190.691.13
Active Return-2.94%-0.00%0.65%
Tracking Error8.23%0.00%21.63%
Information Ratio-0.36-0.000.03
Skewness-0.60-0.570.35
Excess Kurtosis1.741.191.27
Historical Value-at-Risk (5%)-8.50%-8.01%-3.75%
Analytical Value-at-Risk (5%)-7.84%-6.78%-4.51%
Conditional Value-at-Risk (5%)-12.00%-10.11%-5.73%
Upside Capture Ratio (%)91.39100.00-1.10
Downside Capture Ratio (%)104.39100.00-48.22
Safe Withdrawal Rate4.56%4.75%8.33%
Perpetual Withdrawal Rate1.83%4.53%5.11%
Positive Periods148 out of 252 (58.73%)162 out of 252 (64.29%)150 out of 252 (59.52%)
Gain/Loss Ratio0.890.801.18
* 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 PeriodStartEndInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
Dotcom CrashMar 2000Oct 2002-46.38%-44.11%-8.18%
Subprime CrisisNov 2007Mar 2009-58.50%-50.89%-9.39%

Drawdowns for Int'l equities (VGTSX)

Drawdowns for Int'l equities (VGTSX)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.50%
2Jan 2000Mar 20033 years 3 monthsAug 20052 years 5 months5 years 8 months-47.30%
3Feb 2018Mar 20202 years 2 monthsNov 20208 months2 years 10 months-25.55%
4May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
5Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
6Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
7Feb 2006Feb 20061 monthMar 20061 month2 months-0.72%

Drawdowns for US equities (VTSMX)

Drawdowns for US equities (VTSMX) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
8May 2019May 20191 monthJun 20191 month2 months-6.45%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-5.65%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Long treasurys (VUSTX)

Drawdowns for Long treasurys (VUSTX) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
6Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
7Nov 2001Mar 20025 monthsJul 20024 months9 months-8.18%
8Aug 2020Oct 20203 months-7.03%
9Sep 2005May 20069 monthsOct 20065 months1 year 2 months-7.00%
10Sep 2019Dec 20194 monthsFeb 20202 months6 months-6.95%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGTSXVanguard Total Intl Stock Index Inv4.01%17.47%40.34%-44.10%-58.50%0.220.310.88
VTSMXVanguard Total Stock Mkt Idx Inv6.95%15.67%33.35%-37.04%-50.89%0.410.581.00
VUSTXVanguard Long-Term Treasury Inv7.60%10.89%29.28%-13.03%-16.68%0.581.00-0.30

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGTSXVTSMXVUSTXInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
VGTSXVanguard Total Intl Stock Index Inv1.000.88-0.241.000.88-0.24
VTSMXVanguard Total Stock Mkt Idx Inv0.881.00-0.300.881.00-0.30
VUSTXVanguard Long-Term Treasury Inv-0.24-0.301.00-0.24-0.301.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
VGTSXVanguard Total Intl Stock Index Inv$12,812
VTSMXVanguard Total Stock Mkt Idx Inv$30,991
VUSTXVanguard Long-Term Treasury Inv$36,544

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
VGTSXVanguard Total Intl Stock Index Inv100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VUSTXVanguard Long-Term Treasury Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodInt'l equities (VGTSX)US equities (VTSMX)Long treasurys (VUSTX)
AverageHighLowAverageHighLowAverageHighLow
1 year5.76%63.40%-51.50%7.83%56.25%-43.18%8.00%36.79%-13.45%
3 years5.74%32.56%-19.17%7.97%26.60%-16.27%6.77%14.32%-1.38%
5 years5.85%25.48%-5.94%8.14%23.85%-6.23%6.67%12.07%1.79%
7 years5.41%13.43%-1.24%8.02%17.28%-3.02%6.73%9.41%2.19%
10 years5.00%10.62%0.88%7.93%16.73%-1.13%6.92%9.08%4.01%
15 years5.54%9.28%2.96%7.96%10.87%4.25%6.68%8.70%5.22%