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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Asset 10
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Portfolio Analysis Results (Nov 2000 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VSCIX Vanguard Small Cap Index I 100.00%
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Portfolio 2
Ticker Name Allocation
VIMSX Vanguard Mid Cap Index Investor 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VEXMX Vanguard Extended Market Index Investor 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$52,030 8.99% 18.57%45.88%-35.98%-53.81% 0.480.690.93
Portfolio 2$10,000$51,632 8.94% 16.49%40.22%-41.82%-54.14% 0.510.740.96
Portfolio 3$10,000$40,835 7.62% 18.20%43.43%-38.73%-52.90% 0.420.580.95
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 18.14%27.40%10.33%8.90%12.83%8.99%
Portfolio 26.83%30.86%12.22%9.12%12.93%8.94%
Portfolio 38.85%27.87%10.94%8.87%12.66%7.62%
Trailing returns are for full months ending in December 2019 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 2000 are based on monthly returns from November to December
  • 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 Small Cap Index I (VSCIX)Vanguard Mid Cap Index Investor (VIMSX)Vanguard Extended Market Index Investor (VEXMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20000.00%-2.51%-0.32%-11.65%$9,749$9,968$8,835-2.51%-0.32%-11.65%
20011.55%3.27%-0.50%-9.17%$10,068$9,918$8,0263.27%-0.50%-9.17%
20022.38%-19.89%-14.61%-18.06%$8,066$8,469$6,576-19.89%-14.61%-18.06%
20031.88%45.88%34.14%43.43%$11,767$11,361$9,43145.88%34.14%43.43%
20043.26%20.06%20.35%18.71%$14,127$13,673$11,19620.06%20.35%18.71%
20053.42%7.56%13.93%10.29%$15,195$15,578$12,3477.56%13.93%10.29%
20062.54%15.82%13.60%14.27%$17,598$17,696$14,11015.82%13.60%14.27%
20074.08%1.29%6.02%4.33%$17,825$18,762$14,7201.29%6.02%4.33%
20080.09%-35.98%-41.82%-38.73%$11,412$10,915$9,020-35.98%-41.82%-38.73%
20092.72%36.40%40.22%37.43%$15,567$15,305$12,39636.40%40.22%37.43%
20101.50%27.95%25.46%27.37%$19,917$19,201$15,78827.95%25.46%27.37%
20112.96%-2.65%-2.11%-3.73%$19,390$18,796$15,199-2.65%-2.11%-3.73%
20121.74%18.26%15.80%18.31%$22,931$21,765$17,98218.26%15.80%18.31%
20131.50%37.80%35.00%38.19%$31,599$29,382$24,84937.80%35.00%38.19%
20140.76%7.53%13.60%7.42%$33,978$33,379$26,6937.53%13.60%7.42%
20150.73%-3.63%-1.46%-3.39%$32,744$32,893$25,787-3.63%-1.46%-3.39%
20162.07%18.32%11.07%15.99%$38,742$36,536$29,90918.32%11.07%15.99%
20172.11%16.25%19.12%17.94%$45,036$43,522$35,27516.25%19.12%17.94%
20181.91%-9.32%-9.34%-9.47%$40,839$39,457$31,934-9.32%-9.34%-9.47%
20192.29%27.40%30.86%27.87%$52,030$51,632$40,83527.40%30.86%27.87%
Annual returns for 2000 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Small Cap Index I (VSCIX)Vanguard Mid Cap Index Investor (VIMSX)Vanguard Extended Market Index Investor (VEXMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200011-10.25%-7.48%-16.99%$8,975$9,252$8,301-10.25%-7.48%-16.99%
2000128.62%7.74%6.45%$9,749$9,968$8,8358.62%7.74%6.45%
200115.25%2.21%5.60%$10,260$10,188$9,3305.25%2.21%5.60%
20012-6.55%-5.69%-12.13%$9,588$9,609$8,198-6.55%-5.69%-12.13%
20013-4.92%-7.47%-9.22%$9,117$8,891$7,442-4.92%-7.47%-9.22%
200147.81%11.05%10.74%$9,829$9,874$8,2417.81%11.05%10.74%
200152.50%2.36%2.34%$10,075$10,107$8,4342.50%2.36%2.34%
200164.18%-0.41%0.86%$10,496$10,065$8,5064.18%-0.41%0.86%
20017-5.30%-1.41%-4.78%$9,939$9,923$8,100-5.30%-1.41%-4.78%
20018-3.23%-3.27%-4.80%$9,618$9,599$7,711-3.23%-3.27%-4.80%
20019-13.45%-12.40%-12.91%$8,325$8,408$6,715-13.45%-12.40%-12.91%
2001105.84%4.46%5.18%$8,811$8,783$7,0635.84%4.46%5.18%
2001117.74%7.39%7.90%$9,493$9,432$7,6217.74%7.39%7.90%
2001126.06%5.15%5.31%$10,068$9,918$8,0266.06%5.15%5.31%
20021-1.06%-0.51%-1.86%$9,961$9,868$7,876-1.06%-0.51%-1.86%
20022-2.65%0.17%-2.82%$9,697$9,885$7,654-2.65%0.17%-2.82%
200238.01%7.07%6.81%$10,474$10,584$8,1758.01%7.07%6.81%
200240.97%-0.48%-1.02%$10,576$10,533$8,0920.97%-0.48%-1.02%
20025-4.37%-1.69%-2.28%$10,114$10,356$7,907-4.37%-1.69%-2.28%
20026-4.52%-7.35%-6.99%$9,657$9,595$7,355-4.52%-7.35%-6.99%
20027-14.99%-9.69%-9.74%$8,209$8,665$6,639-14.99%-9.69%-9.74%
20028-0.25%0.59%0.47%$8,188$8,716$6,670-0.25%0.59%0.47%
20029-7.20%-8.15%-6.83%$7,599$8,005$6,215-7.20%-8.15%-6.83%
2002103.21%4.33%3.41%$7,843$8,352$6,4273.21%4.33%3.41%
2002118.94%5.77%7.03%$8,544$8,834$6,8798.94%5.77%7.03%
200212-5.60%-4.13%-4.40%$8,066$8,469$6,576-5.60%-4.13%-4.40%
20031-2.75%-2.94%-2.19%$7,844$8,221$6,432-2.75%-2.94%-2.19%
20032-3.02%-2.40%-2.62%$7,607$8,024$6,264-3.02%-2.40%-2.62%
200331.29%0.85%1.52%$7,705$8,092$6,3591.29%0.85%1.52%
200349.43%7.20%8.33%$8,431$8,675$6,8899.43%7.20%8.33%
200359.53%7.81%9.53%$9,235$9,352$7,5459.53%7.81%9.53%
200362.01%0.64%2.23%$9,420$9,412$7,7142.01%0.64%2.23%
200375.36%3.01%4.60%$9,925$9,695$8,0685.36%3.01%4.60%
200384.83%4.77%4.18%$10,404$10,158$8,4054.83%4.77%4.18%
20039-1.58%-1.52%-1.34%$10,239$10,004$8,293-1.58%-1.52%-1.34%
2003108.10%7.54%7.66%$11,069$10,758$8,9288.10%7.54%7.66%
2003113.82%2.87%3.46%$11,491$11,067$9,2373.82%2.87%3.46%
2003122.40%2.66%2.11%$11,767$11,361$9,4312.40%2.66%2.11%
200413.94%2.59%3.60%$12,230$11,655$9,7713.94%2.59%3.60%
200421.40%2.23%1.81%$12,402$11,915$9,9481.40%2.23%1.81%
200431.17%-0.22%0.43%$12,547$11,889$9,9901.17%-0.22%0.43%
20044-4.77%-4.08%-4.00%$11,949$11,404$9,591-4.77%-4.08%-4.00%
200451.96%2.66%1.55%$12,183$11,707$9,7391.96%2.66%1.55%
200464.06%2.66%2.69%$12,677$12,019$10,0014.06%2.66%2.69%
20047-5.87%-4.61%-5.62%$11,933$11,465$9,439-5.87%-4.61%-5.62%
20048-0.35%0.08%0.04%$11,892$11,473$9,442-0.35%0.08%0.04%
200494.25%3.77%3.97%$12,396$11,906$9,8174.25%3.77%3.97%
2004102.23%2.98%2.27%$12,672$12,261$10,0402.23%2.98%2.27%
2004117.60%6.99%6.84%$13,635$13,117$10,7267.60%6.99%6.84%
2004123.61%4.24%4.38%$14,127$13,673$11,1963.61%4.24%4.38%
20051-3.54%-2.88%-3.35%$13,627$13,280$10,821-3.54%-2.88%-3.35%
200522.12%3.69%1.85%$13,917$13,769$11,0212.12%3.69%1.85%
20053-2.25%-1.14%-1.78%$13,603$13,612$10,825-2.25%-1.14%-1.78%
20054-4.64%-3.53%-3.46%$12,971$13,131$10,450-4.64%-3.53%-3.46%
200556.21%5.19%5.94%$13,777$13,813$11,0716.21%5.19%5.94%
200563.52%2.91%3.13%$14,261$14,215$11,4173.52%2.91%3.13%
200576.28%5.29%5.63%$15,156$14,967$12,0606.28%5.29%5.63%
20058-1.67%-0.35%-1.12%$14,903$14,915$11,924-1.67%-0.35%-1.12%
200590.74%1.35%0.96%$15,014$15,116$12,0380.74%1.35%0.96%
200510-3.23%-3.18%-2.49%$14,530$14,635$11,738-3.23%-3.18%-2.49%
2005114.60%5.02%4.65%$15,198$15,369$12,2854.60%5.02%4.65%
200512-0.02%1.36%0.51%$15,195$15,578$12,347-0.02%1.36%0.51%
200617.85%5.56%6.71%$16,387$16,444$13,1767.85%5.56%6.71%
20062-0.13%-1.07%-0.88%$16,366$16,267$13,061-0.13%-1.07%-0.88%
200634.18%2.99%3.80%$17,050$16,753$13,5574.18%2.99%3.80%
200640.06%1.00%0.35%$17,061$16,921$13,6040.06%1.00%0.35%
20065-4.93%-3.66%-4.61%$16,220$16,303$12,977-4.93%-3.66%-4.61%
200660.23%-0.22%0.36%$16,257$16,267$13,0240.23%-0.22%0.36%
20067-3.34%-2.28%-3.02%$15,714$15,896$12,631-3.34%-2.28%-3.02%
200682.27%2.00%1.83%$16,071$16,214$12,8612.27%2.00%1.83%
200690.89%1.63%0.95%$16,214$16,479$12,9840.89%1.63%0.95%
2006105.22%3.70%4.86%$17,061$17,089$13,6155.22%3.70%4.86%
2006113.12%3.83%3.68%$17,593$17,743$14,1163.12%3.83%3.68%
2006120.03%-0.26%-0.05%$17,598$17,696$14,1100.03%-0.26%-0.05%
200712.39%3.64%3.39%$18,018$18,340$14,5882.39%3.64%3.39%
20072-0.09%0.00%-0.33%$18,002$18,340$14,540-0.09%0.00%-0.33%
200731.22%0.85%1.15%$18,222$18,497$14,7071.22%0.85%1.15%
200742.69%3.68%2.38%$18,712$19,177$15,0572.69%3.68%2.38%
200754.41%4.34%4.68%$19,537$20,009$15,7614.41%4.34%4.68%
20076-1.60%-1.97%-1.88%$19,224$19,615$15,466-1.60%-1.97%-1.88%
20077-5.75%-4.11%-4.67%$18,119$18,810$14,743-5.75%-4.11%-4.67%
200781.37%0.43%1.09%$18,367$18,891$14,9041.37%0.43%1.09%
200792.14%2.89%3.01%$18,761$19,436$15,3532.14%2.89%3.01%
2007102.64%1.70%2.50%$19,257$19,768$15,7362.64%1.70%2.50%
200711-6.77%-5.02%-6.01%$17,952$18,774$14,791-6.77%-5.02%-6.01%
200712-0.71%-0.07%-0.48%$17,825$18,762$14,720-0.71%-0.07%-0.48%
20081-6.23%-6.52%-6.22%$16,715$17,538$13,805-6.23%-6.52%-6.22%
20082-2.62%-2.27%-2.49%$16,278$17,139$13,462-2.62%-2.27%-2.49%
20083-0.50%-2.04%-1.15%$16,197$16,789$13,308-0.50%-2.04%-1.15%
200845.47%6.70%5.60%$17,083$17,914$14,0535.47%6.70%5.60%
200855.19%4.40%4.91%$17,969$18,702$14,7435.19%4.40%4.91%
20086-8.89%-7.61%-7.49%$16,372$17,279$13,640-8.89%-7.61%-7.49%
200871.67%-3.93%-0.46%$16,646$16,599$13,5771.67%-3.93%-0.46%
200883.15%1.53%2.12%$17,171$16,853$13,8653.15%1.53%2.12%
20089-9.40%-12.91%-11.37%$15,557$14,677$12,289-9.40%-12.91%-11.37%
200810-21.52%-21.93%-21.51%$12,209$11,459$9,646-21.52%-21.93%-21.51%
200811-11.42%-9.18%-11.25%$10,814$10,407$8,560-11.42%-9.18%-11.25%
2008125.53%4.88%5.36%$11,412$10,915$9,0205.53%4.88%5.36%
20091-10.25%-7.03%-8.45%$10,243$10,147$8,257-10.25%-7.03%-8.45%
20092-11.91%-9.57%-10.10%$9,024$9,176$7,423-11.91%-9.57%-10.10%
200939.43%8.86%8.99%$9,874$9,989$8,0909.43%8.86%8.99%
2009418.37%14.18%15.84%$11,688$11,406$9,37218.37%14.18%15.84%
200953.74%4.14%4.33%$12,125$11,878$9,7783.74%4.14%4.33%
200961.15%-0.47%0.69%$12,265$11,822$9,8451.15%-0.47%0.69%
200979.72%9.01%8.93%$13,457$12,887$10,7259.72%9.01%8.93%
200984.45%4.96%3.71%$14,056$13,526$11,1234.45%4.96%3.71%
200996.37%6.23%6.08%$14,951$14,368$11,7996.37%6.23%6.08%
200910-6.59%-4.38%-5.86%$13,966$13,739$11,108-6.59%-4.38%-5.86%
2009113.33%4.92%3.89%$14,431$14,415$11,5403.33%4.92%3.89%
2009127.87%6.17%7.41%$15,567$15,305$12,3967.87%6.17%7.41%
20101-3.35%-3.55%-3.37%$15,046$14,762$11,978-3.35%-3.55%-3.37%
201025.00%5.20%4.78%$15,799$15,529$12,5515.00%5.20%4.78%
201038.08%7.06%7.53%$17,075$16,625$13,4968.08%7.06%7.53%
201045.57%3.60%4.98%$18,026$17,224$14,1685.57%3.60%4.98%
20105-7.79%-7.33%-7.53%$16,622$15,961$13,102-7.79%-7.33%-7.53%
20106-7.56%-6.15%-7.07%$15,365$14,979$12,176-7.56%-6.15%-7.07%
201077.18%6.87%7.07%$16,469$16,008$13,0377.18%6.87%7.07%
20108-6.60%-4.50%-5.73%$15,382$15,288$12,290-6.60%-4.50%-5.73%
2010912.04%10.59%11.36%$17,234$16,906$13,68612.04%10.59%11.36%
2010104.07%4.04%4.21%$17,936$17,589$14,2634.07%4.04%4.21%
2010113.09%2.18%3.17%$18,491$17,973$14,7143.09%2.18%3.17%
2010127.71%6.83%7.30%$19,917$19,201$15,7887.71%6.83%7.30%
201110.89%2.26%1.41%$20,095$19,636$16,0100.89%2.26%1.41%
201125.36%4.00%4.71%$21,171$20,420$16,7635.36%4.00%4.71%
201132.42%1.72%2.19%$21,683$20,772$17,1312.42%1.72%2.19%
201142.96%2.73%2.75%$22,325$21,340$17,6012.96%2.73%2.75%
20115-2.00%-0.44%-1.35%$21,878$21,245$17,364-2.00%-0.44%-1.35%
20116-2.02%-2.40%-2.34%$21,437$20,734$16,958-2.02%-2.40%-2.34%
20117-3.69%-3.47%-3.18%$20,646$20,016$16,419-3.69%-3.47%-3.18%
20118-8.30%-7.04%-8.32%$18,933$18,607$15,052-8.30%-7.04%-8.32%
20119-10.98%-9.86%-11.03%$16,854$16,773$13,391-10.98%-9.86%-11.03%
20111015.26%13.13%14.23%$19,426$18,976$15,29715.26%13.13%14.23%
201111-0.41%-0.65%-0.53%$19,346$18,853$15,217-0.41%-0.65%-0.53%
2011120.23%-0.30%-0.12%$19,390$18,796$15,1990.23%-0.30%-0.12%
201216.98%6.56%7.55%$20,743$20,030$16,3466.98%6.56%7.55%
201223.22%4.30%4.02%$21,411$20,891$17,0033.22%4.30%4.02%
201232.30%1.98%2.25%$21,904$21,304$17,3852.30%1.98%2.25%
20124-0.93%-0.58%-0.82%$21,701$21,180$17,242-0.93%-0.58%-0.82%
20125-6.75%-7.23%-7.06%$20,237$19,649$16,025-6.75%-7.23%-7.06%
201264.51%2.48%3.11%$21,149$20,137$16,5234.51%2.48%3.11%
20127-0.82%0.00%-0.61%$20,975$20,137$16,423-0.82%0.00%-0.61%
201283.49%3.04%3.65%$21,707$20,749$17,0223.49%3.04%3.65%
201292.76%2.07%2.45%$22,305$21,180$17,4392.76%2.07%2.45%
201210-1.46%-1.17%-1.31%$21,980$20,931$17,211-1.46%-1.17%-1.31%
2012111.19%1.51%1.66%$22,241$21,247$17,4971.19%1.51%1.66%
2012123.10%2.44%2.77%$22,931$21,765$17,9823.10%2.44%2.77%
201316.35%6.72%6.76%$24,386$23,228$19,1986.35%6.72%6.76%
201321.36%1.33%1.00%$24,718$23,538$19,3901.36%1.33%1.00%
201334.69%4.38%4.70%$25,876$24,568$20,3014.69%4.38%4.70%
201340.16%1.70%0.60%$25,918$24,985$20,4230.16%1.70%0.60%
201353.63%1.82%2.80%$26,858$25,440$20,9963.63%1.82%2.80%
20136-0.99%-1.18%-1.01%$26,592$25,140$20,784-0.99%-1.18%-1.01%
201376.68%5.63%6.98%$28,367$26,554$22,2356.68%5.63%6.98%
20138-3.17%-2.52%-2.82%$27,468$25,886$21,608-3.17%-2.52%-2.82%
201395.71%4.53%5.99%$29,036$27,058$22,9025.71%4.53%5.99%
2013103.28%3.37%2.81%$29,989$27,969$23,5453.28%3.37%2.81%
2013112.72%2.01%2.48%$30,805$28,531$24,1292.72%2.01%2.48%
2013122.58%2.98%2.98%$31,599$29,382$24,8492.58%2.98%2.98%
20141-2.03%-2.33%-1.85%$30,957$28,697$24,390-2.03%-2.33%-1.85%
201425.05%6.00%5.39%$32,522$30,419$25,7055.05%6.00%5.39%
20143-0.31%-0.31%-0.72%$32,422$30,326$25,520-0.31%-0.31%-0.72%
20144-2.31%-0.84%-2.56%$31,673$30,072$24,866-2.31%-0.84%-2.56%
201451.17%2.31%1.50%$32,045$30,767$25,2391.17%2.31%1.50%
201465.00%2.99%4.44%$33,645$31,687$26,3595.00%2.99%4.44%
20147-4.94%-2.53%-4.42%$31,985$30,884$25,195-4.94%-2.53%-4.42%
201485.00%4.72%4.94%$33,585$32,343$26,4395.00%4.72%4.94%
20149-5.30%-3.21%-5.11%$31,805$31,305$25,088-5.30%-3.21%-5.11%
2014104.47%3.44%4.06%$33,226$32,382$26,1064.47%3.44%4.06%
2014110.99%2.81%1.30%$33,555$33,292$26,4460.99%2.81%1.30%
2014121.26%0.26%0.93%$33,978$33,379$26,6931.26%0.26%0.93%
20151-2.15%-1.99%-1.92%$33,249$32,716$26,180-2.15%-1.99%-1.92%
201525.84%5.99%6.01%$35,189$34,676$27,7555.84%5.99%6.01%
201531.20%0.33%1.23%$35,611$34,790$28,0971.20%0.33%1.23%
20154-1.69%-0.40%-1.54%$35,009$34,651$27,664-1.69%-0.40%-1.54%
201552.03%1.03%1.84%$35,721$35,008$28,1732.03%1.03%1.84%
20156-0.87%-1.81%-0.74%$35,411$34,374$27,965-0.87%-1.81%-0.74%
20157-0.29%1.24%-0.17%$35,307$34,800$27,917-0.29%1.24%-0.17%
20158-5.82%-5.12%-5.89%$33,251$33,018$26,274-5.82%-5.12%-5.89%
20159-4.50%-3.70%-4.83%$31,755$31,797$25,005-4.50%-3.70%-4.83%
2015105.68%6.00%5.55%$33,559$33,704$26,3935.68%6.00%5.55%
2015111.83%0.27%1.73%$34,173$33,794$26,8491.83%0.27%1.73%
201512-4.18%-2.66%-3.96%$32,744$32,893$25,787-4.18%-2.66%-3.96%
20161-7.65%-7.47%-8.84%$30,238$30,436$23,509-7.65%-7.47%-8.84%
201620.92%1.22%0.45%$30,516$30,807$23,6140.92%1.22%0.45%
201638.38%7.98%8.23%$33,072$33,265$25,5588.38%7.98%8.23%
201641.72%0.51%1.70%$33,642$33,436$25,9931.72%0.51%1.70%
201651.95%1.86%1.77%$34,298$34,059$26,4531.95%1.86%1.77%
201660.27%-0.09%-0.13%$34,389$34,027$26,4180.27%-0.09%-0.13%
201675.07%4.62%5.37%$36,133$35,601$27,8375.07%4.62%5.37%
201680.64%0.14%0.86%$36,363$35,651$28,0770.64%0.14%0.86%
201690.39%0.37%0.89%$36,505$35,783$28,3280.39%0.37%0.89%
201610-4.10%-3.08%-3.88%$35,009$34,679$27,228-4.10%-3.08%-3.88%
2016118.62%4.67%7.89%$38,027$36,299$29,3758.62%4.67%7.89%
2016121.88%0.65%1.82%$38,742$36,536$29,9091.88%0.65%1.82%
201711.57%2.98%2.12%$39,350$37,625$30,5421.57%2.98%2.12%
201722.37%3.08%2.44%$40,284$38,784$31,2872.37%3.08%2.44%
20173-0.24%0.01%-0.08%$40,189$38,789$31,263-0.24%0.01%-0.08%
201740.85%1.16%1.12%$40,529$39,238$31,6130.85%1.16%1.12%
20175-1.13%0.91%-0.80%$40,070$39,595$31,362-1.13%0.91%-0.80%
201762.24%0.64%2.31%$40,969$39,848$32,0852.24%0.64%2.31%
201771.11%1.72%1.09%$41,423$40,533$32,4361.11%1.72%1.09%
20178-0.93%-0.58%-0.41%$41,038$40,298$32,304-0.93%-0.58%-0.41%
201794.41%2.25%4.22%$42,850$41,206$33,6694.41%2.25%4.22%
2017101.55%1.44%1.39%$43,514$41,801$34,1371.55%1.44%1.39%
2017113.10%3.14%2.85%$44,862$43,115$35,1103.10%3.14%2.85%
2017120.39%0.94%0.47%$45,036$43,522$35,2750.39%0.94%0.47%
201812.85%4.33%3.35%$46,321$45,408$36,4572.85%4.33%3.35%
20182-4.07%-4.06%-3.81%$44,438$43,563$35,067-4.07%-4.06%-3.81%
201831.14%-0.11%0.71%$44,943$43,516$35,3171.14%-0.11%0.71%
201840.33%-0.17%0.24%$45,090$43,444$35,4000.33%-0.17%0.24%
201855.10%1.76%4.80%$47,388$44,208$37,0985.10%1.76%4.80%
201860.73%0.93%0.87%$47,733$44,619$37,4200.73%0.93%0.87%
201871.84%2.56%1.62%$48,610$45,760$38,0271.84%2.56%1.62%
201884.49%2.52%4.51%$50,791$46,911$39,7414.49%2.52%4.51%
20189-1.53%-0.48%-1.76%$50,013$46,685$39,042-1.53%-0.48%-1.76%
201810-10.08%-8.41%-10.07%$44,970$42,759$35,109-10.08%-8.41%-10.07%
2018112.16%2.39%1.85%$45,940$43,779$35,7602.16%2.39%1.85%
201812-11.10%-9.87%-10.70%$40,839$39,457$31,934-11.10%-9.87%-10.70%
2019111.86%10.55%11.59%$45,684$43,621$35,63611.86%10.55%11.59%
201924.82%4.22%4.96%$47,887$45,463$37,4034.82%4.22%4.96%
20193-0.90%1.30%-1.00%$47,457$46,055$37,029-0.90%1.30%-1.00%
201943.61%3.74%3.65%$49,168$47,776$38,3813.61%3.74%3.65%
20195-7.25%-6.06%-6.96%$45,603$44,880$35,710-7.25%-6.06%-6.96%
201967.05%7.07%6.81%$48,818$48,052$38,1407.05%7.07%6.81%
201971.27%1.31%1.62%$49,436$48,683$38,7591.27%1.31%1.62%
20198-4.01%-2.72%-4.19%$47,453$47,357$37,136-4.01%-2.72%-4.19%
201991.39%2.06%1.02%$48,111$48,332$37,5141.39%2.06%1.02%
2019101.60%1.07%1.90%$48,881$48,849$38,2281.60%1.07%1.90%
2019114.16%3.22%4.57%$50,915$50,423$39,9744.16%3.22%4.57%
2019122.19%2.40%2.15%$52,030$51,632$40,8352.19%2.40%2.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%5.43%0.00%
Large-cap Growth0.00%14.09%0.00%
Mid-cap Value14.03%29.33%16.03%
Mid-cap Growth28.97%42.27%43.02%
Small-cap Value37.06%0.00%21.99%
Small-cap Growth16.12%0.00%12.96%
Global ex-US Developed Markets0.60%5.62%3.45%
Emerging Markets3.23%3.27%2.54%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared98.54%98.31%98.59%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VSCIXVanguard Small Cap Index ISmall Blend100.00%0.04%20.31$42,030100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VIMSXVanguard Mid Cap Index InvestorMid-Cap Blend100.00%0.17%24.61$41,632100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VEXMXVanguard Extended Market Index InvestorMid-Cap Blend100.00%0.19%23.50$30,835100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (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
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.86%0.83%0.75%
Arithmetic Mean (annualized)10.89%10.44%9.43%
Geometric Mean (monthly)0.72%0.72%0.61%
Geometric Mean (annualized)8.99%8.94%7.62%
Volatility (monthly)5.36%4.76%5.25%
Volatility (annualized)18.57%16.49%18.20%
Downside Deviation (monthly)3.65%3.26%3.69%
Max. Drawdown-53.81%-54.14%-52.90%
US Market Correlation0.930.960.95
Beta(*)1.171.071.17
Alpha (annualized)1.46%1.84%0.13%
R287.39%92.34%91.00%
Sharpe Ratio0.480.510.42
Sortino Ratio0.690.740.58
Treynor Ratio (%)7.637.986.49
Calmar Ratio0.530.770.56
Active Return2.27%2.22%0.90%
Tracking Error7.04%4.66%6.00%
Information Ratio0.320.480.15
Skewness-0.55-0.73-0.71
Excess Kurtosis1.482.201.63
Historical Value-at-Risk (5%)-9.12%-7.54%-9.45%
Analytical Value-at-Risk (5%)-7.95%-7.00%-7.89%
Conditional Value-at-Risk (5%)-12.31%-10.87%-12.53%
Upside Capture Ratio (%)124.23113.31119.89
Downside Capture Ratio (%)115.12103.36117.02
Safe Withdrawal Rate7.49%7.40%6.02%
Perpetual Withdrawal Rate6.10%6.06%4.96%
Positive Periods146 out of 230 (63.48%)143 out of 230 (62.17%)144 out of 230 (62.61%)
Gain/Loss Ratio0.870.940.87
* 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 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-53.14%-53.58%-52.83%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-53.81%
2May 2002Sep 20025 monthsOct 20031 year 1 month1 year 6 months-28.15%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-24.51%
4Jul 2001Sep 20013 monthsApr 20027 months10 months-20.69%
5Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.59%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-15.35%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-11.14%
8Nov 2000Nov 20001 monthJan 20012 months3 months-10.25%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-8.18%
10May 2006Jul 20063 monthsNov 20064 months7 months-7.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-54.14%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.36%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.40%
4Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-17.47%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-15.89%
6Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.06%
7Nov 2000Nov 20001 monthJan 20012 months3 months-7.48%
8May 2019May 20191 monthJun 20191 month2 months-6.06%
9May 2006Jul 20063 monthsOct 20063 months6 months-6.06%
10Mar 2005Apr 20052 monthsMay 20051 month3 months-4.63%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-52.90%
2Nov 2000Sep 20021 year 11 monthsJun 20041 year 9 months3 years 8 months-37.85%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-23.92%
4Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-19.64%
5Jun 2015Jan 20168 monthsSep 20168 months1 year 4 months-16.56%
6May 2006Jul 20063 monthsOct 20063 months6 months-7.16%
7Jan 2005Apr 20054 monthsJun 20052 months6 months-6.66%
8Jul 2004Jul 20041 monthOct 20043 months4 months-5.62%
9Sep 2014Sep 20141 monthNov 20142 months3 months-5.11%
10Jul 2014Jul 20141 monthAug 20141 month2 months-4.42%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSCIXVanguard Small Cap Index I8.99%18.57%45.88%-35.98%-53.81%0.480.690.93
VIMSXVanguard Mid Cap Index Investor8.94%16.49%40.22%-41.82%-54.14%0.510.740.96
VEXMXVanguard Extended Market Index Investor7.62%18.20%43.43%-38.73%-52.90%0.420.580.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSCIXVIMSXVEXMXPortfolio 1Portfolio 2Portfolio 3
VSCIXVanguard Small Cap Index I1.000.970.981.000.970.98
VIMSXVanguard Mid Cap Index Investor0.971.000.970.971.000.97
VEXMXVanguard Extended Market Index Investor0.980.971.000.980.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSCIXVanguard Small Cap Index I$42,030
VIMSXVanguard Mid Cap Index Investor$41,632
VEXMXVanguard Extended Market Index Investor$30,835

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VSCIXVanguard Small Cap Index I100.00%
VIMSXVanguard Mid Cap Index Investor100.00%
VEXMXVanguard Extended Market Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.18%45.88%-35.98%11.02%40.22%-41.82%10.47%43.43%-38.73%
3 years10.16%23.50%-9.10%9.93%22.52%-11.18%9.75%23.37%-9.94%
5 years9.71%22.59%-0.61%9.55%21.90%-0.80%9.36%22.47%-0.89%
7 years9.51%16.25%1.81%9.24%17.07%1.38%9.16%16.19%1.68%
10 years9.71%13.60%6.77%9.33%13.71%6.60%9.31%13.48%5.98%
15 years9.54%12.15%8.41%9.36%11.53%8.28%9.18%11.85%7.40%
Result statistics are based on annualized rolling returns over full calendar year periods