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 
Asset 1
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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 (Jan 2005 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 70.00%
TLT iShares 20+ Year Treasury Bond ETF 30.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 50.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
VNQ Vanguard Real Estate ETF 25.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 50.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
GLD SPDR Gold Shares 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$464,726 27.93% 9.52%10.80%9.78%25.71%-15.71%-31.45%
(-21.96%)
0.851.270.91
Portfolio 2$10,000$435,810 27.41% 9.10%10.07%11.79%26.08%-19.26%-39.37%
(-26.28%)
0.691.000.87
Portfolio 3$10,000$442,146 27.53% 9.86%10.23%8.93%23.33%-8.78%-19.20%
(-19.20%)
0.961.600.73
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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 2020 are based on monthly returns from January to July
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $10,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Real Estate ETF (VNQ)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20053.42%7.00%8.29%9.75%$21,041$21,171$21,316$10,3426.31%8.61%11.94%17.76%
20062.54%11.20%16.85%13.66%$34,002$35,342$34,833$10,60415.69%0.71%35.30%22.55%
20074.08%6.85%1.13%12.87%$47,367$46,779$50,353$11,0375.37%10.29%-16.50%30.45%
20080.09%-15.71%-19.26%-8.78%$50,975$48,819$56,982$11,047-36.98%33.93%-37.00%4.92%
20092.72%13.68%16.51%15.00%$69,299$68,229$76,879$11,34828.89%-21.80%30.08%24.03%
20101.50%14.91%18.06%18.29%$91,149$92,072$102,458$11,51817.42%9.05%28.37%29.27%
20112.96%10.87%11.13%11.37%$112,911$114,176$125,961$11,8590.97%33.96%8.62%9.57%
20121.74%12.31%13.29%10.53%$138,870$141,416$151,294$12,06516.45%2.63%17.63%6.60%
20131.50%19.41%13.96%6.30%$178,065$173,406$173,074$12,24633.45%-13.37%2.31%-28.33%
20140.76%16.97%20.69%12.55%$220,622$221,619$207,133$12,33912.54%27.30%30.36%-2.19%
20150.73%-0.28%0.34%-2.93%$232,423$234,794$213,483$12,4290.36%-1.79%2.42%-10.67%
20162.07%9.33%8.86%8.72%$266,800$268,280$244,777$12,68712.83%1.18%8.60%8.03%
20172.11%17.60%14.13%16.10%$326,720$319,141$297,151$12,95421.21%9.18%4.91%12.81%
20181.91%-4.13%-4.51%-3.49%$326,428$317,941$299,973$13,202-5.21%-1.61%-6.02%-1.94%
20192.29%25.71%26.08%23.33%$423,841$414,375$383,459$13,50430.67%14.12%28.87%17.86%
20200.32%9.65%5.17%15.30%$464,726$435,810$442,146$0.002.09%27.27%-10.76%29.76%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Real Estate ETF (VNQ)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20051-0.68%-2.50%-1.26%$9,932$9,750$9,874-2.50%3.57%-8.56%-3.61%
200520.97%1.40%1.40%$10,029$9,886$10,0122.09%-1.47%3.17%3.10%
20053-1.44%-1.47%-1.45%$9,884$9,741$9,867-1.87%-0.45%-1.71%-1.63%
20054-0.33%1.28%0.21%$9,852$9,866$9,888-2.20%3.86%5.77%1.24%
200553.64%3.59%1.73%$10,210$10,220$10,0593.88%3.14%3.52%-3.92%
200561.21%2.09%1.97%$10,334$10,433$10,2580.76%2.16%4.60%4.30%
200571.88%3.01%0.87%$10,527$10,748$10,3474.38%-3.38%7.14%-1.43%
200580.31%-0.73%0.67%$10,560$10,669$10,417-1.09%3.48%-4.05%1.35%
20059-0.60%-0.22%1.24%$10,497$10,646$10,5460.79%-3.61%1.33%7.60%
200510-2.31%-2.46%-1.89%$10,254$10,384$10,347-2.35%-2.24%-2.88%-0.64%
2005113.41%3.51%3.93%$10,604$10,748$10,7534.62%0.69%4.16%5.82%
2005120.91%0.75%2.06%$21,041$21,171$21,3160.02%2.98%0.04%5.05%
200611.85%3.16%3.76%$21,431$21,840$22,1173.22%-1.34%7.54%9.93%
200620.48%0.86%0.08%$21,534$22,027$22,1340.22%1.11%1.86%-1.11%
200630.12%1.17%0.87%$21,558$22,285$22,3272.05%-4.57%4.73%3.62%
20064-0.08%-1.07%3.09%$21,542$22,046$23,0180.96%-2.75%-3.40%12.03%
20065-2.40%-2.41%-2.02%$21,025$21,515$22,553-3.22%-0.19%-2.70%-1.32%
200660.42%1.65%-1.05%$21,113$21,869$22,3160.13%1.18%4.95%-4.67%
200670.52%1.50%1.32%$21,223$22,197$22,610-0.12%2.16%3.89%3.15%
200682.51%2.80%1.41%$21,756$22,819$22,9282.30%3.06%3.48%-1.38%
200692.16%2.10%0.27%$22,226$23,297$22,9912.26%1.91%1.96%-4.53%
2006102.77%3.62%2.31%$22,841$24,141$23,5223.53%0.85%6.03%1.29%
2006112.32%3.03%3.53%$23,371$24,873$24,3522.33%2.31%4.78%6.89%
2006120.11%-0.54%-0.51%$34,002$35,342$34,8331.20%-2.69%-1.83%-1.83%
200711.00%2.88%1.32%$34,344$36,359$35,2931.86%-1.00%8.78%2.56%
20072-0.15%-0.70%0.66%$34,292$36,104$35,525-1.62%3.39%-2.70%2.55%
200730.26%-0.41%-0.16%$34,382$35,955$35,4671.12%-1.70%-2.07%-1.11%
200743.09%2.19%2.75%$35,445$36,744$36,4424.02%0.90%-0.13%2.05%
200751.96%1.23%0.73%$36,140$37,196$36,7083.72%-2.31%-0.38%-2.31%
20076-1.55%-3.35%-1.63%$35,579$35,948$36,110-1.76%-1.01%-8.99%-1.94%
20077-1.61%-2.97%-0.47%$35,008$34,880$35,942-3.53%3.32%-8.26%2.37%
200781.56%2.70%1.46%$35,556$35,823$36,4661.47%1.79%6.74%1.11%
200792.78%2.94%4.63%$36,543$36,875$38,1543.85%0.23%3.90%10.51%
2007101.80%1.87%3.17%$37,200$37,564$39,3621.79%1.81%2.10%6.95%
200711-1.67%-3.21%-1.43%$36,578$36,357$38,798-4.52%5.35%-9.47%-1.65%
200712-0.68%-1.69%1.33%$47,367$46,779$50,353-0.70%-0.64%-5.41%6.65%
20081-3.69%-2.75%0.15%$45,620$45,491$50,429-6.17%2.10%-0.78%10.84%
20082-1.85%-2.14%0.16%$44,777$44,519$50,511-2.50%-0.46%-3.18%5.23%
200830.08%1.78%-1.61%$44,815$45,310$49,697-0.90%2.14%6.48%-6.00%
200842.46%3.31%0.44%$45,918$46,809$49,9154.89%-2.48%6.38%-4.16%
200850.54%0.22%0.53%$46,167$46,912$50,1772.02%-2.69%-0.21%0.92%
20086-4.85%-6.15%-2.09%$43,927$44,027$49,126-8.12%2.65%-10.62%4.52%
20087-0.54%0.41%-0.79%$43,689$44,207$48,737-0.62%-0.37%3.12%-1.44%
200881.88%2.04%-1.24%$44,510$45,110$48,1331.46%2.74%2.37%-9.29%
20089-5.70%-3.94%-2.88%$41,973$43,332$46,746-9.24%1.47%-0.11%4.11%
200810-11.93%-16.99%-12.69%$36,968$35,971$40,814-17.48%-1.86%-31.73%-16.14%
2008110.84%-3.86%4.59%$37,279$34,581$42,686-8.01%14.34%-22.72%12.57%
2008127.11%9.23%7.61%$50,975$48,819$56,9821.78%13.64%16.67%7.73%
20091-9.55%-11.67%-5.91%$46,105$43,120$53,616-8.05%-13.07%-17.53%5.54%
20092-7.93%-10.65%-5.09%$42,447$38,529$50,886-10.53%-1.54%-20.53%1.45%
200936.96%6.15%4.02%$45,403$40,899$52,9298.26%4.04%3.61%-2.54%
200945.61%10.21%2.67%$47,949$45,076$54,34010.99%-6.95%30.68%-3.33%
200953.04%2.72%4.74%$49,408$46,304$56,9135.46%-3.69%2.62%10.23%
200960.46%-0.42%-1.11%$49,636$46,112$56,2810.36%0.76%-3.23%-5.22%
200975.96%6.92%4.85%$52,596$49,303$59,0117.74%0.58%10.77%2.38%
200983.36%5.98%2.47%$54,366$52,252$60,4693.71%2.24%14.32%0.05%
200993.75%4.46%4.24%$56,404$54,584$63,0354.14%2.46%6.63%5.84%
200910-2.63%-3.12%-0.99%$54,921$52,883$62,412-2.63%-2.62%-4.46%3.72%
2009114.66%5.07%6.77%$57,482$55,564$66,6365.69%1.21%6.57%12.79%
2009120.82%2.37%-1.66%$69,299$68,229$76,8792.86%-6.34%7.37%-7.20%
20101-1.69%-2.49%-1.42%$68,129$66,530$75,784-3.57%2.69%-5.52%-1.26%
201022.26%2.96%2.41%$69,665$68,502$77,6133.44%-0.34%5.58%3.27%
201033.81%5.18%2.53%$72,323$72,053$79,5756.40%-2.06%10.18%-0.44%
201042.51%3.75%3.37%$74,138$74,751$82,2532.18%3.32%7.15%5.88%
20105-4.11%-4.13%-1.99%$71,091$71,666$80,615-7.88%5.11%-5.33%3.05%
20106-2.13%-2.65%-0.65%$69,576$69,766$80,089-5.83%5.80%-5.19%2.36%
201074.28%5.44%1.52%$72,553$73,563$81,3097.02%-0.95%9.59%-5.09%
20108-0.43%-0.32%1.47%$72,244$73,327$82,507-4.71%8.40%-1.28%5.71%
201095.19%4.68%4.77%$75,996$76,757$86,4399.45%-2.51%4.45%4.78%
2010101.23%1.94%1.66%$76,927$78,247$87,8734.03%-4.47%4.74%3.68%
201011-0.17%-0.69%0.39%$76,793$77,710$88,2150.51%-1.69%-1.85%2.11%
2010123.70%3.66%3.09%$91,149$92,072$102,4586.96%-3.68%4.54%2.44%
201110.51%1.07%-1.34%$91,613$93,054$101,0842.05%-3.08%3.25%-6.38%
201123.11%3.46%3.74%$94,458$96,278$104,8653.70%1.65%4.71%6.00%
201130.31%-0.20%0.61%$94,747$96,085$105,5050.42%0.03%-1.62%1.60%
201142.74%3.49%4.24%$97,341$99,439$109,9812.90%2.34%5.75%8.94%
201150.21%0.62%-0.19%$97,545$100,055$109,767-1.06%3.42%1.37%-1.79%
20116-1.95%-2.32%-2.09%$95,642$97,737$107,478-1.79%-2.33%-3.30%-2.43%
20117-0.32%0.33%2.04%$95,336$98,061$109,666-2.27%4.42%1.56%8.42%
20118-1.28%-2.03%2.72%$94,113$96,068$112,649-6.09%9.66%-5.62%12.27%
20119-0.53%-2.60%-3.08%$93,611$93,573$109,178-7.57%13.20%-10.85%-11.06%
2011105.50%7.11%5.19%$98,761$100,222$114,84211.37%-3.84%14.29%5.87%
2011110.45%-0.53%0.84%$99,210$99,686$115,809-0.37%1.98%-3.80%1.67%
2011121.86%2.64%-1.47%$112,911$114,176$125,9610.98%3.44%4.85%-10.66%
201213.45%4.05%5.30%$116,806$118,797$132,6395.07%-0.33%6.38%11.40%
201222.25%1.21%0.71%$119,434$120,240$133,5764.22%-2.59%-1.15%-2.96%
201231.05%1.91%0.28%$120,691$122,539$133,9433.06%-4.23%5.19%-1.32%
201240.79%1.45%0.68%$121,645$124,314$134,856-0.64%4.83%2.86%-0.15%
20125-2.09%-2.36%-2.78%$119,108$121,377$131,104-6.23%9.03%-4.51%-6.34%
201262.32%3.00%2.18%$121,871$125,012$133,9654.05%-1.68%5.52%2.35%
201271.73%1.87%1.59%$123,978$127,352$136,0930.88%3.82%2.00%0.84%
201281.51%1.01%2.23%$125,851$128,642$139,1232.70%-1.32%-0.01%4.94%
201291.04%0.17%1.81%$127,166$128,860$141,6382.49%-2.53%-1.86%4.67%
201210-1.44%-1.27%-1.79%$125,337$127,220$139,109-1.81%-0.48%-0.91%-2.94%
2012110.94%0.65%0.61%$126,521$128,048$139,9550.77%1.38%-0.26%-0.47%
2012120.22%1.02%-0.52%$138,870$141,416$151,2941.29%-2.49%3.72%-2.43%
201312.84%2.85%1.79%$142,809$145,443$153,9965.42%-3.19%3.74%-0.51%
201321.27%1.26%-0.28%$144,623$147,269$153,5581.28%1.24%1.22%-5.09%
201332.71%2.65%2.19%$148,547$151,167$156,9283.95%-0.42%2.87%0.95%
201342.45%3.60%0.22%$152,183$156,614$157,2781.61%4.68%6.73%-7.56%
20135-0.13%-1.87%-1.65%$151,983$153,683$154,6832.44%-6.76%-5.98%-6.20%
20136-1.91%-1.97%-3.81%$149,078$150,655$148,796-1.43%-3.27%-1.98%-11.06%
201373.68%2.81%4.19%$154,570$154,884$155,0245.75%-2.26%0.90%7.43%
20138-2.62%-3.65%-1.07%$150,521$149,232$153,363-3.03%-1.34%-6.98%5.20%
201393.10%3.12%1.41%$155,190$153,887$155,5243.90%0.66%3.49%-4.78%
2013103.59%3.74%2.76%$160,755$159,649$159,8214.27%1.43%4.52%-0.34%
2013111.43%-0.28%0.01%$163,057$159,198$159,8372.70%-2.70%-5.25%-5.51%
2013121.69%1.23%0.62%$178,065$173,406$173,0742.73%-1.87%0.10%-3.79%
20141-0.33%1.06%0.85%$177,481$175,243$174,537-3.17%6.30%4.28%3.42%
201423.48%3.78%4.08%$183,651$181,859$181,6614.87%0.52%5.07%6.27%
201430.58%0.56%-0.39%$184,711$182,878$180,9500.51%0.73%0.49%-3.14%
201440.70%1.42%0.70%$185,995$185,479$182,2090.06%2.10%3.29%0.49%
201452.37%2.40%1.01%$190,400$189,926$184,0552.10%2.95%2.40%-3.05%
201461.71%1.49%2.76%$193,660$192,749$189,1372.62%-0.25%1.13%6.32%
20147-1.17%-0.77%-1.72%$191,401$191,265$185,882-1.99%0.67%0.08%-3.63%
201484.33%4.00%3.37%$199,693$198,920$192,1454.15%4.72%3.04%0.38%
20149-2.10%-3.14%-3.08%$195,494$192,665$186,225-2.10%-2.11%-6.04%-6.18%
2014102.77%4.61%1.42%$200,904$201,547$188,8612.75%2.81%9.94%-3.05%
2014112.64%2.48%1.95%$206,198$206,537$192,5512.48%2.97%2.00%-0.49%
2014121.01%1.33%1.16%$220,622$221,619$207,133-0.04%3.25%1.88%1.31%
201511.03%2.80%3.26%$222,894$227,822$213,882-2.74%9.82%6.85%8.69%
201521.87%0.12%-0.48%$227,058$228,101$212,8535.74%-6.14%-3.67%-5.91%
20153-0.48%0.13%-0.84%$225,970$228,403$211,067-1.16%1.10%1.74%-2.15%
20154-0.62%-2.05%-0.61%$224,572$223,725$209,7790.62%-3.43%-5.85%-0.17%
201550.21%-0.01%0.20%$225,043$223,709$210,2051.30%-2.37%-0.30%0.56%
20156-2.37%-2.99%-2.22%$219,717$217,025$205,549-1.67%-4.07%-4.68%-1.52%
201572.51%3.36%0.30%$225,231$224,316$206,1721.70%4.55%5.77%-6.62%
20158-4.53%-4.83%-2.48%$215,032$213,490$201,056-6.09%-0.69%-6.29%3.71%
20159-1.45%-0.24%-1.41%$211,914$212,976$198,213-2.92%1.97%3.05%-1.80%
2015105.32%5.22%4.36%$223,184$224,084$206,8537.91%-0.41%5.76%2.28%
2015110.17%-0.07%-1.54%$223,560$223,934$203,6770.60%-0.87%-0.63%-6.75%
201512-1.60%-0.70%-1.29%$232,423$234,794$213,483-2.13%-0.30%1.82%-0.45%
20161-2.33%-2.33%-0.12%$226,996$229,328$213,235-5.72%5.57%-3.44%5.41%
201620.99%0.74%3.69%$229,253$231,023$221,113-0.01%3.09%-0.36%10.93%
201634.73%5.94%2.97%$240,092$244,753$227,6917.11%-0.09%10.48%-0.84%
201640.22%-0.47%1.51%$240,614$243,596$231,1340.66%-0.74%-2.35%5.11%
201651.44%1.62%-0.71%$244,090$247,547$229,4881.73%0.81%2.25%-6.14%
201662.34%3.67%4.27%$249,811$256,621$239,2930.27%6.93%6.92%8.97%
201673.37%3.55%2.94%$258,221$265,734$246,3173.98%2.10%4.26%1.98%
20168-0.18%-1.15%-1.06%$257,745$262,676$243,7040.21%-1.01%-3.76%-3.26%
20169-0.34%-0.76%-0.11%$256,872$260,683$243,4480.21%-1.51%-1.82%0.69%
201610-2.88%-3.66%-2.95%$249,474$251,153$236,262-2.19%-4.38%-5.74%-2.94%
2016110.56%-0.32%-2.18%$250,868$250,359$231,1224.49%-8.21%-1.68%-8.36%
2016121.29%2.09%0.42%$266,800$268,280$244,7771.98%-0.46%4.82%-1.91%
201711.54%1.08%2.49%$270,917$271,186$250,8621.86%0.81%-0.19%5.42%
201723.07%3.12%3.05%$279,225$279,655$258,5013.69%1.59%3.51%3.18%
20173-0.15%-0.73%-0.24%$278,800$277,606$257,8800.06%-0.65%-2.42%-0.43%
201741.21%0.99%1.36%$282,178$280,349$261,3771.06%1.57%0.24%1.73%
201751.27%0.81%0.93%$285,758$282,617$263,8111.01%1.89%-0.72%-0.12%
201760.90%1.21%0.12%$288,335$286,048$264,1210.95%0.79%2.23%-2.16%
201771.13%1.09%1.36%$291,601$289,177$267,7241.88%-0.66%1.24%2.31%
201781.09%0.85%1.95%$294,787$291,628$272,9560.15%3.41%-0.26%4.20%
201791.03%0.64%-0.22%$297,824$293,493$272,3582.44%-2.32%-0.11%-3.37%
2017101.54%0.87%0.91%$302,403$296,035$274,8482.17%-0.04%-1.07%-0.75%
2017112.39%2.39%1.83%$309,618$303,121$279,8853.03%0.74%2.66%0.36%
2017121.34%1.01%1.54%$326,720$319,141$297,1511.16%1.81%-0.14%2.11%
201812.69%0.74%2.61%$335,494$321,497$304,9085.23%-3.26%-4.25%3.23%
20182-3.56%-4.52%-3.17%$323,564$306,974$295,254-3.76%-3.04%-7.68%-2.08%
20183-0.59%0.56%-0.16%$321,668$308,692$294,781-1.95%2.86%3.88%0.63%
20184-0.30%-0.10%-0.53%$320,714$308,399$293,2260.45%-2.09%0.82%-0.95%
201852.51%2.78%1.55%$328,778$316,959$297,7712.72%2.01%3.68%-1.20%
201860.69%1.53%-0.38%$331,037$321,824$296,6310.70%0.65%4.20%-3.61%
201871.95%1.50%0.83%$337,501$326,656$299,0853.32%-1.44%0.60%-2.24%
201882.84%2.73%1.63%$347,101$335,564$303,9643.43%1.31%2.58%-2.14%
20189-0.64%-1.20%-0.72%$344,877$331,522$301,7750.20%-2.86%-2.64%-0.66%
201810-6.21%-5.31%-4.23%$323,452$313,915$289,000-7.41%-2.93%-2.93%2.12%
2018111.95%2.62%1.56%$329,762$322,140$293,5072.01%1.79%4.67%0.34%
201812-5.01%-5.40%-2.29%$326,428$317,941$299,973-9.16%5.85%-7.96%4.94%
201916.09%7.33%5.09%$346,313$341,242$315,2318.54%0.38%11.85%2.89%
201922.16%1.66%1.36%$353,788$346,903$319,5203.56%-1.38%0.70%-0.61%
201932.56%3.08%1.66%$362,831$357,590$324,8221.42%5.57%4.21%-1.60%
201942.26%1.49%1.43%$371,020$362,901$329,4743.93%-1.99%-0.16%-0.66%
20195-2.86%-1.78%-1.48%$360,420$356,451$324,584-6.45%6.84%0.14%1.76%
201965.26%4.13%5.75%$379,361$371,184$343,2337.08%0.95%1.54%8.00%
201971.08%1.21%0.80%$383,469$375,689$345,9661.41%0.26%1.70%0.01%
201981.63%2.49%3.45%$389,722$385,038$357,900-2.08%11.04%3.75%7.91%
201990.40%0.69%-0.65%$391,288$387,680$355,5561.78%-2.68%1.93%-3.39%
2019101.14%1.06%1.40%$395,754$391,783$360,5472.11%-1.11%1.13%2.56%
2019112.56%1.44%1.05%$405,882$397,431$364,3173.79%-0.41%-1.30%-3.21%
2019121.10%0.87%1.55%$423,841$414,375$383,4592.80%-3.20%0.76%3.66%
202012.26%2.20%3.02%$433,439$423,488$395,028-0.06%7.69%1.23%4.50%
20202-3.38%-3.91%-2.31%$418,795$406,950$385,905-8.00%6.63%-7.03%-0.64%
20203-6.84%-9.30%-4.59%$390,162$369,107$368,183-13.91%6.38%-19.42%-0.22%
202048.39%8.16%7.76%$422,894$399,226$396,75113.13%1.22%8.96%7.26%
202052.73%2.31%2.50%$434,460$408,465$406,6845.40%-1.76%1.73%2.59%
202061.60%1.72%1.85%$441,401$415,474$414,2172.29%0.34%2.41%2.74%
202075.28%4.89%6.74%$464,726$435,810$442,1465.74%4.44%3.64%10.79%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value25.58%23.91%2.59%
Large-cap Growth32.20%11.39%22.81%
Mid-cap Value2.59%6.15%10.60%
Mid-cap Growth5.15%9.82%3.34%
Small-cap Value1.83%12.70%0.00%
Small-cap Growth2.52%0.00%0.00%
Global ex-US Developed Markets0.00%5.31%0.00%
Emerging Markets0.38%1.23%12.86%
Corporate Bonds0.52%0.00%0.00%
Long-Term Treasuries29.23%29.49%21.44%
Intermediate-Term Treasuries0.00%0.00%26.37%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.86%91.65%83.22%
Style analysis is based on monthly returns from Apr 2005 to Jul 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend70.00%0.03%22.08$197,71397.14%
TLTiShares 20+ Year Treasury Bond ETFLong Government30.00%0.15%18.93$77,8312.86%
100.00%0.07%22.0818.93$275,545100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%22.08$140,32454.86%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%0.15%18.93$63,7432.08%
VNQVanguard Real Estate ETFReal Estate25.00%0.12%26.67$42,56243.06%
100.00%0.08%23.6118.93$246,629100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%22.08$137,85461.28%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%0.15%18.93$61,1997.71%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$53,91231.00%
100.00%0.15%22.0818.93$252,965100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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)0.80%0.79%0.82%
Arithmetic Mean (annualized)10.04%9.87%10.29%
Geometric Mean (monthly)0.76%0.73%0.79%
Geometric Mean (annualized)9.52%9.10%9.86%
Volatility (monthly)2.82%3.40%2.58%
Volatility (annualized)9.78%11.79%8.93%
Downside Deviation (monthly)1.85%2.33%1.51%
Max. Drawdown-31.45%-39.37%-19.20%
US Market Correlation0.910.870.73
Beta(*)0.590.680.43
Alpha (annualized)3.94%2.89%5.71%
R282.92%76.16%52.69%
Sharpe Ratio0.850.690.96
Sortino Ratio1.271.001.60
Treynor Ratio (%)14.1211.9819.91
Calmar Ratio1.250.801.97
Active Return0.72%0.30%1.06%
Tracking Error7.39%7.50%10.57%
Information Ratio0.100.040.10
Skewness-0.96-1.17-0.60
Excess Kurtosis3.064.873.58
Historical Value-at-Risk (5%)-4.36%-4.36%-3.03%
Analytical Value-at-Risk (5%)-3.94%-4.93%-3.45%
Conditional Value-at-Risk (5%)-6.95%-8.31%-5.07%
Upside Capture Ratio (%)67.2271.5353.05
Downside Capture Ratio (%)51.7560.5428.15
Safe Withdrawal Rate9.74%9.79%10.85%
Perpetual Withdrawal Rate7.16%6.78%7.45%
Positive Periods129 out of 187 (68.98%)123 out of 187 (65.78%)121 out of 187 (64.71%)
Gain/Loss Ratio0.960.971.26
* 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 2009-31.45%-39.37%-19.20%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-31.45%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-9.98%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-9.76%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.67%
5May 2010Jun 20102 monthsSep 20103 months5 months-6.15%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-4.41%
7Jun 2011Sep 20114 monthsOct 20111 month5 months-4.03%
8Aug 2016Oct 20163 monthsFeb 20174 months7 months-3.39%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.13%
10Sep 2005Oct 20052 monthsNov 20051 month3 months-2.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-39.37%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-12.84%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-9.19%
4Apr 2015Sep 20156 monthsMar 20166 months1 year-6.75%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-6.48%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-6.23%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.79%
8May 2013Aug 20134 monthsOct 20132 months6 months-4.71%
9Feb 2018Feb 20181 monthJun 20184 months5 months-4.52%
10Apr 2006May 20062 monthsAug 20063 months5 months-3.45%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-19.20%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.33%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-6.80%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-6.17%
5Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-5.95%
6May 2013Jun 20132 monthsOct 20134 months6 months-5.39%
7Sep 2014Sep 20141 monthNov 20142 months3 months-3.08%
8Sep 2011Sep 20111 monthOct 20111 month2 months-3.08%
9Dec 2009Jan 20102 monthsMar 20102 months4 months-3.06%
10May 2006Jun 20062 monthsOct 20064 months6 months-3.05%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF8.92%15.12%33.45%-36.98%-50.84%0.560.801.00
TLTiShares 20+ Year Treasury Bond ETF7.83%13.23%33.96%-21.80%-21.80%0.540.96-0.34
VNQVanguard Real Estate ETF6.97%22.67%35.30%-37.00%-68.30%0.360.500.74
GLDSPDR Gold Shares9.70%17.42%30.45%-28.33%-42.91%0.550.900.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTVNQGLDPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.00-0.340.740.080.910.870.73
TLTiShares 20+ Year Treasury Bond ETF-0.341.00-0.030.200.070.080.21
VNQVanguard Real Estate ETF0.74-0.031.000.110.760.910.64
GLDSPDR Gold Shares0.080.200.111.000.160.160.64

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$197,713$140,324$137,854
TLTiShares 20+ Year Treasury Bond ETF$77,831$63,743$61,199
VNQVanguard Real Estate ETF$42,562
GLDSPDR Gold Shares$53,912

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF97.14%54.86%61.28%
TLTiShares 20+ Year Treasury Bond ETF2.86%2.08%7.71%
VNQVanguard Real Estate ETF43.06%
GLDSPDR Gold Shares31.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.71%25.71%-15.71%9.70%26.08%-19.26%9.55%23.33%-8.78%
3 years8.99%16.19%0.05%8.66%15.93%-1.65%8.79%14.85%5.11%
5 years9.32%14.85%4.03%9.19%15.37%3.78%8.72%12.22%5.88%
7 years9.94%12.39%6.48%9.80%13.25%6.75%8.98%10.09%6.59%
10 years9.72%11.93%8.35%9.64%11.86%7.83%8.96%9.91%8.09%
15 years9.23%9.23%9.23%9.10%9.10%9.10%9.22%9.22%9.22%
Result statistics are based on annualized rolling returns over full calendar year periods