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 (Oct 2007 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 15.00%
VYM Vanguard High Dividend Yield ETF 5.00%
IYR iShares US Real Estate ETF 10.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
BND Vanguard Total Bond Market ETF 10.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 10.00%
PFF iShares Preferred&Income Securities ETF 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 30.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
BND Vanguard Total Bond Market ETF 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 30.00%
VEU Vanguard FTSE All-Wld ex-US ETF 30.00%
IEF iShares 7-10 Year Treasury Bond ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$967,456 -0.27% 5.33%4.55%12.88%28.46%-28.03%-46.91%
(-52.22%)
0.420.600.90
Portfolio 2$1,000,000$1,027,434 0.22% 5.48%4.93%9.90%21.40%-21.38%-33.12%
(-39.24%)
0.520.760.94
Portfolio 3$1,000,000$1,146,354 1.12% 6.04%5.63%9.27%18.96%-16.97%-29.63%
(-35.83%)
0.610.890.91
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   
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 2007 are based on full calendar months from October to December
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard High Dividend Yield ETF (VYM)iShares US Real Estate ETF (IYR)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)iShares 7-10 Year Treasury Bond ETF (IEF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20070.74%-3.74%0.17%0.75%$922,254$961,408$967,212-$40,297-3.49%-5.69%-13.07%-0.96%3.76%1.17%-9.18%5.21%
20080.09%-28.03%-21.38%-16.97%$623,439$715,484$762,785-$40,333-36.98%-31.91%-39.88%-43.45%6.86%2.40%-23.94%17.91%
20092.72%28.46%21.40%17.31%$759,439$827,170$853,392-$41,43128.89%17.16%30.46%37.59%3.64%8.46%38.67%-6.59%
20101.50%13.84%11.25%12.52%$822,507$878,180$918,181-$42,05117.42%14.22%26.58%11.81%6.20%9.33%13.81%9.37%
20112.96%-1.62%-0.75%2.34%$765,915$828,321$896,371-$43,2960.97%10.54%5.52%-14.02%7.92%9.73%-2.00%15.64%
20121.74%15.61%11.87%12.07%$841,399$882,576$960,517-$44,05016.45%12.69%18.21%18.90%3.16%10.58%18.20%3.66%
20131.50%10.28%13.45%11.85%$883,217$956,549$1,029,668-$44,71233.45%30.08%1.16%14.18%-2.10%-2.00%-0.98%-6.09%
20140.76%8.09%4.73%6.03%$909,601$956,731$1,046,683-$45,05012.54%13.52%26.69%-4.54%5.82%8.21%14.11%9.07%
20150.73%-0.42%-1.10%-0.72%$860,412$900,801$993,736-$45,3790.36%0.28%1.63%-4.78%0.56%-1.25%4.27%1.51%
20162.07%6.09%6.33%5.72%$866,467$911,515$1,004,295-$46,32012.83%17.05%7.03%4.91%2.52%6.21%1.30%1.00%
20172.11%15.84%16.01%15.60%$956,382$1,010,137$1,113,700-$47,29721.21%16.42%9.34%27.39%3.57%7.06%8.10%2.55%
20181.91%-7.08%-5.87%-5.42%$840,465$902,676$1,005,083-$48,200-5.21%-5.91%-4.30%-14.19%-0.12%-3.79%-4.63%0.99%
20192.29%20.98%19.28%18.96%$967,456$1,027,434$1,146,354-$49,30230.67%24.07%28.19%21.83%8.83%17.37%15.92%8.03%
Annual returns for 2007 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard High Dividend Yield ETF (VYM)iShares US Real Estate ETF (IYR)Vanguard FTSE All-Wld ex-US ETF (VEU)Vanguard Total Bond Market ETF (BND)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares Preferred&Income Securities ETF (PFF)iShares 7-10 Year Treasury Bond ETF (IEF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2007102.79%2.82%2.88%$1,027,889$1,028,153$1,028,7821.79%-0.31%0.76%6.37%0.92%0.97%1.81%1.08%
200711-4.56%-2.11%-1.29%$981,033$1,006,409$1,015,493-4.52%-3.41%-9.12%-4.96%1.96%1.02%-7.97%4.04%
200712-1.88%-0.47%-0.79%$922,254$961,408$967,212-0.70%-2.05%-5.07%-2.03%0.84%-0.81%-3.06%0.05%
20081-1.07%-3.67%-2.83%$912,362$926,103$939,828-6.17%-3.27%0.11%-7.75%1.25%2.57%9.73%3.36%
20082-1.17%-0.76%-0.26%$901,729$919,101$937,388-2.50%-4.79%-4.20%-0.22%0.09%-0.71%-0.11%1.24%
20083-0.97%-0.11%0.30%$893,024$918,053$940,181-0.90%1.00%4.46%-0.09%0.40%-0.60%-5.70%1.34%
200844.52%2.96%1.99%$933,409$945,191$958,9224.89%2.20%5.81%5.92%-0.34%1.25%6.32%-2.41%
200850.37%0.60%0.26%$936,861$950,831$961,3802.02%-0.12%0.81%1.42%-0.99%-2.21%-0.37%-1.78%
20086-7.47%-4.88%-4.41%$866,874$904,401$919,012-8.12%-10.32%-11.57%-8.38%0.04%-1.29%-9.47%1.14%
20087-1.74%-1.23%-0.91%$851,750$893,283$910,613-0.62%1.94%2.47%-3.68%0.02%0.39%-4.61%0.72%
20088-0.83%-0.66%-0.34%$844,670$887,404$907,5591.46%1.74%1.81%-5.11%0.84%0.15%0.13%1.53%
20089-11.40%-6.28%-6.02%$748,362$831,663$852,930-9.24%-4.69%-1.07%-12.48%-0.52%-10.73%-24.65%-0.14%
200810-13.08%-12.03%-10.87%$650,450$731,589$760,222-17.48%-14.85%-31.32%-22.76%-2.95%-1.95%4.31%-0.87%
200811-5.78%-1.60%0.60%$612,850$719,860$764,790-8.01%-5.54%-21.55%-6.77%3.92%3.35%-7.82%7.75%
2008128.31%5.00%5.01%$623,439$715,484$762,7851.78%0.57%14.41%8.45%5.13%13.80%10.89%5.15%
20091-10.06%-7.14%-7.87%$560,728$664,375$702,774-8.05%-12.98%-15.82%-13.00%-2.08%-1.80%-11.67%-3.89%
20092-12.42%-5.96%-6.07%$491,092$624,757$660,127-10.53%-13.65%-19.78%-9.21%-0.59%-5.20%-25.40%-0.74%
200938.78%5.58%6.60%$534,212$659,600$703,6638.26%9.63%3.52%10.14%1.09%0.47%20.81%3.31%
2009412.43%7.13%5.75%$600,639$706,628$744,14610.99%10.26%29.62%13.23%0.46%2.78%18.43%-2.75%
2009510.03%6.45%5.44%$660,859$752,204$784,6315.46%5.80%2.27%15.17%0.67%2.32%19.13%-2.08%
200960.11%-0.33%-0.78%$661,602$749,741$778,5360.36%-0.29%-2.51%-2.07%0.62%2.89%2.97%-0.55%
200978.91%6.19%6.15%$720,559$796,177$826,4097.74%8.56%10.58%10.61%1.31%4.63%11.85%0.83%
200982.62%2.46%2.42%$739,437$815,799$846,3983.71%4.90%13.19%2.92%1.01%1.31%-1.90%0.77%
200994.50%3.52%3.63%$772,682$844,541$877,1494.14%2.89%6.06%5.68%1.00%1.76%5.19%1.12%
200910-2.78%-1.80%-1.99%$751,172$829,376$859,709-2.63%-2.70%-4.97%-3.17%0.27%-0.49%-3.47%-0.14%
2009113.96%3.84%4.15%$780,901$861,218$895,4255.69%6.07%7.08%4.85%1.30%1.95%1.50%2.02%
2009122.56%0.86%-0.07%$759,439$827,170$853,3922.86%1.11%6.89%1.39%-1.45%-2.07%6.02%-4.40%
20101-2.51%-2.28%-1.85%$740,390$808,292$837,618-3.57%-3.08%-5.42%-5.76%1.29%1.25%0.98%2.37%
201022.39%1.53%1.53%$758,101$820,687$850,4453.44%2.44%5.46%1.31%0.33%0.51%3.68%0.33%
201034.55%3.78%3.42%$792,631$851,707$879,5126.40%5.51%9.75%6.72%-0.22%0.65%1.79%-1.06%
201040.87%0.58%0.81%$799,562$856,604$886,5962.18%1.69%6.39%-1.76%1.07%1.91%0.05%1.65%
20105-6.25%-5.19%-4.45%$749,549$812,127$847,112-7.88%-7.88%-5.68%-10.90%1.13%-1.31%-4.34%2.93%
20106-1.10%-1.53%-0.82%$741,329$799,683$840,203-5.83%-4.30%-4.65%-1.34%1.45%3.28%1.88%3.05%
201077.08%5.36%5.30%$793,783$842,568$884,7607.02%7.30%9.40%10.76%0.86%2.11%6.89%0.91%
20108-1.00%-1.73%-0.91%$785,840$827,958$876,717-4.71%-3.33%-1.30%-3.43%1.56%2.86%2.30%3.36%
201095.19%5.71%5.56%$826,650$875,198$925,4649.45%7.40%4.65%10.60%-0.00%0.46%0.37%-0.00%
2010102.23%2.39%2.20%$845,113$896,101$945,8274.03%3.29%3.93%3.59%0.32%-0.26%0.15%-0.01%
201011-1.67%-1.34%-1.42%$830,959$884,067$932,4230.51%-0.55%-1.58%-4.10%-0.68%-1.62%-0.62%-0.90%
2010124.04%4.09%2.98%$822,507$878,180$918,1816.96%6.28%4.57%8.12%-1.02%-0.75%0.27%-3.43%
201111.13%0.89%0.84%$831,822$885,981$925,9382.05%1.44%3.57%0.80%0.09%0.04%0.72%-0.02%
201122.48%2.06%1.86%$852,470$904,241$943,1893.70%3.50%4.52%2.74%0.29%1.08%1.65%-0.21%
201130.04%0.00%0.00%$852,831$904,278$943,2020.42%0.71%-1.10%-0.22%-0.15%-0.54%0.97%-0.15%
201143.46%3.11%3.26%$882,356$932,386$973,9382.90%4.02%4.66%5.45%1.46%2.50%1.58%1.84%
20115-0.70%-0.85%-0.35%$876,155$924,440$970,557-1.06%-0.59%1.01%-3.17%1.18%1.27%0.60%2.51%
20116-1.21%-1.03%-1.08%$865,575$914,926$960,100-1.79%-1.10%-3.11%-1.09%-0.38%-0.80%-0.55%-0.51%
20117-1.14%-0.76%-0.15%$855,665$907,929$958,706-2.27%-2.73%0.22%-2.37%1.63%2.43%-1.89%3.17%
20118-4.27%-3.67%-2.39%$819,086$874,601$935,748-6.09%-2.83%-5.31%-8.47%1.66%0.34%-1.87%4.65%
20119-7.05%-5.60%-4.77%$761,366$825,652$891,158-7.57%-4.21%-10.68%-13.01%0.66%0.35%-5.20%2.24%
2011107.85%6.29%5.44%$821,132$877,616$939,65011.37%8.07%13.19%11.49%0.11%2.51%5.38%-1.29%
201111-2.06%-0.84%-0.54%$804,200$870,270$934,603-0.37%1.26%-3.67%-2.57%-0.06%-3.16%-3.13%0.58%
2011120.62%0.15%0.54%$765,915$828,321$896,3710.98%3.19%4.09%-2.43%1.18%3.49%0.12%1.99%
201215.26%3.83%3.92%$806,201$860,068$931,5435.07%1.77%6.60%6.86%0.63%2.14%7.07%0.86%
201223.11%2.94%2.49%$831,291$885,320$954,7474.22%3.15%-0.69%5.31%0.04%1.63%3.04%-1.10%
201230.61%0.47%0.06%$836,328$889,452$955,3603.06%2.71%4.48%-0.90%-0.51%-1.42%0.18%-1.59%
20124-0.14%-0.35%0.15%$835,120$886,315$956,832-0.64%-0.02%2.58%-1.81%1.10%1.08%0.22%2.51%
20125-5.14%-5.10%-4.39%$792,169$841,071$914,842-6.23%-4.66%-4.21%-11.40%0.93%0.76%-1.17%2.87%
201263.87%3.16%2.95%$822,846$867,617$941,7864.05%4.98%5.36%6.52%0.07%0.87%2.42%-0.42%
201271.40%0.90%0.97%$834,386$875,423$950,8940.88%2.14%2.33%0.49%1.23%3.48%1.50%1.40%
201281.56%1.69%1.57%$847,395$890,219$965,8692.70%0.77%0.31%2.65%0.16%-0.05%1.48%-0.12%
201291.68%1.90%1.69%$861,639$907,105$982,1652.49%2.56%-1.11%3.49%0.18%1.10%0.73%-0.35%
2012100.17%-0.38%-0.49%$863,078$903,648$977,324-1.81%-0.99%-0.59%0.77%-0.10%1.35%1.01%-0.40%
2012110.60%0.90%1.17%$868,214$911,748$988,7260.77%-0.34%-0.58%1.80%0.27%-0.42%0.18%0.98%
2012121.99%1.63%1.60%$841,399$882,576$960,5171.29%0.27%2.89%5.06%-0.88%-0.33%0.39%-0.94%
201312.29%2.08%1.84%$860,699$900,908$978,1515.42%5.65%4.02%2.43%-0.69%-1.30%1.34%-1.29%
201320.28%0.19%0.42%$863,089$902,602$982,2471.28%2.07%1.26%-1.39%0.54%1.08%0.53%1.13%
201331.51%1.45%1.53%$876,120$915,695$997,2933.95%3.61%2.87%0.62%0.08%-0.05%1.12%0.29%
201342.63%2.01%2.21%$899,139$934,094$1,019,2851.61%3.01%5.73%3.75%1.01%2.17%1.05%1.52%
20135-1.87%-0.94%-1.40%$882,363$925,297$1,005,0532.44%0.73%-6.49%-3.31%-1.93%-3.22%-0.66%-3.11%
20136-2.43%-2.14%-2.48%$860,916$905,488$980,127-1.43%-0.13%-2.40%-3.58%-1.65%-3.27%-2.20%-2.55%
201372.62%3.41%3.15%$883,511$936,360$1,011,0035.75%4.47%0.24%4.70%0.38%1.11%-0.54%-0.35%
20138-2.57%-1.93%-2.14%$860,780$918,323$989,370-3.03%-3.91%-6.53%-1.99%-0.86%-1.00%-2.19%-1.42%
201393.68%3.93%4.23%$892,458$954,432$1,031,2103.90%2.35%3.46%7.58%1.11%0.74%0.68%1.85%
2013102.79%2.75%2.74%$917,396$980,683$1,059,4214.27%4.75%3.73%3.33%0.86%1.81%0.93%0.78%
2013110.28%0.92%0.73%$919,960$989,715$1,067,1112.70%2.31%-4.64%0.34%-0.29%-0.14%0.32%-0.88%
2013120.87%1.17%0.68%$883,217$956,549$1,029,6682.73%2.03%0.90%1.47%-0.64%0.22%-1.29%-2.09%
20141-1.13%-2.07%-1.46%$873,195$936,750$1,014,593-3.17%-4.00%3.44%-5.80%1.55%1.88%2.96%3.06%
201423.64%3.26%3.20%$904,956$967,312$1,047,0424.87%3.61%4.75%5.63%0.47%1.14%2.28%0.36%
201430.68%0.22%0.06%$911,145$969,443$1,047,6580.51%2.48%0.14%0.46%-0.17%-0.03%1.75%-0.56%
201441.45%0.78%0.76%$924,384$976,971$1,055,6080.06%2.11%3.03%1.47%0.80%1.33%1.84%0.76%
201451.76%1.63%1.94%$940,629$992,854$1,076,0422.10%1.58%2.80%1.92%1.05%1.51%1.25%1.82%
201461.22%1.33%1.20%$952,103$1,006,019$1,088,9142.62%2.02%1.01%1.68%0.08%0.01%0.61%-0.22%
20147-0.98%-1.16%-1.13%$942,735$994,349$1,076,585-1.99%-1.67%-0.11%-1.47%-0.28%-0.32%-0.50%-0.22%
201482.15%2.01%2.30%$962,993$1,014,360$1,101,3924.15%3.76%3.47%1.01%1.14%2.00%1.79%1.88%
20149-2.82%-2.32%-2.49%$935,861$990,846$1,073,921-2.10%-1.16%-5.89%-4.88%-0.57%-1.68%-0.82%-1.05%
2014101.91%1.20%1.53%$953,728$1,002,728$1,090,3102.75%2.47%8.35%0.20%0.72%1.23%1.07%1.53%
2014111.18%1.02%1.20%$965,008$1,012,956$1,103,4372.48%3.03%2.72%-0.32%0.83%0.91%1.24%1.29%
201412-1.07%-1.10%-1.06%$909,601$956,731$1,046,683-0.04%-1.14%0.81%-3.96%0.06%-0.02%-0.12%0.13%
201510.89%0.13%0.89%$917,695$958,017$1,056,038-2.74%-2.88%5.71%-0.02%2.40%3.75%1.32%4.30%
201522.45%2.89%2.38%$940,174$985,709$1,081,1425.74%4.90%-2.60%5.85%-1.31%-1.42%0.97%-2.47%
20153-0.46%-0.57%-0.44%$935,890$980,121$1,076,371-1.16%-1.83%1.09%-1.41%0.55%0.20%0.30%0.86%
201540.98%1.50%1.37%$945,074$994,851$1,091,1430.62%1.70%-4.82%4.74%-0.32%-1.19%0.02%-0.63%
20155-0.31%-0.14%-0.11%$942,149$993,480$1,089,9731.30%0.37%-0.33%-1.04%-0.50%-1.12%-0.01%-0.42%
20156-2.17%-1.81%-2.01%$921,704$975,499$1,068,063-1.67%-2.65%-4.39%-2.81%-1.11%-1.88%-1.01%-1.63%
201571.12%0.76%1.01%$932,017$982,957$1,078,9031.70%1.05%4.94%-0.29%0.88%0.83%1.36%1.52%
20158-4.39%-4.31%-4.17%$891,064$940,591$1,033,926-6.09%-5.66%-5.80%-7.75%-0.25%-0.83%-0.75%0.08%
20159-1.49%-1.73%-1.40%$877,748$924,339$1,019,454-2.92%-1.56%1.60%-4.04%0.81%1.19%-0.69%1.58%
2015104.63%4.26%3.94%$918,352$963,704$1,059,6477.91%8.41%6.23%6.69%0.03%0.57%2.16%-0.64%
201511-0.22%-0.36%-0.38%$916,299$960,192$1,055,6380.60%0.22%-0.20%-1.32%-0.39%-0.15%0.67%-0.43%
201512-1.15%-1.46%-1.57%$860,412$900,801$993,736-2.13%-1.05%1.10%-2.52%-0.18%-1.08%-0.10%-0.45%
20161-3.15%-2.92%-2.06%$833,290$874,533$973,235-5.72%-2.82%-4.10%-5.60%1.20%0.12%-0.98%3.33%
20162-0.55%-0.36%-0.08%$828,682$871,386$972,444-0.01%0.51%-0.75%-2.44%0.85%1.05%0.06%1.49%
201635.74%4.82%4.37%$876,255$913,429$1,014,9677.11%6.64%10.26%8.31%0.88%3.62%2.38%-0.06%
201640.96%0.98%0.75%$884,661$922,404$1,022,5700.66%0.72%-1.67%2.11%0.40%1.55%0.88%-0.16%
201650.57%0.28%0.24%$889,679$924,956$1,025,0021.73%1.39%2.21%-0.79%-0.01%-0.51%1.54%-0.10%
201661.34%0.68%1.12%$901,566$931,286$1,036,5160.27%2.18%6.24%-0.72%2.02%3.09%1.18%3.09%
201672.80%2.68%2.51%$926,784$956,214$1,062,5613.98%2.35%3.65%4.25%0.60%1.29%1.39%0.25%
20168-0.15%0.14%-0.14%$925,384$957,579$1,061,0470.21%-0.30%-3.35%0.69%-0.31%0.18%0.02%-1.01%
201690.09%0.58%0.63%$926,194$963,121$1,067,6890.21%-0.40%-1.47%1.58%0.11%-0.32%-1.07%0.24%
201610-1.85%-1.55%-1.77%$909,055$948,226$1,048,844-2.19%-1.28%-4.96%-1.69%-0.94%-1.53%-0.97%-1.49%
201611-1.21%-0.31%-0.98%$898,016$945,303$1,038,6084.49%4.23%-2.34%-2.13%-2.57%-3.17%-3.33%-4.23%
2016121.64%1.33%1.16%$866,467$911,515$1,004,2951.98%2.97%4.25%1.93%0.33%0.84%0.31%-0.12%
201712.04%1.87%1.89%$884,173$928,593$1,023,2471.86%-0.04%0.13%4.14%0.19%0.15%2.39%0.22%
201722.15%1.74%1.78%$903,206$944,728$1,041,4553.69%3.58%4.37%1.26%0.62%1.32%2.09%0.72%
201730.82%0.91%0.96%$910,639$953,370$1,051,4650.06%-0.30%-1.45%2.99%-0.04%-0.29%0.50%0.08%
201741.31%1.28%1.40%$922,565$965,574$1,066,1891.06%-0.08%0.56%2.09%0.80%1.19%1.30%1.11%
201751.42%1.54%1.58%$935,651$980,411$1,083,0311.01%0.36%-0.11%3.05%0.71%1.33%0.55%0.83%
201760.77%0.47%0.25%$942,820$984,978$1,085,7430.95%1.13%2.09%0.51%0.05%0.48%0.80%-0.51%
201771.78%1.80%1.79%$959,609$1,002,693$1,105,1461.88%1.61%1.12%3.38%0.40%0.77%0.66%0.38%
201780.42%0.57%0.80%$963,597$1,008,428$1,113,9500.15%-0.18%0.67%0.64%0.86%0.68%-0.06%1.46%
201790.95%1.16%0.79%$972,720$1,020,079$1,122,6962.44%3.02%-0.79%1.84%-0.47%-0.05%-0.16%-1.44%
2017101.00%1.29%1.23%$982,431$1,033,233$1,136,5202.17%1.74%0.05%1.95%-0.03%0.19%-0.37%-0.19%
2017111.17%1.10%1.04%$993,968$1,044,615$1,148,3513.03%3.07%2.57%0.63%-0.11%-0.12%0.68%-0.28%
2017120.98%1.23%1.10%$956,382$1,010,137$1,113,7001.16%1.49%-0.10%2.05%0.54%1.22%-0.52%0.18%
201811.92%2.78%2.42%$974,702$1,038,266$1,140,6495.23%4.11%-3.02%5.70%-1.24%-1.23%-1.18%-2.15%
20182-3.37%-3.19%-3.16%$941,818$1,005,142$1,104,624-3.76%-4.72%-6.66%-5.31%-1.04%-2.24%0.27%-0.93%
201830.03%-0.46%-0.28%$942,127$1,000,510$1,101,517-1.95%-2.17%3.78%-0.44%0.69%0.56%0.54%1.16%
20184-0.11%-0.03%-0.20%$941,062$1,000,193$1,099,3290.45%0.13%0.23%0.57%-0.85%-1.57%-0.70%-1.28%
201850.49%0.49%0.60%$945,653$1,005,055$1,105,9772.72%1.60%3.37%-1.99%0.68%0.52%0.81%0.99%
201860.16%-0.43%-0.34%$947,177$1,000,706$1,102,2370.70%-0.29%4.06%-2.14%-0.04%-0.49%1.76%0.20%
201871.82%1.86%1.67%$964,370$1,019,365$1,120,6673.32%4.09%0.83%2.89%-0.04%1.34%0.19%-0.53%
201880.50%0.66%0.79%$969,217$1,026,083$1,129,5513.43%1.11%2.38%-2.34%0.67%0.02%1.41%1.01%
20189-0.53%-0.02%-0.28%$964,088$1,025,861$1,126,4270.20%0.40%-2.84%0.44%-0.55%-0.14%-1.71%-1.20%
201810-4.81%-5.13%-4.93%$917,678$973,229$1,070,861-7.41%-4.40%-2.39%-8.30%-0.86%-2.05%-2.24%-0.30%
2018110.97%1.30%1.59%$926,554$985,927$1,087,8452.01%3.56%4.70%1.47%0.64%-0.36%-2.23%1.33%
201812-4.09%-3.56%-3.18%$840,465$902,676$1,005,083-9.16%-8.64%-7.80%-4.94%1.87%1.86%-1.53%2.80%
201916.58%5.28%5.09%$895,769$950,312$1,056,2808.54%6.10%11.48%7.57%1.11%3.37%5.64%0.65%
201921.39%1.57%1.40%$908,211$965,199$1,071,0983.56%3.77%0.73%1.63%-0.09%-0.20%0.58%-0.52%
201931.73%1.49%1.76%$923,962$979,560$1,089,9011.42%0.53%4.17%1.00%1.94%2.93%1.46%2.66%
201941.78%2.10%1.91%$940,427$1,000,115$1,110,7503.93%2.84%-0.05%2.85%-0.02%0.44%0.68%-0.52%
20195-2.68%-3.10%-2.66%$915,270$969,158$1,081,255-6.45%-6.31%-0.15%-5.54%1.83%1.65%0.25%3.05%
201963.99%4.44%4.42%$951,761$1,012,219$1,129,1007.08%6.65%1.27%5.89%1.25%3.25%1.31%1.22%
201970.35%-0.04%-0.09%$955,125$1,011,782$1,128,1401.41%0.72%2.38%-1.80%0.15%0.25%1.80%0.04%
20198-0.03%-0.35%0.11%$954,870$1,008,256$1,129,329-2.08%-2.10%3.43%-2.44%2.77%3.88%0.60%3.95%
201991.50%1.16%0.91%$969,238$1,020,000$1,139,6091.78%3.90%1.89%2.82%-0.57%-0.76%0.75%-1.19%
2019101.63%1.81%1.76%$985,016$1,038,503$1,159,6802.11%1.05%0.77%3.45%0.31%0.44%0.43%0.19%
2019110.86%1.51%1.26%$993,444$1,054,182$1,174,2863.79%2.34%-1.12%1.05%-0.04%0.47%-0.44%-0.69%
2019122.35%2.14%1.82%$967,456$1,027,434$1,146,3542.80%2.97%0.85%4.17%-0.07%0.53%1.92%-0.93%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value21.62%8.89%11.44%
Large-cap Growth0.00%14.82%13.04%
Mid-cap Value0.00%4.32%1.40%
Mid-cap Growth3.57%0.07%1.96%
Small-cap Value0.00%0.00%1.14%
Small-cap Growth0.00%2.11%1.13%
Global ex-US Developed Markets23.14%23.23%22.47%
Emerging Markets9.51%8.38%7.76%
REITs9.76%0.42%0.00%
Corporate Bonds32.40%5.81%0.46%
Long-Term Treasuries0.00%2.31%0.00%
Intermediate-Term Treasuries0.00%10.17%39.20%
Short-Term Treasuries0.00%19.48%0.00%
R Squared96.39%99.76%99.89%
Style analysis is based on monthly returns from Oct 2007 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%15.00%$145,21415.89%
VYMVanguard High Dividend Yield ETFLarge Value0.06%5.00%$42,8754.81%
IYRiShares US Real Estate ETFReal Estate0.42%10.00%$67,54614.14%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%$91,87540.73%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.260.04%10.00%$42,4540.66%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETFCorporate Bond9.000.15%10.00%$58,7123.17%
PFFiShares Preferred&Income Securities ETFPreferred Stock0.46%20.00%$96,49720.59%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%30.00%$317,09242.74%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%$106,90854.25%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.260.04%40.00%$181,1523.02%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%30.00%$353,34843.65%
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%30.00%$126,91156.17%
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.590.15%40.00%$243,8140.18%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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)0.50%0.49%0.53%
Arithmetic Mean (annualized)6.21%6.00%6.49%
Geometric Mean (monthly)0.43%0.45%0.49%
Geometric Mean (annualized)5.33%5.48%6.04%
Volatility (monthly)3.72%2.86%2.68%
Volatility (annualized)12.88%9.90%9.27%
Downside Deviation (monthly)2.56%1.94%1.80%
Max. Drawdown-46.91%-33.12%-29.63%
US Market Correlation0.900.940.91
Beta(*)0.760.610.55
Alpha (annualized)-1.08%0.11%1.14%
R281.18%88.76%82.37%
Sharpe Ratio0.420.520.61
Sortino Ratio0.600.760.89
Treynor Ratio (%)7.118.5110.29
Calmar Ratio1.041.091.20
Active Return-3.21%-3.07%-2.51%
Tracking Error6.73%6.88%7.95%
Information Ratio-0.48-0.45-0.32
Skewness-0.56-0.73-0.76
Excess Kurtosis3.022.272.31
Historical Value-at-Risk (5%)-6.07%-5.12%-4.43%
Analytical Value-at-Risk (5%)-5.67%-4.34%-4.05%
Conditional Value-at-Risk (5%)-9.68%-6.76%-6.43%
Upside Capture Ratio (%)68.3658.4054.87
Downside Capture Ratio (%)76.2561.5453.29
Safe Withdrawal Rate8.20%8.60%9.07%
Perpetual Withdrawal Rate3.23%3.36%3.84%
Positive Periods94 out of 147 (63.95%)90 out of 147 (61.22%)92 out of 147 (62.59%)
Gain/Loss Ratio0.831.001.02
* 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 2009-46.91%-33.12%-29.63%

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-46.91%
2May 2011Sep 20115 monthsMar 20126 months11 months-13.71%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.83%
4May 2015Feb 201610 monthsJun 20164 months1 year 2 months-7.69%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.28%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.27%
7Aug 2016Nov 20164 monthsJan 20172 months6 months-3.10%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.82%
9May 2019May 20191 monthJun 20191 month2 months-2.68%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.13%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-33.12%
2May 2011Sep 20115 monthsMar 20126 months11 months-11.45%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.42%
4May 2015Feb 201610 monthsJul 20165 months1 year 3 months-8.00%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.44%
6May 2019May 20191 monthJun 20191 month2 months-3.10%
7May 2013Jun 20132 monthsJul 20131 month3 months-3.06%
8Sep 2014Sep 20141 monthFeb 20155 months6 months-2.32%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.07%
10Aug 2013Aug 20131 monthSep 20131 month2 months-1.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-29.63%
2May 2011Sep 20115 monthsJan 20124 months9 months-8.50%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.66%
4May 2015Feb 201610 monthsJul 20165 months1 year 3 months-6.81%
5May 2012May 20121 monthAug 20123 months4 months-4.39%
6May 2013Jun 20132 monthsSep 20133 months5 months-3.84%
7Oct 2016Nov 20162 monthsJan 20172 months4 months-2.72%
8May 2019May 20191 monthJun 20191 month2 months-2.66%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.49%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF8.65%15.35%33.45%-36.98%-50.84%0.580.831.00
VYMVanguard High Dividend Yield ETF7.84%14.27%30.08%-31.91%-51.74%0.560.790.95
IYRiShares US Real Estate ETF5.88%22.30%30.46%-39.88%-64.97%0.340.480.75
VEUVanguard FTSE All-Wld ex-US ETF2.02%18.83%37.59%-43.45%-58.41%0.170.230.89
BNDVanguard Total Bond Market ETF4.09%3.63%8.83%-2.10%-4.01%0.941.73-0.01
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.84%7.55%17.37%-3.79%-15.11%0.701.170.28
PFFiShares Preferred&Income Securities ETF4.92%17.40%38.67%-23.94%-55.29%0.330.470.54
IEFiShares 7-10 Year Treasury Bond ETF4.84%6.41%17.91%-6.59%-7.60%0.671.20-0.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVYMIYRVEUBNDLQDPFFIEFPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF-0.950.750.89-0.010.280.54-0.320.900.940.91
VYMVanguard High Dividend Yield ETF0.95-0.760.840.050.280.55-0.220.880.900.89
IYRiShares US Real Estate ETF0.750.76-0.710.290.430.54-0.020.830.760.75
VEUVanguard FTSE All-Wld ex-US ETF0.890.840.71-0.130.400.59-0.210.940.970.95
BNDVanguard Total Bond Market ETF-0.010.050.290.13-0.760.200.880.240.210.32
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.280.280.430.400.76-0.570.530.550.460.52
PFFiShares Preferred&Income Securities ETF0.540.550.540.590.200.57-0.010.770.590.60
IEFiShares 7-10 Year Treasury Bond ETF-0.32-0.22-0.02-0.210.880.530.01--0.10-0.130.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$145,214$317,092$353,348
VYMVanguard High Dividend Yield ETF$42,875
IYRiShares US Real Estate ETF$67,546
VEUVanguard FTSE All-Wld ex-US ETF$91,875$106,908$126,911
BNDVanguard Total Bond Market ETF$42,454$181,152
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$58,712
PFFiShares Preferred&Income Securities ETF$96,497
IEFiShares 7-10 Year Treasury Bond ETF$243,814

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF15.89%42.74%43.65%
VYMVanguard High Dividend Yield ETF4.81%
IYRiShares US Real Estate ETF14.14%
VEUVanguard FTSE All-Wld ex-US ETF40.73%54.25%56.17%
BNDVanguard Total Bond Market ETF0.66%3.02%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.17%
PFFiShares Preferred&Income Securities ETF20.59%
IEFiShares 7-10 Year Treasury Bond ETF0.18%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.84%28.46%-28.03%6.27%21.40%-21.38%6.61%18.96%-16.97%
3 years7.38%12.89%1.72%6.75%10.26%2.02%7.11%10.54%3.10%
5 years7.28%12.90%3.66%6.61%11.21%3.35%6.97%11.11%4.00%
7 years7.35%10.21%5.21%6.70%8.43%4.93%7.04%8.61%5.87%
10 years7.34%8.47%5.73%6.72%7.42%5.50%7.08%7.65%6.11%
Result statistics are based on annualized rolling returns over full calendar year periods