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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Portfolio Analysis Results (Jun 2008 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 70.00%
TLT iShares 20+ Year Treasury Bond ETF 30.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$29,515 9.79% 15.47%33.45%-35.04%-46.56% 0.650.931.00
Portfolio 2$10,000$30,277 10.04% 10.21%25.71%-13.74%-28.17% 0.941.380.90
Portfolio 3$10,000$28,937 9.61% 8.78%22.40%-3.41%-16.07% 1.031.580.59
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 18.95%30.67%14.51%11.20%13.43%9.79%
Portfolio 24.87%25.71%12.33%9.09%11.93%10.04%
Portfolio 32.15%22.40%10.84%7.67%10.77%9.61%
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 2008 are based on monthly returns from June 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 Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2008-2.96%-35.04%-13.74%0.46%$6,496$8,626$10,046-35.04%35.96%
20092.72%28.89%13.68%3.55%$8,373$9,806$10,40228.89%-21.80%
20101.50%17.42%14.91%13.23%$9,831$11,268$11,77917.42%9.05%
20112.96%0.97%10.87%17.46%$9,927$12,493$13,8360.97%33.96%
20121.74%16.45%12.31%9.54%$11,560$14,030$15,15616.45%2.63%
20131.50%33.45%19.41%10.04%$15,427$16,752$16,67833.45%-13.37%
20140.76%12.54%16.97%19.92%$17,362$19,595$20,00012.54%27.30%
20150.73%0.36%-0.28%-0.71%$17,424$19,540$19,8570.36%-1.79%
20162.07%12.83%9.33%7.00%$19,659$21,363$21,24812.83%1.18%
20172.11%21.21%17.60%15.20%$23,829$25,124$24,47721.21%9.18%
20181.91%-5.21%-4.13%-3.41%$22,587$24,086$23,642-5.21%-1.61%
20192.29%30.67%25.71%22.40%$29,515$30,277$28,93730.67%14.12%
Annual returns for 2008 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)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20086-8.12%-4.89%-2.73%$9,188$9,511$9,727-8.12%2.65%
20087-0.62%-0.54%-0.49%$9,131$9,460$9,679-0.62%-0.37%
200881.46%1.87%2.14%$9,264$9,637$9,8861.46%2.74%
20089-9.24%-5.74%-3.55%$8,408$9,084$9,535-9.24%1.47%
200810-17.48%-11.98%-8.75%$6,939$7,996$8,701-17.48%-1.86%
200811-8.01%0.76%5.43%$6,382$8,057$9,173-8.01%14.34%
2008121.78%7.06%9.51%$6,496$8,626$10,0461.78%13.64%
20091-8.05%-9.55%-10.56%$5,973$7,802$8,985-8.05%-13.07%
20092-10.53%-7.93%-6.16%$5,344$7,183$8,432-10.53%-1.54%
200938.26%6.96%6.11%$5,786$7,683$8,9478.26%4.04%
2009410.99%5.61%2.02%$6,422$8,114$9,12810.99%-6.95%
200955.46%3.04%1.29%$6,773$8,361$9,2465.46%-3.69%
200960.36%0.46%0.54%$6,798$8,399$9,2950.36%0.76%
200977.74%5.96%4.63%$7,323$8,900$9,7257.74%0.58%
200983.71%3.36%3.10%$7,595$9,200$10,0263.71%2.24%
200994.14%3.75%3.44%$7,910$9,544$10,3714.14%2.46%
200910-2.63%-2.63%-2.63%$7,701$9,294$10,099-2.63%-2.62%
2009115.69%4.66%3.85%$8,140$9,727$10,4885.69%1.21%
2009122.86%0.82%-0.82%$8,373$9,806$10,4022.86%-6.34%
20101-3.57%-1.69%-0.44%$8,074$9,641$10,357-3.57%2.69%
201023.44%2.26%1.49%$8,352$9,858$10,5113.44%-0.34%
201036.40%3.81%2.12%$8,886$10,234$10,7336.40%-2.06%
201042.18%2.51%2.74%$9,080$10,491$11,0272.18%3.32%
20105-7.88%-4.11%-1.54%$8,364$10,060$10,858-7.88%5.11%
20106-5.83%-2.13%0.23%$7,876$9,845$10,883-5.83%5.80%
201077.02%4.28%2.64%$8,429$10,267$11,1697.02%-0.95%
20108-4.71%-0.43%2.25%$8,032$10,223$11,421-4.71%8.40%
201099.45%5.19%2.71%$8,791$10,754$11,7319.45%-2.51%
2010104.03%1.23%-0.51%$9,145$10,886$11,6704.03%-4.47%
2010110.51%-0.17%-0.62%$9,192$10,867$11,5980.51%-1.69%
2010126.96%3.70%1.55%$9,831$11,268$11,7796.96%-3.68%
201112.05%0.51%-0.52%$10,033$11,326$11,7182.05%-3.08%
201123.70%3.11%2.70%$10,404$11,677$12,0343.70%1.65%
201130.42%0.31%0.23%$10,447$11,713$12,0620.42%0.03%
201142.90%2.74%2.63%$10,750$12,034$12,3792.90%2.34%
20115-1.06%0.21%1.09%$10,636$12,059$12,514-1.06%3.42%
20116-1.79%-1.95%-2.06%$10,445$11,824$12,256-1.79%-2.33%
20117-2.27%-0.32%1.00%$10,208$11,786$12,380-2.27%4.42%
20118-6.09%-1.28%1.88%$9,587$11,635$12,613-6.09%9.66%
20119-7.57%-0.53%3.74%$8,860$11,573$13,084-7.57%13.20%
20111011.37%5.50%2.33%$9,867$12,209$13,38911.37%-3.84%
201111-0.37%0.45%0.94%$9,831$12,265$13,515-0.37%1.98%
2011120.98%1.86%2.37%$9,927$12,493$13,8360.98%3.44%
201215.07%3.45%2.37%$10,430$12,924$14,1645.07%-0.33%
201224.22%2.25%0.90%$10,870$13,214$14,2914.22%-2.59%
201233.06%1.05%-0.37%$11,203$13,353$14,2393.06%-4.23%
20124-0.64%0.79%1.83%$11,131$13,459$14,500-0.64%4.83%
20125-6.23%-2.09%0.87%$10,438$13,178$14,626-6.23%9.03%
201264.05%2.32%1.17%$10,861$13,484$14,7974.05%-1.68%
201270.88%1.73%2.31%$10,957$13,717$15,1390.88%3.82%
201282.70%1.51%0.71%$11,253$13,924$15,2462.70%-1.32%
201292.49%1.04%0.05%$11,533$14,070$15,2542.49%-2.53%
201210-1.81%-1.44%-1.18%$11,325$13,867$15,074-1.81%-0.48%
2012110.77%0.94%1.06%$11,412$13,998$15,2340.77%1.38%
2012121.29%0.22%-0.52%$11,560$14,030$15,1561.29%-2.49%
201315.42%2.84%1.12%$12,186$14,428$15,3255.42%-3.19%
201321.28%1.27%1.26%$12,342$14,611$15,5181.28%1.24%
201333.95%2.71%1.86%$12,829$15,008$15,8063.95%-0.42%
201341.61%2.45%3.05%$13,035$15,375$16,2881.61%4.68%
201352.44%-0.13%-1.93%$13,353$15,355$15,9732.44%-6.76%
20136-1.43%-1.91%-2.26%$13,162$15,061$15,611-1.43%-3.27%
201375.75%3.68%2.17%$13,919$15,616$15,9505.75%-2.26%
20138-3.03%-2.62%-2.31%$13,497$15,207$15,582-3.03%-1.34%
201393.90%3.10%2.50%$14,023$15,679$15,9713.90%0.66%
2013104.27%3.59%3.06%$14,621$16,241$16,4604.27%1.43%
2013112.70%1.43%0.45%$15,017$16,474$16,5342.70%-2.70%
2013122.73%1.69%0.87%$15,427$16,752$16,6782.73%-1.87%
20141-3.17%-0.33%1.57%$14,938$16,698$16,939-3.17%6.30%
201424.87%3.48%2.59%$15,665$17,278$17,3784.87%0.52%
201430.51%0.58%0.62%$15,744$17,378$17,4860.51%0.73%
201440.06%0.70%1.11%$15,754$17,499$17,6800.06%2.10%
201452.10%2.37%2.54%$16,085$17,913$18,1292.10%2.95%
201462.62%1.71%1.13%$16,507$18,220$18,3332.62%-0.25%
20147-1.99%-1.17%-0.63%$16,178$18,007$18,218-1.99%0.67%
201484.15%4.33%4.45%$16,849$18,787$19,0284.15%4.72%
20149-2.10%-2.10%-2.10%$16,495$18,392$18,628-2.10%-2.11%
2014102.75%2.77%2.78%$16,948$18,901$19,1462.75%2.81%
2014112.48%2.64%2.73%$17,369$19,399$19,6692.48%2.97%
201412-0.04%1.01%1.68%$17,362$19,595$20,000-0.04%3.25%
20151-2.74%1.03%3.54%$16,887$19,797$20,708-2.74%9.82%
201525.74%1.87%-0.56%$17,856$20,167$20,5925.74%-6.14%
20153-1.16%-0.48%-0.03%$17,650$20,070$20,586-1.16%1.10%
201540.62%-0.62%-1.43%$17,759$19,946$20,2920.62%-3.43%
201551.30%0.21%-0.52%$17,989$19,988$20,1861.30%-2.37%
20156-1.67%-2.37%-2.84%$17,688$19,515$19,613-1.67%-4.07%
201571.70%2.51%3.07%$17,989$20,005$20,2151.70%4.55%
20158-6.09%-4.53%-3.46%$16,893$19,099$19,515-6.09%-0.69%
20159-2.92%-1.45%-0.47%$16,399$18,822$19,423-2.92%1.97%
2015107.91%5.32%3.64%$17,697$19,823$20,1307.91%-0.41%
2015110.60%0.17%-0.12%$17,803$19,856$20,1050.60%-0.87%
201512-2.13%-1.60%-1.23%$17,424$19,540$19,857-2.13%-0.30%
20161-5.72%-2.33%-0.08%$16,427$19,083$19,842-5.72%5.57%
20162-0.01%0.99%1.63%$16,425$19,273$20,165-0.01%3.09%
201637.11%4.73%3.25%$17,593$20,184$20,8217.11%-0.09%
201640.66%0.22%-0.07%$17,709$20,228$20,8070.66%-0.74%
201651.73%1.44%1.26%$18,016$20,520$21,0681.73%0.81%
201660.27%2.34%3.69%$18,066$21,001$21,8460.27%6.93%
201673.98%3.37%2.98%$18,784$21,708$22,4973.98%2.10%
201680.21%-0.18%-0.43%$18,822$21,668$22,4000.21%-1.01%
201690.21%-0.34%-0.69%$18,861$21,595$22,2460.21%-1.51%
201610-2.19%-2.88%-3.32%$18,448$20,973$21,507-2.19%-4.38%
2016114.49%0.56%-2.00%$19,276$21,090$21,0764.49%-8.21%
2016121.98%1.29%0.81%$19,659$21,363$21,2481.98%-0.46%
201711.86%1.54%1.33%$20,024$21,693$21,5311.86%0.81%
201723.69%3.07%2.65%$20,764$22,358$22,1013.69%1.59%
201730.06%-0.15%-0.29%$20,775$22,324$22,0360.06%-0.65%
201741.06%1.21%1.31%$20,996$22,594$22,3251.06%1.57%
201751.01%1.27%1.44%$21,208$22,881$22,6481.01%1.89%
201760.95%0.90%0.87%$21,409$23,087$22,8450.95%0.79%
201771.88%1.13%0.63%$21,812$23,349$22,9881.88%-0.66%
201780.15%1.09%1.74%$21,845$23,604$23,3870.15%3.41%
201792.44%1.03%0.08%$22,378$23,847$23,4072.44%-2.32%
2017102.17%1.54%1.10%$22,863$24,214$23,6652.17%-0.04%
2017113.03%2.39%1.94%$23,556$24,792$24,1233.03%0.74%
2017121.16%1.34%1.47%$23,829$25,124$24,4771.16%1.81%
201815.23%2.69%0.99%$25,076$25,798$24,7185.23%-3.26%
20182-3.76%-3.56%-3.41%$24,133$24,881$23,875-3.76%-3.04%
20183-1.95%-0.59%0.36%$23,662$24,735$23,961-1.95%2.86%
201840.45%-0.30%-0.80%$23,768$24,662$23,7690.45%-2.09%
201852.72%2.51%2.37%$24,415$25,282$24,3332.72%2.01%
201860.70%0.69%0.68%$24,586$25,456$24,4970.70%0.65%
201873.32%1.95%1.01%$25,402$25,953$24,7463.32%-1.44%
201883.43%2.84%2.43%$26,274$26,691$25,3473.43%1.31%
201890.20%-0.64%-1.23%$26,326$26,520$25,0340.20%-2.86%
201810-7.41%-6.21%-5.35%$24,375$24,872$23,695-7.41%-2.93%
2018112.01%1.95%1.91%$24,865$25,358$24,1472.01%1.79%
201812-9.16%-5.01%-2.09%$22,587$24,086$23,642-9.16%5.85%
201918.54%6.09%4.46%$24,516$25,553$24,6968.54%0.38%
201923.56%2.16%1.19%$25,389$26,105$24,9903.56%-1.38%
201931.42%2.56%3.36%$25,748$26,772$25,8301.42%5.57%
201943.93%2.26%1.10%$26,759$27,376$26,1143.93%-1.99%
20195-6.45%-2.86%-0.29%$25,033$26,594$26,039-6.45%6.84%
201967.08%5.26%4.03%$26,805$27,992$27,0897.08%0.95%
201971.41%1.08%0.86%$27,184$28,295$27,3201.41%0.26%
20198-2.08%1.63%4.21%$26,617$28,756$28,470-2.08%11.04%
201991.78%0.40%-0.50%$27,091$28,872$28,3291.78%-2.68%
2019102.11%1.14%0.50%$27,662$29,201$28,4702.11%-1.11%
2019113.79%2.56%1.73%$28,710$29,949$28,9613.79%-0.41%
2019122.80%1.10%-0.08%$29,515$30,277$28,9372.80%-3.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value36.90%26.03%18.59%
Large-cap Growth44.01%31.35%22.39%
Mid-cap Value5.53%3.72%2.66%
Mid-cap Growth6.85%4.76%3.40%
Small-cap Value2.15%1.23%0.88%
Small-cap Growth3.39%2.45%1.75%
Global ex-US Developed Markets0.77%0.52%0.37%
Emerging Markets0.41%0.12%0.09%
Corporate Bonds0.00%0.63%0.45%
Long-Term Treasuries0.00%29.19%49.42%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.90%99.90%99.93%
Style analysis is based on monthly returns from Jun 2008 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
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%26.42$19,515100.00%

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/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend70.00%0.03%26.42$15,98995.51%
TLTiShares 20+ Year Treasury Bond ETFLong Government30.00%0.15%18.93$4,2884.49%
100.00%0.07%26.4218.93$20,277100.00%

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%26.42$11,93253.16%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$7,00546.84%
100.00%0.09%26.4218.93$18,937100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.88%0.84%0.80%
Arithmetic Mean (annualized)11.12%10.61%10.03%
Geometric Mean (monthly)0.78%0.80%0.77%
Geometric Mean (annualized)9.79%10.04%9.61%
Volatility (monthly)4.47%2.95%2.54%
Volatility (annualized)15.47%10.21%8.78%
Downside Deviation (monthly)3.07%1.98%1.63%
Max. Drawdown-46.56%-28.17%-16.07%
US Market Correlation1.000.900.59
Beta(*)1.000.600.34
Alpha (annualized)0.12%3.89%6.07%
R299.95%81.51%35.08%
Sharpe Ratio0.650.941.03
Sortino Ratio0.931.381.58
Treynor Ratio (%)10.0316.0626.87
Calmar Ratio1.021.261.61
Active Return0.13%0.38%-0.05%
Tracking Error0.35%7.63%12.47%
Information Ratio0.390.05-0.00
Skewness-0.81-1.15-0.96
Excess Kurtosis1.783.204.23
Historical Value-at-Risk (5%)-8.01%-4.89%-3.41%
Analytical Value-at-Risk (5%)-6.46%-4.06%-3.34%
Conditional Value-at-Risk (5%)-10.43%-7.74%-6.30%
Upside Capture Ratio (%)100.6267.7346.34
Downside Capture Ratio (%)100.0953.6022.61
Safe Withdrawal Rate10.43%12.15%12.72%
Perpetual Withdrawal Rate7.32%7.51%7.16%
Positive Periods97 out of 139 (69.78%)97 out of 139 (69.78%)93 out of 139 (66.91%)
Gain/Loss Ratio0.730.921.15
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsJan 20111 year 11 months2 years 8 months-46.56%
2May 2011Sep 20115 monthsFeb 20125 months10 months-17.58%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
6May 2019May 20191 monthJun 20191 month2 months-6.45%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.17%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.03%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsMar 20101 year 1 month1 year 10 months-28.17%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-9.76%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.67%
4May 2010Jun 20102 monthsSep 20103 months5 months-6.15%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-4.41%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-4.03%
7Aug 2016Oct 20163 monthsFeb 20174 months7 months-3.39%
8May 2019May 20191 monthJun 20191 month2 months-2.86%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.62%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsSep 20097 months9 months-16.07%
2Jun 2008Oct 20085 monthsDec 20082 months7 months-12.99%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-6.73%
4Aug 2016Nov 20164 monthsMay 20176 months10 months-6.32%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.20%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.33%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.84%
8Oct 2009Oct 20091 monthNov 20091 month2 months-2.63%
9Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
10Jun 2011Jun 20111 monthAug 20112 months3 months-2.06%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF9.79%15.47%33.45%-35.04%-46.56%0.650.931.00
TLTiShares 20+ Year Treasury Bond ETF6.79%14.24%35.96%-21.80%-21.80%0.490.88-0.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.00-0.321.000.900.59
TLTiShares 20+ Year Treasury Bond ETF-0.321.00-0.320.110.56

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$19,515$15,989$11,932
TLTiShares 20+ Year Treasury Bond ETF$4,288$7,005

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%95.51%53.16%
TLTiShares 20+ Year Treasury Bond ETF4.49%46.84%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year15.42%33.45%-5.21%12.40%25.71%-4.13%10.38%22.40%-3.41%
3 years13.44%20.48%8.42%11.60%16.19%7.22%10.18%13.37%5.99%
5 years13.72%18.88%7.92%11.57%14.85%7.53%9.94%13.97%7.23%
7 years13.68%15.14%12.46%11.55%12.39%9.83%9.92%11.01%7.95%
10 years13.35%13.43%13.27%11.37%11.93%10.81%9.85%10.77%8.94%
Result statistics are based on annualized rolling returns over full calendar year periods